Table of Common Distributions

taken from Statistical Inference by Casella and Berger

Discrete Distrbutions
distribution pmf mean variance mgf/moment

Bernoulli(p) px (1 − p)1−x ; x = 0, 1; p ∈ (0, 1) p p(1 − p) (1 − p) + pet

Γ(α+β) Γ(x+α)Γ(n−x+β) nα nαβ
Beta-binomial(n, α, β) (nx ) Γ(α)Γ(β) Γ(α+β+n) α+β (α+β)2

Notes: If X|P is binomial (n, P ) and P is beta(α, β), then X is beta-binomial(n, α, β).
Binomial(n, p) ( nx )px (1 − p)n−x ; x = 1, . . . , n np np(1 − p) [(1 − p) + pet ]n
1 N +1 (N +1)(N −1) 1
PN it
Discrete Uniform(N ) N; x = 1, . . . , N 2 12 N i=1 e

pet
Geometric(p) p(1 − p)x−1 ; p ∈ (0, 1) 1
p
1−p
p2 1−(1−p)et

Note: Y = X − 1 is negative binomial(1, p). The distribution is memoryless: P (X > s|X > t) = P (X > s − t).
N −M
(M
x )( K−x ) KM KM (N −M )(N −k)
Hypergeometric(N, M, K) N
( K)
; x = 1, . . . , K N N N (N −1) ?

M − (N − K) ≤ x ≤ M ; N, M, K > 0
³ ´r
r(1−p) r(1−p)
Negative Binomial(r, p) (r+x−1
x )pr (1 − p)x ; p ∈ (0, 1) p p2
p
1−(1−p)et

( y−1
r−1 )p (1 − p)
r y−r
; Y =X +r
e−λ λx t
−1)
Poisson(λ) x! ; λ≥0 λ λ eλ(e
Notes: If Y is gamma(α, β), X is Poisson( βx ), and α is an integer, then P (X ≥ α) = P (Y ≤ y).

1
 Continuous Distributions
distribution pdf mean variance mgf/moment
Γ(α+β) α−1 P∞ ³Qk−1 ´
tk
Beta(α, β) Γ(α)Γ(β) x (1 − x)β−1 ; x ∈ (0, 1), α, β > 0 α
α+β
αβ
(α+β)2 (α+β+1) 1 + k=1 r=0
α+r
α+β+r k!
1 1
Cauchy(θ, σ) πσ 1+( x−θ )2 ; σ>0 does not exist does not exist does not exist
σ
X
Notes: Special case of Students’s t with 1 degree of freedom. Also, if X, Y are iid N (0, 1), Y is Cauchy
p
³ ´ p2
x 2 −1 e− 2 ; x > 0, p ∈ N
1 x 1 1
χ2p p p 2p 1−2t , t< 2
Γ( p
2 )2
2

Notes: Gamma( p2 , 2).

1 − |x−µ| eµt
Double Exponential(µ, σ) 2σ e
σ ; σ>0 µ 2σ 2 1−(σt)2
1 −x θ ; x ≥
1 1
Exponential(θ) θe 0, θ > 0 θ θ2 1−θt , t <
1
q θ
Notes: Gamma(1, θ). Memoryless. Y = X γ is Weibull. Y = 2X β is Rayleigh. Y = α − γ log β is Gumbel.
X

ν +ν
Γ( 1 2 2 )
³ ´ ν21 ν1 −2 ν1 +2n ν −2n ³ ´n
ν1 ν2 +ν2 −2 Γ( )Γ( 2 2 )
Fν1 ,ν2 ν1 ν2
Γ( 2 )Γ( 2 ) ν2
x 2
¡ ν1 ¢ ν1 +ν 2
; x>0 ν2 −2 , ν2 > 2 2( ν2ν−2
2
)2 νν11 (ν2 −4)
, ν2 > 4 EX n = 2
ν ν
Γ( 21 )Γ( 22 )
ν2
ν1 , n< ν2
2
2
1+( ν )x
2
χ2ν1 /ν1
Notes: Fν1 ,ν2 = χ2ν2 /ν2 , where the χ s are independent. F1,ν = t2ν .
2

³ ´α
α−1 − β
x
1 1 1
Gamma(α, β) Γ(α)β α x e ; x > 0, α, β > 0 αβ 2αβ 1−βt , t< β
q
Notes: Some special cases are exponential (α = 1) and χ2 (α = p2 , β = 2). If α = 23 , Y = X β is Maxwell. Y =
1
X is inverted gamma.
x−µ
−
π2 β 2
Logistic(µ, β) 1
β
h e β
x−µ
i2 ; β > 0 µ 3 eµt Γ(1 + βt), |t| < 1
β
−
1+e β

1
Notes: The cdf is F (x|µ, β) = −
x−µ .
1+e β

(log x−µ)2 σ2 n2 σ 2
1 − 2 2
Lognormal(µ, σ 2 ) √1
2πσ x
e 2σ 2 ; x > 0, σ > 0 eµ+ 2 e2(µ+σ ) − e2µ+σ EX n = enµ+ 2

(x−µ)2 σ 2 t2
Normal(µ, σ 2 ) √ 1 e− 2σ 2 ; σ>0 µ σ2 eµt+ 2
2πσ
βαβ βα βα2
Pareto(α, β) xβ+1
; x > α, α, β > 0 β−1 , β>1 (β−1)2 (β−2) , β>2 does not exist
Γ( ν+1
2 ) Γ( ν+1
2 )Γ(ν− 2 )
n n
tν √1 1
0, ν > 1 ν
EX n = √
Γ( ν2 ) νπ 2 ν+1 ν−2 , ν >2 πΓ( ν2 )
ν2, n even
(1+ xν ) 2
Notes: t2ν = F1,ν .
(b−a)2 ebt −eat
b−a , a ≤ x ≤ b
1 b+a
Uniform(a, b) 2 12 (b−a)t
Notes: If a = 0, b = 1, this is special case of beta (α = β = 1).
xγ
h i
γ γ−1 − β 1 2 n
Weibull(γ, β) βx e ; x > 0, γ, β > 0 β γ Γ(1 + γ1 ) β γ Γ(1 + γ2 ) − Γ2 (1 + γ1 ) EX n = β γ Γ(1 + nγ )
Notes: The mgf only exists for γ ≥ 1.