Table of Common Distributions

taken from Statistical Inference by Casella and Berger

Discrete Distrbutions
distribution pmf mean variance mgf/moment
Bernoulli(p) p
x
(1 p)
1x
; x = 0, 1; p (0, 1) p p(1 p) (1 p) +pe
t
Beta-binomial(n, , ) (
n
x
)
(+)
()()
(x+)(nx+)
(++n)
n
+
n
(+)
2
Notes: If X|P is binomial (n, P) and P is beta(, ), then X is beta-binomial(n, , ).
Binomial(n, p) (
n
x
)p
x
(1 p)
nx
; x = 1, . . . , n np np(1 p) [(1 p) +pe
t
]
n
Discrete Uniform(N)
1
N
; x = 1, . . . , N
N+1
2
(N+1)(N1)
12
1
N

N
i=1
e
it
Geometric(p) p(1 p)
x1
; p (0, 1)
1
p
1p
p
2
pe
t
1(1p)e
t
Note: Y = X 1 is negative binomial(1, p). The distribution is memoryless: P(X > s|X > t) = P(X > s t).
Hypergeometric(N, M, K)
(
M
x
)(
NM
Kx
)
(
N
K
)
; x = 1, . . . , K
KM
N
KM
N
(NM)(Nk)
N(N1)
?
M (N K) x M; N, M, K > 0
Negative Binomial(r, p) (
r+x1
x
)p
r
(1 p)
x
; p (0, 1)
r(1p)
p
r(1p)
p
2
_
p
1(1p)e
t
_
r
(
y1
r1
)p
r
(1 p)
yr
; Y = X +r
Poisson()
e

x
x!
; 0 e
(e
t
1)
Notes: If Y is gamma(, ), X is Poisson(
x

), and is an integer, then P(X ) = P(Y y).

1
Continuous Distributions
distribution pdf mean variance mgf/moment
Beta(, )
(+)
()()
x
1
(1 x)
1
; x (0, 1), , > 0

+

(+)
2
(++1)
1 +

k=1
_

k1
r=0
+r
++r
_
t
k
k!
Cauchy(, )
1

1
1+(
x

)
2
; > 0 does not exist does not exist does not exist
Notes: Special case of Studentss t with 1 degree of freedom. Also, if X, Y are iid N(0, 1),
X
Y
is Cauchy

2
p
1
(
p
2
)2
p
2
x
p
2
1
e

x
2
; x > 0, p N p 2p
_
1
12t
_
p
2
, t <
1
2
Notes: Gamma(
p
2
, 2).
Double Exponential(, )
1
2
e

|x|

; > 0 2
2 e
t
1(t)
2
Exponential()
1

; x 0, > 0
2 1
1t
, t <
1

Notes: Gamma(1, ). Memoryless. Y = X

1

is Weibull. Y =
_
2X

is Rayleigh. Y = log
X

is Gumbel.
F
1,2
(

1
+
2
2
)
(

1
2
)(

2
2
)
_
1
2
_

1
2
x

1
2
2
_
1+(

2
)x
_

1
+
2
2
; x > 0
2
22
,
2
> 2 2(
2
22
)
2 1+22
1(24)
,
2
> 4 EX
n
=
(

1
+2n
2
)(

2
2n
2
)
(

1
2
)(

2
2
)
_
2
1
_
n
, n <
2
2
Notes: F
1,2
=

2

1
/1

2
/2
, where the
2
s are independent. F
1,
= t
2

.
Gamma(, )
1
()

x
1
e

; x > 0, , > 0
2
_
1
1t
_

, t <
1

Notes: Some special cases are exponential ( = 1) and

2
( =
p
2
, = 2). If =
2
3
, Y =
_
X

is Maxwell. Y =
1
X
is inverted gamma.
Logistic(, )
1

_
1+e

_
2
; > 0

2

2
3
e
t
(1 +t), |t| <
1

Notes: The cdf is F(x|, ) =

1
1+e

.
Lognormal(,
2
)
1

2
1
x
e

(log x)
2
2
2
; x > 0, > 0 e
+

2
2
e
2(+
2
)
e
2+
2
EX
n
= e
n+
n
2

2
2
Normal(,
2
)
1

2
e

(x)
2
2
2
; > 0
2
e
t+

2
t
2
2
Pareto(, )

x
+1
; x > , , > 0

1
, > 1

2
(1)
2
(2)
, > 2 does not exist
t

(
+1
2
)
(

2
)
1

1
(1+
x
2

)
+1
2
0, > 1

2
, > 2 EX
n
=
(
+1
2
)(
n
2
)

2
)

n
2
, n even
Notes: t
2

= F
1,
.
Uniform(a, b)
1
ba
, a x b
b+a
2
(ba)
2
12
e
bt
e
at
(ba)t
Notes: If a = 0, b = 1, this is special case of beta ( = = 1).
Weibull(, )

x
1
e

; x > 0, , > 0
1

(1 +
1

)
2

_
(1 +
2

)
2
(1 +
1

)
_
EX
n
=
n

(1 +
n

)
Notes: The mgf only exists for 1.
2