Probability Function Distribution Function Mean Variance MGF

Bernoulli p
pq X Var ) (
t
X
pe q t M + ) (
Binomial
(Bernoulli until
x successes)
x n x
x n X
q p C x p

) (
np
npq X Var ) (
n t
X
pe q t M ) ( ) ( +
Geometric
(Bernoulli till
first success)
p p n p
n
X
1
) 1 ( ) (


p p k p
k
Y
) 1 ( ) (
n
X
p n X P n X P n F ) 1 ( 1 ) 1 ( 1 ) ( ) ( +
1
) 1 ( 1 ) 1 ( 1 ) ( ) (
+
+
k
Y
p k Y k Y P k F
p
X E
1
) (
1
1
) (
p
Y E
p p
Y Var X Var
1 1
) ( ) (
2

t
t
X
e p
pe
t M
) 1 ( 1
) (

t Y
e p
p
t M
) 1 ( 1
) (

Approaches
) 1 ( ( p np np N
for lar!e n an" p
not too close to
# or 1$
%e!ati&e
Binomial
(ho' many trials
till 'e ha&e the
number of
successes)
) ( ) ( p k n f
n
k
p k n f
B NB

,
_

p
k N E
1
) (

,
_

p p
k N Var
1 1
) (
2
k
t
t
N
e p
pe
t M

,
_

) 1 ( 1
) (
kt
N K N X
e t M t M t M

) ( ) ( ) (
k
t X
e p
p
t M

,
_

) 1 ( 1
) (
( ) *failures
before +
th

success
(,%)-
.yper!eometric
m
N
x m
K N
x
K
X
C
C C
x p

) (
/niform
a b
x f

1
) (
2
) (
b a
X E
+

( )
12
) (
2
a b
N Var

0xponential x
e x f

) (
x
x
x
e dx e x X P x F

1 ) ( ) (
#

1
) ( X E
2
1
) (

X Var
Poisson

e
x
x p
x
X
1
) (
) (X E ) ( X Var 2um of 2 Poissons
is Poisson 'ith
2 1
+ $
Approaches
) ( N
Gamma
( )

x
e x
x f
1
) (
( )
( )
x
n
e
n
x
x f

1
) (

n
( )
dx e
n
x
x X P x F
x
x
n

#
1
1 1
) ( ) (

( ) ( ) ( )
( )
1
]
1

+ + +

1 1
$$$$$
1 3 1 2 1 1
1 1 ) (
1 3 2
n
x x x x
e x F
n
x

( ) ( )

,
_

2
1
1 1 n n
Gamma
Function ( )

+


#
1
dt e t n
t

2 2

Beta
Distribution
( )
( )

1
#
1
1
) (
dp p p
p p
p f
n m
n m
( )

p
n m
dp p p
B
p F
#
1
) (
1
) (

k n m k
n m
m k
k
n m
p p C p F
+ +
+ +
+
+ +


1
1
1
1
) 1 ( ) (

,
_

+ +

,
_

,
_

1
1
2

Beta Function
( ) ( )

1
#
1 dp p p B
n m

( )
( ) ( )
( )


+

B
4eibull

) (
) (
x
e x X P

>

+
>
#
) Pr( ) (
n n
dx x X X E

,
_

+
,
_

1
1
) (

n
X E
n
n
Pareto

,
_

+
>
x
x X P ) (
k
k
n
C
X E
1
) (

%ormal
) ( ) ( ) (
X
X
x
z P x X P x F

< <
5inear
6ombination of
t'o or more
%ormal r&7s is
normal$
5o! %ormal
1
]
1

< <
Y
Y
y
y Y P y Y P y F
ln
ln
ln
) ln (ln ) ( ) (

2
ln ln
2
1
) (
Y Y
e Y E
+

2
ln ln
2 2 2
) (
Y Y
e Y E
+

6hi8s9uare
2
n

2
n X E ) (
2
n X Var 2 ) (
2 2

2
) 2 1 (
1
) (
n X
t
t M

2
X has
Gamma
"istribution$
Bi&ariate
%ormal [ ] ) (
) (
) (
) ( ) : ( X E X
X Var
Y X Cov
Y E X Y E +
2 2 2
:
) 1 (
Y X Y

0xponential;
b a
b
a
x
e e dx e

b a
b
a
x
e b e a dx e x

,
_

+
,
_

1 1
b a
b
a
x
e b e a dx e x

1
1
]
1

,
_

+
,
_

+
1
1
]
1

,
_

+
,
_

2 2 2 2
2
1 1 1 1