Poisson Distribution

Definition 20
A random variable X has a Poisson distribution with parameter
( > 0), denoted by PN ( ), if its pf is given by
x
fX (x) = P(X = x) = e , x = 0, 1, 2, · · ·
x!
Recall the Taylor expansion for an exponential function is
+1
X x +1
X
e = ) P(X = x) = 1
i=0
x! x=0

Remarks:
I The Poisson distribution is commonly applied to model the
number of arrivals of certain events within a period of time, e.g.,
number of insurance claims in a year.
I Let = np, then for large n and small p, a Poisson random
variable is a good approximate of a Binomial random variable.

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 Assume X ⇠ PN ( ).

I E[X] = V[X] =
I mgf MX (t) = exp [ (et 1)]
I pgf PX (t) = exp [ (t 1)]
I fX (0) = e and
✓ ◆
fX (x) = · fX (x 1)
x

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 Results of Poisson Distribution
Theorem 3 (Theorem 1.1 of [3])
Assume X1 , X2 , · · · , Xn are independently distributed random
variables, with Xi ⇠ PN ( i ), where i > 0 for all i. Then their
summation
Pn X follows a Poisson distribution with parameter
= i=1 i , i.e., X ⇠ PN ( ).

Example 8 (Example 1.3 from [3])

The average number of female (male) employees taking sick leave is
1.3 (2.5) per week. What is the probability of finding fewer than two
sick leaves in a week? Assume the number of sick leaves in a week for
both female and male employees are independent Poisson distributions.

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 Results of Poisson Distribution
Theorem 4 (Theorem 1.2 of [3])
Suppose an event A can be partitioned into n mutually exclusive and
exhaustive events Ai , for i = 1, · · · , n. Let X be the number of
occurrences of A, and Xi be the number of occurrences of Ai , so that
X = X1 + · · · + Xn . Let the probability of occurrence
Pn of Ai given A
has occurred be pi , i.e., P(Ai |A) = pi , with i=1 pi = 1. If
X ⇠ PN ( ), then Xi ⇠ PN ( i ), where i = · pi . Furthermore,
X1 , · · · , Xn are independently distributed.
Key observation: Xi |X = x ⇠ BN (x, pi ).

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 Table 1: Properties of Some Discrete Distributions

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