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Normal Approximation of The Poisson Distribution
Normal Approximation of The Poisson Distribution
If X is a random variable which has a Poisson distribution with mean λ, and λ is large (λ > 15),
then the distribution of X is approximately normal with mean λ and variance λ.
approx
X ∼ Po(λ) where λ > 15 =⇒ X ∼ N(λ, λ)
This normal approximation can be used to approximate probabilities which are too tedious to
calculate using the Poisson distribution.
Remark: The Poisson distribution is a discrete distribution taking only non-negative integer
values, while the normal distribution is a continuous distribution taking all values. When using
the normal approximation to calculate probabilities, a continuity correction is used:
To calculate P(X ≤ 25), instead of using the the Poisson distribution which is tedious:
For the continuity correction, 0.5 is added to 25 since any number ≤ 25.5, when rounded to
the nearest integer is ≤ 25.
approx
P(X ≤ 25) = P(X ≤ 25.5)
25.5−20
= P(Z ≤ √
20
)
= P(Z ≤ 1.230)
= Φ(1.230)
= 0.891
Although the probability obtained is not the same as the actual value (0.888 correct to 3
significant figures), it is very close.