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Poisson Distribution
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Given a Poisson process, the probability of obtaining exactly successes in trials is given by the
limit of a binomial distribution
(1)
(2)
instead of the sample size for fixed , equation (2) then becomes
(3)
Letting the sample size become large, the distribution then approaches
(4)
(5)
(6)
(7)
(8)
(8)
which is known as the Poisson distribution (Papoulis 1984, pp. 101 and 554; Pfeiffer and Schum
1973, p. 200). Note that the sample size has completely dropped out of the probability function,
which has the same functional form for all values of .
As expected, the Poisson distribution is normalized so that the sum of probabilities equals 1, since
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
(18)
so
(19)
(20)
(Papoulis 1984, p. 554).
The raw moments can also be computed directly by summation, which yields an unexpected
connection with the Bell polynomial and Stirling numbers of the second kind,
(21)
(22)
(23)
(24)
(25)
(26)
(27)
(28)
(29)
(30)
(31)
(32)
(33)
(34)
so
(35)
(37)
(38)
(39)
If the independent variables , , ..., have Poisson distributions with parameters , , ...,
, then
(40)
(41)
(42)
(43)
A generalization of the Poisson distribution has been used by Saslaw (1989) to model the observed
clustering of galaxies in the universe. The form of this distribution is given by
(44)
(45)
which is indeed a Poisson distribution with . Similarly, letting gives .
SEE ALSO
poisson distribution
REFERENCES
Beyer, W. H. CRC Standard Mathematical Tables, 28th ed. Boca Raton, FL: CRC Press, p. 532, 1987.
Grimmett, G. and Stirzaker, D. Probability and Random Processes, 2nd ed. Oxford, England: Oxford University Press,
1992.
Papoulis, A. "Poisson Process and Shot Noise." Ch. 16 in Probability, Random Variables, and Stochastic Processes,
2nd ed. New York: McGraw-Hill, pp. 554-576, 1984.
Pfeiffer, P. E. and Schum, D. A. Introduction to Applied Probability. New York: Academic Press, 1973.
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. "Incomplete Gamma Function, Error Function,
Chi-Square Probability Function, Cumulative Poisson Function." §6.2 in Numerical Recipes in FORTRAN: The Art of
Scientific Computing, 2nd ed. Cambridge, England: Cambridge University Press, pp. 209-214, 1992.
Saslaw, W. C. "Some Properties of a Statistical Distribution Function for Galaxy Clustering." Astrophys. J. 341, 588-
598, 1989.
Spiegel, M. R. Theory and Problems of Probability and Statistics. New York: McGraw-Hill, pp. 111-112, 1992.
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