Poisson distribution

A discrete distribution

R. Lahdelma

14

12

10

0.2
0.18
0.16
0.14
0.12
0.1
0.08
0.06
0.04
0.02
0
2

p(x) = e-x/x! when x0

F(x) = i=0,...x p(x)
E(x) =
Var(x) =
Very simple
Describes well many
random processes

Poisson distribution with alpha=5

Negative exponential distribution

A continuous distribution

f(x) = e-x when x0

F(x) = 1- e-x
E(x) = 1/
Var(x) = 1/2
Describes e.g. lifetime of
a component, inter-arrival
time, etc

R. Lahdelma

Exponential distribution with lambda=1

1.2
1
0.8
0.6
0.4
0.2
0
0

The Poisson process

A sequence of random events such as arrivals of
customers can be described by a counting function
N(t), t0 is the number of events that occur in time
interval [0,t]

The counting process is a Poisson process when

1. Arrivals occur one at a time
2. N(t) has stationary increments: The distribution of
the number of arrivals in interval [t, t+s] depends only
on s, not the starting point t
3. N(t) has independent increments: The number of
arrivals during non-overlapping time intervals are
independent random variables.
R. Lahdelma

The Poisson process

The probability that N(t) = n is
P(N(t)=n) = e-t (t)n/n!
This equals the Poisson distribution with =t
Thus, E[N(t)] = Var[N(t)] = t

The number of arrivals during time interval [s,t] is

due to the stationarity also Poisson distributed
with =(s-t), i.e.
P(N(t)-N(s)=n) = e-(t-s) ((t-s))n/n!
E[N(t)-N(s)] = Var[N(t)-N(s)] = (t-s)

R. Lahdelma

The Poisson process

The probability that the first arrival A1 occurs after
time t is
P(A1>t) = P(N(t) = 0) = e-0/0! = e-t

Thus, the probability that the first arrival occurs in

[0,t] is
P(A1t) = 1 - e-t

This is the cumulative distribution function for the

exponential distribution
Due to stationarity, inter-arrival times between
any two subsequent events follow the same
distribution
R. Lahdelma

The Poisson process

Random splitting
a poisson process with arrival rate is split randomly
into two with probabilities p and 1-p
this results in two Poisson processes with arrival rates
p and (1-p)

Combining (pooling)
two Poisson processes with arrival rates 1and 2 are
combined into one
this results in a Poisson process with arrival rate 1+2

R. Lahdelma

Generation of a Poisson process

The arrival process generates new events at intervals that
exponentially distributed:
f(x) = e-x

To generate such random numbers, the inverse

transformation technique is suitable
F(x) = R = 1- e-x
Generate R from a uniform distribution in range [0,1]
Solve x:
x = -ln(1-R)/
(= -ln(R)/)
is distributed exponentially
Observe that the argument of ln(.) must not be zero! If your random
number generator generates numbers in the semi-open interval [0,1),
then 1-R is in the interval (0,1] and can be used safely as argument for
ln(.)
R. Lahdelma

Erlang/Gamma distribution
Generalization of the exponential distribution

f(x) = (x)-1e-x/() when x>0

E(x) = 1/
Var(x) = 1/2
is the shape parameter
the scale parameter

Erlang distributions with beta=1,2,3,4, theta=1/beta

1.2

f(x),1
f(x),2
f(x),3

0.8

f(x),4

0.6
0.4

When =k is an integer, this

is called the Erlang distribution
x is then the sum of exponentially distributed
variables with parameter =
0.2

R. Lahdelma

0.5

1.5

2.5

3.5

Erlang distribution
A system consists of k sequential servers
service times are exponentially distributed
a customer must pass all servers before the next
customer may enter

Applications e.g. in reliability theory,

telecommunication

R. Lahdelma