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2 Continuous Distributions
Notation FX (x) fX (x) E [X] V [X] MX (s)


⎨0 x<a
x−a I(a < x < b) a+b (b − a)2 esb − esa
Uniform Unif (a, b) a<x<b
⎪ b−a
⎩ b−a 2 12 s(b − a)
1 x>b
 x

  1 (x − μ)2 σ 2 s2
Normal N μ, σ 2 Φ(x) = φ(t) dt φ(x) = √ exp − μ σ2 exp μs +
−∞ σ 2π 2σ 2 2

  1 1 ln x − μ 1 (ln x − μ)2 2 2 2
Log-Normal ln N μ, σ 2 + erf √ √ exp − eμ+σ /2
(eσ − 1)e2μ+σ
2 2 2σ 2 x 2πσ 2 2σ 2

1 T
Σ−1 (x−μ) 1
Multivariate Normal MVN (μ, Σ) (2π)−k/2 |Σ|−1/2 e− 2 (x−μ) μ Σ exp μT s + sT Σs
2
ν ν     −(ν+1)/2
Γ ν+1
2 x2
Student’s t Student(ν) Ix , √ ν  1 + 0 0
2 2 νπΓ 2 ν
 
1 k x 1
Chi-square χ2k γ , xk/2−1 e−x/2 k 2k (1 − 2s)−k/2 s < 1/2
Γ(k/2) 2 2 2k/2 Γ(k/2)

d
(d1 x)d1 d2 2
 
d1 d1 (d1 x+d2 )d1 +d2 d2 2d22 (d1 + d2 − 2)
F F(d1 , d2 ) I d1 x ,  d1 
d1 x+d2 2 2 xB 2
, d1
2
d2 − 2 d1 (d2 − 2)2 (d2 − 4)
−x/β 1 −x/β 1
Exponential Exp (β) 1−e e β β2 (s < 1/β)
β 1 − βs
 α
γ(α, x/β) 1 1
Gamma Gamma (α, β) xα−1 e−x/β αβ αβ 2 (s < 1/β)
Γ(α) Γ (α) β α 1 − βs
   
Γ α, βx β α −α−1 −β/x β β2 2(−βs)α/2
Inverse Gamma InvGamma (α, β) x e α>1 α>2 Kα −4βs
Γ (α) Γ (α) α−1 (α − 1)2 (α − 2)2 Γ(α)
 
k
Γ i=1 αi  α −1
k
αi E [Xi ] (1 − E [Xi ])
Dirichlet Dir (α) k xi i k k
i=1 Γ (αi ) i=1 i=1 αi i=1 αi + 1
k−1 
Γ (α + β) α−1 α αβ 
∞  α+r sk
Beta Beta (α, β) Ix (α, β) x (1 − x)β−1 1+
Γ (α) Γ (β) α+β (α + β)2 (α + β + 1) r=0
α+β+r k!
k=1
   
k x k−1 −(x/λ)k  s n λn n

k 1 2
Weibull Weibull(λ, k) 1 − e−(x/λ) e λΓ 1 + λ2 Γ 1 + − μ2 Γ 1+
λ λ k k n=0
n! k
x α xα αxm xα
m
Pareto Pareto(xm , α) 1− x ≥ xm m
α α+1 x ≥ xm α>1 m
α>2 α(−xm s)α Γ(−α, −xm s) s < 0
x x α−1 (α − 1)2 (α − 2)