Poisson distribution

A Poisson process has the following characteristics:

1. It models the number of events x, that occur in an interval t, of a
continuous medium such as time, space, or vol.
2. It is characterized by one parameter, l, the average number of events
per unit interval of space or time
3. There is a constant and continuous probability of an event occurring
per unit interval
4. The number of events that occur in any one interval is independent of
the number that occurs in any other interval. It does not matter how
far apart the events are in space or time. For instance, an event may
have only just been observed or there may have been a considerable
interval between them.
2.

Average number events that occur per unit of exposure =

3.

Random variable = X = number of events that occur in t units of exposure.

4.

PM Func:

Pr(x| ,t) = (t)xe-t

x!

X = 0,1,2,
t > 0
Mean number events in t units of exposure = t
Variance = t

e.g., mean = variance

Outcome is events in amount of exposure. Events do not have equivalent

of failure and success. Event might be earthquakes in 1 year. No meaningful
definition of non-event.

Medium of exposure is continuous (e.g., time, volume, etc.), not discrete like
trial in Binomial.

No upper bound to random variable as in binomial.

The binomial distribution (j successes from n trials) is given by

P( X j )

n!
p j (1 p ) n j
j ! n j !

p probaility of success

n!
nC j
j ! n j !
E ( X ) np
Var ( X ) np (1 p )
Example
In a particular market discrete pieces of information arrive randomly at a rate of 10
per minute. What is the probability of only 8 pieces of information arriving in the
next minute?. We could attempt to model this using a Binomial distribution
assuming that the probability that the information arrives in the next second (n=60)
is 10/60=1/6.

n 60, j 8, p

10 1

60 6
8

52

60!
5
1 5
1
P ( j 8) C8

8!52!
6
6 6
6
E ( X ) np 10
Var ( X ) np (1 p ) 8.33

52

0.1162

60

Of course we could object and say that we could have 2 pieces of information in a
1sec interval, hence we could chose n=120 (0.5s interval), p=10/120=1/12

n 12, j 8, p

10
1

120 12
8

1 11

12 12

E ( X ) np 10
Var ( X ) np (1 p ) 9.17
P ( j 8) 60C8

112

120!

8!112!

1

12

11

12

52

0.1145

We can continue along this path, n tends to infinity and p tends to zero with np=10.

The Poisson distribution is given by

P( X r )

r e
r!

The Poisson distribution is the limit of the binomial distribution as n, np= (the
derivation is given below), where is the mean rate at which incidents occur.
For the above example =10, r=8

e 10108
P( X 8)
0.1126
8!