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1 Introduction
This article is about probability distribution. For generalized functions in mathematical analysis, see Distribution
(mathematics). For other uses, see Distribution.
p(S)
0.16
1
_
6
__
5
36
1
_
9
__
1
12
__
1
18
__
1
36
0.2
0.3
0.4
34.1% 34.1%
0.1
0.0
0.1%
3
2.1%
13.6%
13.6%
0
2.1%
0.1%
3
if a total order is dened for its possible values), the cumulative distribution function (CDF) gives the probability that the random variable is no larger than a given value;
in the real-valued case, the CDF is the integral of the
probability density function (pdf) provided that this function exists.
Terminology
As probability theory is used in quite diverse applications, terminology is not uniform and sometimes confusing. The following terms are used for non-cumulative
probability distribution functions:
Probability mass, Probability mass function,
p.m.f.: for discrete random variables.
Categorical distribution: for discrete random variables with a nite set of values.
Probability density, Probability density function,
p.d.f.: most often reserved for continuous random
variables.
Tail: the complement of the head within the support; the large set of values where the pmf or pdf is
relatively low.
Expected value or mean: the weighted average of
the possible values, using their probabilities as their
weights; or the continuous analog thereof.
Median: the value such that the set of values less
than the median has a probability of one-half.
Variance: the second moment of the pmf or pdf
about the mean; an important measure of the
dispersion of the distribution.
Standard deviation: the square root of the variance,
and hence another measure of dispersion.
Symmetry: a property of some distributions in
which the portion of the distribution to the left of
a specic value is a mirror image of the portion to
its right.
Skewness: a measure of the extent to which a pmf
or pdf leans to one side of its mean.
F (x) = Pr [X x]
all for x R.
Finally,
2.1
Basic terms
Head: the range of values where the pmf or pdf is has probability zero.
relatively high.
4.1
1
0
The cdf of a discrete probability distribution, ...
fX (b) =
bX(A)
P (X 1 (b)) = P
bX(A)
X 1 (b) = P (A) =
bX(A)
1
0
... of a distribution which has both a continuous part and a discrete part.
Consequently, a discrete probability distribution is ofdistribution characterized by a probability mass function. ten represented as a generalized probability density funcThus, the distribution of a random variable X is discrete, tion involving Dirac delta functions, which substantially
and X is called a discrete random variable, if
unies the treatment of continuous and discrete distributions. This is especially useful when dealing with probability distributions involving both a continuous and a discrete part.
Pr(X = u) = 1
u
Well-known discrete probability distributions used in statistical modeling include the Poisson distribution, the
Bernoulli distribution, the binomial distribution, the
geometric distribution, and the negative binomial distribution. Additionally, the discrete uniform distribution is commonly used in computer programs that make
equal-probability random selections between a number of
choices.
Pr
i = X 1 (ui ) = { : X() = ui }, i = 0, 1, 2, . . .
These are disjoint sets, and by formula (1)
(
)
i
Pr(i ) =
Pr(X = ui ) = 1.
It follows that the probability that X takes any value except for u0 , u1 , ... is zero, and thus one can write X as
X=
ui 1i
except on a set of probability zero, where 1A is the of distributions, singular distributions, which are neither
indicator function of A. This may serve as an alternative continuous nor discrete nor a mixture of those. An exdenition of discrete random variables.
ample is given by the Cantor distribution. Such singular
distributions however are never encountered in practice.
Note on terminology: some authors use the term continuous distribution to denote the distribution with continuous cumulative distribution function. Thus, their denition includes both the (absolutely) continuous and singular distributions.
The denition states that a continuous probability distribution must possess a density, or equivalently, its cumula- 8 Random number generation
tive distribution function be absolutely continuous. This
requirement is stronger than simple continuity of the cu- Main article: Pseudo-random number sampling
mulative distribution function, and there is a special class
10.2
Related to positive real-valued quantities that grow exponentially (e.g. prices, incomes, populations)
A frequent problem in statistical simulations (the Monte 10.2 Related to positive real-valued quanCarlo method) is the generation of pseudo-random numtities that grow exponentially (e.g.
bers that are distributed in a given way. Most algorithms
prices, incomes, populations)
are based on a pseudorandom number generator that produces numbers X that are uniformly distributed in the
Log-normal distribution, for a single such quantity
interval [0,1). These random variates X are then transwhose log is normally distributed
formed via some algorithm to create a new random vari Pareto distribution, for a single such quantity whose
ate having the required probability distribution.
log is exponentially distributed; the prototypical
power law distribution
Applications
10.3 Related to real-valued quantities that
The concept of the probability distribution and the ranare assumed to be uniformly disdom variables which they describe underlies the mathetributed over a (possibly unknown)
matical discipline of probability theory, and the science
region
of statistics. There is spread or variability in almost any
value that can be measured in a population (e.g. height of
Discrete uniform distribution, for a nite set of valpeople, durability of a metal, sales growth, trac ow,
ues (e.g. the outcome of a fair die)
etc.); almost all measurements are made with some in Continuous uniform distribution, for continuously
trinsic error; in physics many processes are described
distributed values
probabilistically,from the kinetic properties of gases to
the quantum mechanical description of fundamental particles. For these and many other reasons, simple numbers
are often inadequate for describing a quantity, while 10.4 Related to Bernoulli trials (yes/no
events, with a given probability)
probability distributions are often more appropriate.
As a more specic example of an application, the cache
language models and other statistical language models
used in natural language processing to assign probabilities
to the occurrence of particular words and word sequences
do so by means of probability distributions.
10
10.1
Basic distributions:
Bernoulli distribution, for the outcome of a
single Bernoulli trial (e.g. success/failure,
yes/no)
Binomial distribution, for the number of positive occurrences (e.g. successes, yes votes,
etc.) given a xed total number of independent
occurrences
Negative binomial distribution, for binomialtype observations but where the quantity of interest is the number of failures before a given
number of successes occurs
Geometric distribution, for binomial-type observations but where the quantity of interest is
the number of failures before the rst success;
a special case of the negative binomial distribution
Related to sampling schemes over a nite population:
Hypergeometric distribution, for the number
of positive occurrences (e.g. successes, yes
votes, etc.) given a xed number of total
occurrences, using sampling without replacement
Beta-binomial distribution, for the number of
positive occurrences (e.g. successes, yes
votes, etc.) given a xed number of total occurrences, sampling using a Polya urn scheme
(in some sense, the opposite of sampling
without replacement)
11
10.5
SEE ALSO
Categorical distribution, for a single categorical outcome (e.g. yes/no/maybe in a survey); a generalization of the Bernoulli distribution
10.6
10.7
Rayleigh distribution, for the distribution of vector magnitudes with Gaussian distributed orthogonal components. Rayleigh distributions are found in
RF signals with Gaussian real and imaginary components.
Rice distribution, a generalization of the Rayleigh
distributions for where there is a stationary background signal component. Found in Rician fading
of radio signals due to multipath propagation and in
MR images with noise corruption on non-zero NMR
signals.
10.8
Beta distribution, for a single probability (real number between 0 and 1); conjugate to the Bernoulli distribution and binomial distribution
Gamma distribution, for a non-negative scaling
parameter; conjugate to the rate parameter of a
Poisson distribution or exponential distribution, the
precision (inverse variance) of a normal distribution,
etc.
Dirichlet distribution, for a vector of probabilities
that must sum to 1; conjugate to the categorical distribution and multinomial distribution; generalization of the beta distribution
Wishart distribution, for a symmetric non-negative
denite matrix; conjugate to the inverse of the
covariance matrix of a multivariate normal distribution; generalization of the gamma distribution
11 See also
Copula (statistics)
Empirical probability
Histogram
Joint probability distribution
Likelihood function
List of statistical topics
Kirkwood approximation
Moment-generating function
Quasiprobability distribution
RiemannStieltjes integral application to probability
theory
12
References
B. S. Everitt: The Cambridge Dictionary of Statistics, Cambridge University Press, Cambridge (3rd
edition, 2006). ISBN 0-521-69027-7
Bishop: Pattern Recognition and Machine Learning,
Springer, ISBN 0-387-31073-8
den Dekker A. J., Sijbers J., (2014) Data distributions in magnetic resonance images: a review,
Physica Medica,
13
External links
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