Theoritical or Probability Distribution 14 April 09 - 2

Probability Distributions
To understand probability distributions, it is important to understand variables. random

variables, and some notation.
A variable is a symbol (A, B, x, y, etc.) that can take on any of a specified set of values.
When the value of a variable is the outcome of a statistical experiment, that variable is a
random variable.
Generally, statisticians use a capital letter to represent a random variable and a lower-case
letter, to represent one of its values. For example,
X represents the random variable X.

P(X) represents the probability of X.
P(X = x) refers to the probability that the random variable X is equal to a particular
value, denoted by x. As an example, P(X = 1) refers to the probability that the random
variable X is equal to 1.
Uniform Distribution. Suppose the random variable X can assume k different values. Suppose
also that the P(X = xk) is constant. Then,
P(X = xk) = 1/k
Binomial Distribution
To understand binomial distributions and binomial probability, it helps to understand binomial
experiments and some associated notation; so we cover those topics first.
Binomial Experiment
A binomial experiment (also known as a Bernoulli trial) is a statistical experiment that has
the following properties:
The experiment consists of n repeated trials.
Each trial can result in just two possible outcomes. We call one of these outcomes a
success and the other, a failure.
The probability of success, denoted by P, is the same on every trial.
The trials are independent; that is, the outcome on one trial does not affect the outcome
on other trials.
Consider the following statistical experiment. You flip a coin 2 times and count the number of
times the coin lands on heads. This is a binomial experiment because:
The experiment consists of repeated trials. We flip a coin 2 times.
Each trial can result in just two possible outcomes - heads or tails.
The probability of success is constant - 0.5 on every trial.
The trials are independent; that is, getting heads on one trial does not affect whether we
get heads on other trials.
Notation
The following notation is helpful, when we talk about binomial probability.
x: The number of successes that result from the binomial experiment.
n: The number of trials in the binomial experiment.
P: The probability of success on an individual trial.
Q: The probability of failure on an individual trial. (This is equal to 1 - P.)
b(x; n, P): Binomial probability - the probability that an n-trial binomial experiment
results in exactly x successes, when the probability of success on an individual trial is
P.
nCr: The number of combinations of n things, taken r at a time.
Notation
The following notation is helpful, when we talk about negative binomial probability.
x: The number of trials required to produce r successes in a negative binomial
experiment.
r: The number of successes in the negative binomial experiment.
P: The probability of success on an individual trial.
Q: The probability of failure on an individual trial. (This is equal to 1 - P.)
b*(x; r, P): Negative binomial probability - the probability that an x-trial negative
binomial experiment results in the rth success on the xth trial, when the probability of
success on an individual trial is P.
nCr: The number of combinations of n things, taken r at a time.
Negative Binomial Distribution
Hypergeometric Distribution
Notation
The following notation is helpful, when we talk about hypergeometric distributions and
hypergeometric probability.
N: The number of items in the population.
k: The number of items in the population that are classified as successes.
n: The number of items in the sample.
x: The number of items in the sample that are classified as successes.
kCx: The number of combinations of k things, taken x at a time.
h(x; N, n, k): hypergeometric probability - the probability that an n-trial
hypergeometric experiment results in exactly x successes, when the population consists
of N items, k of which are classified as successes.
http://stattrek.com/Lesson2/DiscreteContinuous.aspx?Tutorial=Stat
http://stattrek.com/Lesson2/ProbabilityDistribution.aspx?Tutorial=Stat
What is a Probability Distribution
The mathematical definition of a discrete probability function, p(x), is a function that satisfies the
following properties.
1. The probability that x can take a specific value is p(x). That is
2. p(x) is non-negative for all real x.
3. The sum of p(x) over all possible values of x is 1, that is
where j represents all possible values that x can have and pj is the probability at xj.
One consequence of properties 2 and 3 is that 0 <= p(x) <= 1.
What does this actually mean? A discrete probability function is a function that can take a discrete
number of values (not necessarily finite). This is most often the non-negative integers or some subset of
the non-negative integers. There is no mathematical restriction that discrete probability functions only
be defined at integers, but in practice this is usually what makes sense. For example, if you toss a coin 6
times, you can get 2 heads or 3 heads but not 2 1/2 heads. Each of the discrete values has a certain
probability of occurrence that is between zero and one. That is, a discrete function that allows negative
values or values greater than one is not a probability function. The condition that the probabilities sum
to one means that at least one of the values has to occur.
Continuous Distributions
The mathematical definition of a continuous probability function, f(x), is a function that satisfies the
following properties.
1. The probability that x is between two points a and b is
2. It is non-negative for all real x.

3. The integral of the probability function is one, that is
What does this actually mean? Since continuous probability functions are defined for an infinite number
of points over a continuous interval, the probability at a single point is always zero. Probabilities are
measured over intervals, not single points. That is, the area under the curve between two distinct points
defines the probability for that interval. This means that the height of the probability function can in fact
be greater than one. The property that the integral must equal one is equivalent to the property for
discrete distributions that the sum of all the probabilities must equal one.
Probability Mass Functions Versus Probability Density Functions
Discrete probability functions are referred to as probability mass functions and continuous probability
functions are referred to as probability density functions. The term probability functions covers both
discrete and continuous distributions. When we are referring to probability functions in generic terms,
we may use the term probability density functions to mean both discrete and continuous probability
functions.
http://www.itl.nist.gov/div898/handbook/eda/section3/eda361.htm
Gallery of Distributions
Gallery of Common Distributions
Detailed information on a few of the most common distributions is available below. There are a large
number of distributions used in statistical applications. It is beyond the scope of this Handbook to
discuss more than a few of these. Two excellent sources for additional detailed information on a large
array of distributions are Johnson, Kotz, and Balakrishnan and Evans, Hastings, and Peacock.
Equations for the probability functions are given for the standard form of the distribution. Formulas
exist for defining the functions with location and scale parameters in terms of the standard form of the
distribution.
The sections on parameter estimation are restricted to the method of moments and maximum likelihood.
This is because the least squares and PPCC and probability plot estimation procedures are generic. The
maximum likelihood equations are not listed if they involve solving simultaneous equations. This is
because these methods require sophisticated computer software to solve. Except where the maximum
likelihood estimates are trivial, you should depend on a statistical software program to compute them.
References are given for those who are interested.
Be aware that different sources may give formulas that are different from those shown here. In some
cases, these are simply mathematically equivalent formulations. In other cases, a different
parameterization may be used.
Continuous Distributions
Normal Distribution
Uniform Distribution
Cauchy Distribution
t Distribution
F Distribution
Chi-Square Distribution
Exponential Distribution
Weibull Distribution
Lognormal Distribution
Fatigue Life Distribution
Gamma Distribution
Double Exponential
Distribution
Power Normal Distribution
Extreme Value Type I

Distribution
Power Lognormal
Distribution
Tukey-Lambda Distribution
Beta Distribution
Discrete Distributions
Poisson Distribution
Normal Distribution
Probability Density Function
The general formula for the probability density function of the normal distribution is
where is the location parameter and is the scale parameter. The case where = 0 and
standard normal distribution. The equation for the standard normal distribution is
= 1 is called the
Since the general form of probability functions can be expressed in terms of the standard distribution, all
subsequent formulas in this section are given for the standard form of the function.
The following is the plot of the standard normal probability density function.
Common Statistics
Mean
Median
Mode
Range
Standard Deviation
The location parameter .

Infinity in both directions.
The scale parameter .
Coefficient of Variation
Skewness
0
Kurtosis
3
Uniform Distribution
The general formula for the probability density function of the uniform distribution is
where A is the location parameter and (B - A) is the scale parameter. The case where A = 0 and B = 1 is
called the standard uniform distribution. The equation for the standard uniform distribution is
Since the general form of probability functions can be expressed in terms of the standard distribution,
all subsequent formulas in this section are given for the standard form of the function.
The following is the plot of the uniform probability density function.
Common Statistics
Mean
Median
Range
(A + B)/2
(A + B)/2
B-A
Standard Deviation
Skewness
0
Kurtosis
9/5
Cauchy Distribution
The general formula for the probability density function of the Cauchy distribution is
where t is the location parameter and s is the scale parameter. The case where t = 0 and s = 1 is called the
standard Cauchy distribution. The equation for the standard Cauchy distribution reduces to
The following is the plot of the standard Cauchy probability density function.
Common Statistics
Mean
The mean is undefined.
Median
The location parameter t.
Mode
The location parameter t.
Range
Standard Deviation
The standard deviation is undefined.
Coefficient of Variation The coefficient of variation is undefined.
Skewness
The skewness is undefined.
Kurtosis
The kurtosis is undefined
Normal Distribution
Common Statistics
Mean
Median
Mode
Range
0 (It is undefined for equal to 1.)

0
0
Standard Deviation
It is undefined for equal to 1 or 2.
Undefined
Skewness
symmetric in all cases.
0. It is undefined for less than or equal to 3. However, the t distribution is
Kurtosis
It is undefined for less than or equal to 4.
t Distribution
The formula for the probability density function of the t distribution is
where
is the beta function and is a positive integer shape parameter. The formula for the beta function is
In a testing context, the t distribution is treated as a "standardized distribution" (i.e., no location or scale
parameters). However, in a distributional modeling context (as with other probability distributions), the t
distribution itself can be transformed with a location parameter, , and a scale parameter, .
The following is the plot of the t probability density function for 4 different values of the shape parameter.
These plots all have a similar shape. The difference is in the heaviness of the tails. In fact, the t distribution
with equal to 1 is a Cauchy distribution. The t distribution approaches a normal distribution as becomes
large. The approximation is quite good for values of > 30.
Common Statistics
The formulas below are for the case where the location parameter is zero and the scale parameter is one.
Mean
Mode
Range
0 to positive infinity
Standard Deviation
Skewness
Chi-Square Distribution
The chi-square distribution results when independent variables with standard normal distributions are
squared and summed. The formula for the probability density function of the chi-square distribution is
where is the shape parameter and is the gamma function. The formula for the gamma function is
In a testing context, the chi-square distribution is treated as a "standardized distribution" (i.e., no location or
scale parameters). However, in a distributional modeling context (as with other probability distributions), the
chi-square distribution itself can be transformed with a location parameter, , and a scale parameter, .
The following is the plot of the chi-square probability density function for 4 different values of the shape
parameter.
Common Statistics
Mean
Median
Mode
Range
approximately - 2/3 for large

10
Standard Deviation
Skewness
Kurtosis
Exponential Distribution
The general formula for the probability density function of the exponential distribution is
where is the location parameter and
is the scale parameter (the scale parameter is often referred to as
which equals
). The case where = 0 and = 1 is called the standard exponential distribution. The
equation for the standard exponential distribution is
The general form of probability functions can be expressed in terms of the standard distribution. Subsequent
formulas in this section are given for the 1-parameter (i.e., with scale parameter) form of the function.
The following is the plot of the exponential probability density function.
Common Statistics
Mean
Median
Mode
Range
Standard Deviation
Skewness
Zero
Zero to plus infinity
1
2
11
Kurtosis
Weibull Distribution
The formula for the probability density function of the general Weibull distribution is
where is the shape parameter, is the location parameter and is the scale parameter. The case where = 0
and = 1 is called the standard Weibull distribution. The case where = 0 is called the 2-parameter
Weibull distribution. The equation for the standard Weibull distribution reduces to
The following is the plot of the Weibull probability density function.
Common Statistics
The formulas below are with the location parameter equal to zero and the scale parameter equal to one.
Mean
where is the gamma function
Median
Mode
Range
Standard Deviation
Zero to positive infinity.
12
Lognormal Distribution
A variable X is lognormally distributed if Y = LN(X) is normally distributed with "LN" denoting the natural
logarithm. The general formula for the probability density function of the lognormal distribution is
where is the shape parameter, is the location parameter and m is the scale parameter. The case where =
0 and m = 1 is called the standard lognormal distribution. The case where equals zero is called the 2parameter lognormal distribution.
The equation for the standard lognormal distribution is
The following is the plot of the lognormal probability density function for four values of .
There are several common parameterizations of the lognormal distribution. The form given here is from
Evans, Hastings, and Peacock.
Common Statistics
Mean
Median
Scale parameter m (= 1 if scale parameter not specified).
Mode
Range
Zero to positive infinity
13
Standard Deviation
Skewness
Kurtosis
Parameter Estimation
The maximum likelihood estimates for the scale parameter, m, and the shape parameter, , are
and
where
Fatigue Life Distribution

The fatigue life distribution is also commonly known as the Birnbaum-Saunders distribution. There are several
alternative formulations of the fatigue life distribution in the literature.
The general formula for the probability density function of the fatigue life distribution is
where is the shape parameter, is the location parameter, is the scale parameter, is the probability density
function of the standard normal distribution, and is the cumulative distribution function of the standard
normal distribution. The case where = 0 and = 1 is called the standard fatigue life distribution. The
equation for the standard fatigue life distribution reduces to
The following is the plot of the fatigue life probability density function.
14
Cumulative Distribution Function

The formula for the cumulative distribution function of the fatigue life distribution is
where is the cumulative distribution function of the standard normal distribution. The following is the plot of
the fatigue life cumulative distribution function with the same values of as the pdf plots above.
Common Statistics
Mean
Range
Standard Deviation
15
Gamma Distribution
The general formula for the probability density function of the gamma distribution is
where is the shape parameter, is the location parameter,

function which has the formula
is the scale parameter, and is the gamma
The case where = 0 and = 1 is called the standard gamma distribution. The equation for the standard
gamma distribution reduces to
The following is the plot of the gamma probability density function.
The formula for the cumulative distribution function of the gamma distribution is
where is the gamma function defined above and

gamma function has the formula
is the incomplete gamma function. The incomplete
The following is the plot of the gamma cumulative distribution function with the same values of as the pdf plots
above.
16
Common Statistics
Mean
Mode
Range
Standard Deviation
Skewness
Kurtosis
The method of moments estimators of the gamma distribution are
where and s are the sample mean and standard deviation, respectively
Double Exponential Distribution

Mean
Median
Mode
17
Range
Standard Deviation
Skewness
Kurtosis
Negative infinity to positive infinity

0
6
The maximum likelihood estimators of the location and scale parameters of the double exponential distribution
are
where
is the sample median.
Power Normal Distribution

The formula for the probability density function of the standard form of the power normal distribution is
where p is the shape parameter (also referred to as the power parameter), is the cumulative distribution
function of the standard normal distribution, and is the probability density function of the standard normal
distribution.
As with other probability distributions, the power normal distribution can be transformed with a location
parameter, , and a scale parameter, . We omit the equation for the general form of the power normal
distribution. Since the general form of probability functions can be expressed in terms of the standard
distribution, all subsequent formulas in this section are given for the standard form of the function.
The following is the plot of the power normal probability density function with four values of p.

The formula for the cumulative distribution function of the power normal distribution is
18
where is the cumulative distribution function of the standard normal distribution.

The following is the plot of the power normal cumulative distribution function with the same values of p
as the pdf plots above.
Common Statistics
The statistics for the power normal distribution are complicated and require tables. Nelson discusses the
mean, median, mode, and standard deviation of the power normal distribution and provides references to the
appropriate tables.
http://www.itl.nist.gov/div898/handbook/eda/section3/eda366d.htm
Power Lognormal Distribution

The formula for the probability density function of the standard form of the power lognormal distribution is
where p (also referred to as the power parameter) and are the shape parameters, is the cumulative
distribution function of the standard normal distribution, and is the probability density function of the
standard normal distribution.
As with other probability distributions, the power lognormal distribution can be transformed with a location
parameter, , and a scale parameter, B. We omit the equation for the general form of the power lognormal
distribution. Since the general form of probability functions can be expressed in terms of the standard
distribution, all subsequent formulas in this section are given for the standard form of the function.
The following is the plot of the power lognormal probability density function with four values of p and set
to 1.
19

The formula for the cumulative distribution function of the power lognormal distribution is
where is the cumulative distribution function of the standard normal distribution.

The following is the plot of the power lognormal cumulative distribution function with the same values of p as the pdf
plots above.
Common Statistics
The statistics for the power lognormal distribution are complicated and require tables. Nelson
discusses the mean, median, mode, and standard deviation of the power lognormal distribution
and provides references to the appropriate tables.
Tukey-Lambda Distribution
20
The Tukey-Lambda density function does not have a simple, closed form. It is computed
numerically.
The Tukey-Lambda distribution has the shape parameter . As with other probability distributions,
the Tukey-Lambda distribution can be transformed with a location parameter, , and a scale
parameter, . Since the general form of probability functions can be expressed in terms of the
standard distribution, all subsequent formulas in this section are given for the standard form of the
function.
The following is the plot of the Tukey-Lambda probability density function for four values of .

The Tukey-Lambda distribution does not have a simple, closed form. It is computed numerically.
The following is the plot of the Tukey-Lambda cumulative distribution function with the same values of as the pdf plots
above.
Extreme Value Type I Distribution

The extreme value type I distribution has two forms. One is based on the smallest extreme and the
21
other is based on the largest extreme. We call these the minimum and maximum cases, respectively.
Formulas and plots for both cases are given. The extreme value type I distribution is also referred
to as the Gumbel distribution.
The general formula for the probability density function of the Gumbel (minimum) distribution is
where is the location parameter and is the scale parameter. The case where = 0 and = 1 is
called the standard Gumbel distribution. The equation for the standard Gumbel distribution
(minimum) reduces to
The following is the plot of the Gumbel probability density function for the minimum case.
The general formula for the probability density function of the Gumbel (maximum) distribution is
where is the location parameter and is the scale parameter. The case where = 0 and = 1 is called the
standard Gumbel distribution. The equation for the standard Gumbel distribution (maximum) reduces to
The following is the plot of the Gumbel probability density function for the maximum case.
22
Since the general form of probability functions can be expressed in terms of the standard
distribution, all subsequent formulas in this section are given for the standard form of the
function.
The formula for the cumulative distribution function of the Gumbel distribution (minimum) is
The following is the plot of the Gumbel cumulative distribution function for the minimum case.
The formula for the cumulative distribution function of the Gumbel distribution (maximum) is
The following is the plot of the Gumbel cumulative distribution function for the maximum case.
Common Statistics
The formulas below are for the maximum order statistic case.
Mean
The constant 0.5772 is Euler's number.
Median
23
Mode
Range
Negative infinity to positive infinity.
Standard Deviation
Skewness
Kurtosis
1.13955
5.4
The method of moments estimators of the Gumbel (maximum) distribution are
where
and s are the sample mean and standard deviation, respectively
Beta Distribution
The general formula for the probability density function of the beta distribution is
where p and q are the shape parameters, a and b are the lower and upper bounds, respectively, of
the distribution, and B(p,q) is the beta function. The beta function has the formula
The case where a = 0 and b = 1 is called the standard beta distribution. The equation for the
standard beta distribution is
Typically we define the general form of a distribution in terms of location and scale parameters.
The beta is different in that we define the general distribution in terms of the lower and upper
bounds. However, the location and scale parameters can be defined in terms of the lower and
upper limits as follows:
location = a
scale = b - a
Since the general form of probability functions can be expressed in terms of the standard
distribution, all subsequent formulas in this section are given for the standard form of the
function.
The following is the plot of the beta probability density function for four different values of the
shape parameters.
24

The formula for the cumulative distribution function of the beta distribution is also called the
incomplete beta function ratio (commonly denoted by Ix) and is defined as
where B is the beta function defined above.

The following is the plot of the beta cumulative distribution function with the same values of
the shape parameters as the pdf plots above.
Common Statistics
The formulas below are for the case where the lower limit is zero and the upper limit is one.
Mean
Mode
25
Range
Standard Deviation
0 to 1
Skewness
First consider the case where a and b are assumed to be known. For this case, the method of
moments estimates are
where is the sample mean and s2 is the sample variance. If a and b are not 0 and 1,
respectively, then replace with
and s2 with
in the above equations.
For the case when a and b are known, the maximum likelihood estimates can be obtained by
solving the following set of equations
The maximum likelihood equations for the case when a and b are not known are given in
pages 221-235 of Volume II of Johnson, Kotz, and Balakrishan.
The binomial distribution is used when there are exactly two mutually exclusive outcomes of
a trial. These outcomes are appropriately labeled "success" and "failure". The binomial
distribution is used to obtain the probability of observing x successes in N trials, with the
probability of success on a single trial denoted by p. The binomial distribution assumes that p
is fixed for all trials.
The formula for the binomial probability mass function is
where
The following is the plot of the binomial probability density function for four values of p and
n = 100.
26

The formula for the binomial cumulative probability function is
The following is the plot of the binomial cumulative distribution function with the same
values of p as the pdf plots above.
Common Statistics
Mean
Mode
Range
0 to N
Standard Deviation
27
Coefficient of
Variation
Skewness
Kurtosis
The binomial distribution is probably the most commonly used discrete distribution
The maximum likelihood estimator of p (n is fixed) is
Poisson Distribution
The Poisson distribution is used to model the number of events occurring within a given time interval.
The formula for the Poisson probability mass function is
is the shape parameter which indicates the average number of events in the given time interval.
The following is the plot of the Poisson probability density function for four values of .

The formula for the Poisson cumulative probability function is
The following is the plot of the Poisson cumulative distribution function with the same values of as the pdf
plots above.
28
Common Statistics
Mean
Mode
For non-integer , it is the largest integer less than . For integer , x =
and x = - 1 are both the mode.
Range
Standard Deviation
Skewness
Kurtosis
The maximum likelihood estimator of is
where
is the sample mean.
http://www.xycoon.com/exponential.htm [Graph]
29

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Probability Distributions

To understand probability distributions, it is important to understand variables. random

X represents the random variable X.

Negative Binomial Distribution

2. It is non-negative for all real x.

Fatigue Life Distribution

Power Normal Distribution

Extreme Value Type I

The location parameter .

0 (It is undefined for equal to 1.)

0. It is undefined for less than or equal to 3. However, the t distribution is

approximately - 2/3 for large

where is the location parameter and

is the scale parameter (the scale parameter is often referred to as

Zero to positive infinity.

Zero to positive infinity

Fatigue Life Distribution

Cumulative Distribution Function

Zero to positive infinity.

where is the shape parameter, is the location parameter,

is the scale parameter, and is the gamma

where is the gamma function defined above and

is the incomplete gamma function. The incomplete

Double Exponential Distribution

Negative infinity to positive infinity

is the sample median.

Power Normal Distribution

Cumulative Distribution Function

where is the cumulative distribution function of the standard normal distribution.

Power Lognormal Distribution

Cumulative Distribution Function

where is the cumulative distribution function of the standard normal distribution.

Cumulative Distribution Function

Extreme Value Type I Distribution

Negative infinity to positive infinity.

and s are the sample mean and standard deviation, respectively

Cumulative Distribution Function

where B is the beta function defined above.

Cumulative Distribution Function

Cumulative Distribution Function

is the sample mean.

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