Common Distributions - Core Definitions
Probability distributions form families characterized by parameters that control their shape, location, and scale. Understanding these distribution families is essential for statistical modeling.
The Normal (Gaussian) Distribution
has PDF:
Parameters: (mean), (variance)
The normal distribution is the most important continuous distribution, arising naturally from the Central Limit Theorem. The standard normal has CDF denoted .
Properties:
- Symmetric about
- Bell-shaped curve
- 68-95-99.7 rule: Approximately 68%, 95%, 99.7% of mass within 1, 2, 3 standard deviations
- MGF:
The Binomial Distribution
represents successes in independent Bernoulli trials:
Parameters: (trials), (success probability)
Properties:
- ,
- MGF:
- Sum of independent Binomial is Binomial (same )
- Normal approximation: For large ,
The Poisson Distribution
models rare events occurring at rate :
Parameter: (rate)
Properties:
- MGF:
- Sum of independent Poisson is Poisson
- Approximates Binomial when large, small,
The Exponential Distribution
models waiting times with rate :
Parameter: (rate)
Properties:
- ,
- CDF: for
- Memoryless:
- MGF: for
- Minimum of independent Exponential is Exponential
The Gamma Distribution
generalizes the exponential:
Parameters: (shape), (rate)
where
Properties:
- ,
- Exponential
- Sum of independent Exponential is Gamma
- Chi-squared
These distributions are not arbitrary—they arise naturally from physical processes. Normal from sums (CLT), Poisson from rare events, Exponential from memoryless waiting times, and Gamma from sums of exponentials. Understanding their origins helps in choosing appropriate models.