Probability distribution

In probability theory and statistics, a probability distribution is the mathematical function that gives the
probabilities of occurrence of different possible outcomes for an experiment.[1][2] It is a mathematical
description of a random phenomenon in terms of its sample space and the probabilities of events (subsets of
the sample space).[3]

For instance, if X is used to denote the outcome of a coin toss ("the experiment"), then the probability
distribution of X would take the value 0.5 (1 in 2 or 1/2) for X = heads, and 0.5 for X = tails (assuming
that the coin is fair). Examples of random phenomena include the weather conditions at some future date,
the height of a randomly selected person, the fraction of male students in a school, the results of a survey to
be conducted, etc.[4]

Contents
Introduction
General definition
Terminology
Basic terms
Discrete probability distributions
Continuous probability distributions
Related terms
Cumulative distribution function
Discrete probability distribution
Cumulative distribution function
Dirac delta representation
Indicator-function representation
One-point distribution
Continuous probability distribution
Cumulative distribution function
Kolmogorov definition
Other kinds of distributions
Random number generation
Common probability distributions and their applications
Linear growth (e.g. errors, offsets)
Exponential growth (e.g. prices, incomes, populations)
Uniformly distributed quantities
Bernoulli trials (yes/no events, with a given probability)
Categorical outcomes (events with '"`UNIQ--postMath-0000009E-QINU`"' possible
outcomes)
Poisson process (events that occur independently with a given rate)
 Absolute values of vectors with normally distributed components
Normally distributed quantities operated with sum of squares
As conjugate prior distributions in Bayesian inference
Some specialized applications of probability distributions
See also
Lists
References
Citations
Sources
External links

Introduction
A probability distribution is a mathematical description of the
probabilities of events, subsets of the sample space. The
sample space, often denoted by , is the set of all possible
outcomes of a random phenomenon being observed; it may be
any set: a set of real numbers, a set of vectors, a set of arbitrary
non-numerical values, etc. For example, the sample space of a
coin flip would be Ω = {heads, tails}.

To define probability distributions for the specific case of

random variables (so the sample space can be seen as a
numeric set), it is common to distinguish between discrete and The probability mass function (pmf)
continuous random variables. In the discrete case, it is specifies the probability distribution for the
sufficient to specify a probability mass function assigning a sum of counts from two dice. For
probability to each possible outcome: for example, when example, the figure shows that
throwing a fair die, each of the six values 1 to 6 has the . The pmf allows the
probability 1/6. The probability of an event is then defined to computation of probabilities of events
be the sum of the probabilities of the outcomes that satisfy the such as
event; for example, the probability of the event "the die rolls ,
an even value" is and all other probabilities in the
distribution.

In contrast, when a random variable takes values from a continuum then typically, any individual outcome
has probability zero and only events that include infinitely many outcomes, such as intervals, can have
positive probability. For example, consider measuring the weight of a piece of ham in the supermarket, and
assume the scale has many digits of precision. The probability that it weighs exactly 500 g is zero, as it will
most likely have some non-zero decimal digits. Nevertheless, one might demand, in quality control, that a
package of "500 g" of ham must weigh between 490 g and 510 g with at least 98% probability, and this
demand is less sensitive to the accuracy of measurement instruments.

Continuous probability distributions can be described in several ways. The probability density function
describes the infinitesimal probability of any given value, and the probability that the outcome lies in a
given interval can be computed by integrating the probability density function over that interval.[5] An
alternative description of the distribution is by means of the cumulative distribution function, which
describes the probability that the random variable is no larger than a given value (i.e., for some
). The cumulative distribution function is the area under the probability density function from to ,
as described by the picture to
the right.[6]

General definition
A probability distribution can
be described in various forms,
such as by a probability mass
function or a cumulative On the left is the probability density function. On the right is the cumulative
distribution function. One of distribution function, which is the area under the probability density curve.
the most general descriptions,
which applies for continuous
and discrete variables, is by means of a probability function whose input space is related to
the sample space, and gives a real number probability as its output. [7]

The probability function can take as argument subsets of the sample space itself, as in the coin toss
example, where the function was defined so that (heads) = 0.5 and (tails) = 0.5 . However,
because of the widespread use of random variables, which transform the sample space into a set of numbers
(e.g., , ), it is more common to study probability distributions whose argument are subsets of these
particular kinds of sets (number sets),[8] and all probability distributions discussed in this article are of this
type. It is common to denote as ( ) the probability that a certain variable belongs to a certain
event . [4][9]

The above probability function only characterizes a probability distribution if it satisfies all the Kolmogorov
axioms, that is:

1. , so the probability is non-negative

2. , so no probability exceeds
3. for any disjoint family of sets

The concept of probability function is made more rigorous by defining it as the element of a probability
space , where is the set of possible outcomes, is the set of all subsets whose
probability can be measured, and is the probability function, or probability measure, that assigns a
probability to each of these measurable subsets .[10]

Probability distributions usually belong to one of two classes. A discrete probability distribution is
applicable to the scenarios where the set of possible outcomes is discrete (e.g. a coin toss, a roll of a die)
and the probabilities are encoded by a discrete list of the probabilities of the outcomes; in this case the
discrete probability distribution is known as probability mass function. On the other hand, continuous
probability distributions are applicable to scenarios where the set of possible outcomes can take on values
in a continuous range (e.g. real numbers), such as the temperature on a given day. In the case of real
numbers, the continuous probability distribution is described by the cumulative distribution function. In the
continuous case, probabilities are described by a probability density function, and the probability
distribution is by definition the integral of the probability density function.[4][5][9] The normal distribution is
a commonly encountered continuous probability distribution. More complex experiments, such as those
involving stochastic processes defined in continuous time, may demand the use of more general probability
measures.
A probability distribution whose sample space is one-dimensional (for example real numbers, list of labels,
ordered labels or binary) is called univariate, while a distribution whose sample space is a vector space of
dimension 2 or more is called multivariate. A univariate distribution gives the probabilities of a single
random variable taking on various different values; a multivariate distribution (a joint probability
distribution) gives the probabilities of a random vector – a list of two or more random variables – taking on
various combinations of values. Important and commonly encountered univariate probability distributions
include the binomial distribution, the hypergeometric distribution, and the normal distribution. A commonly
encountered multivariate distribution is the multivariate normal distribution.

Besides the probability function, the cumulative distribution function, the probability mass function and the
probability density function, the moment generating function and the characteristic function also serve to
identify a probability distribution, as they uniquely determine an underlying cumulative distribution
function.[11]

Terminology
Some key concepts and terms, widely used in the literature on
the topic of probability distributions, are listed below.[1]

Basic terms The probability density function (pdf) of

Random variable: takes values from a sample the normal distribution, also called
space; probabilities describe which values and set Gaussian or "bell curve", the most
of values are taken more likely. important continuous random distribution.
As notated on the figure, the probabilities
Event: set of possible values (outcomes) of a
random variable that occurs with a certain of intervals of values correspond to the
probability. area under the curve.

Probability function or probability measure:

describes the probability that the event
occurs.[7]

Cumulative distribution function: function evaluating the probability that will take a
value less than or equal to for a random variable (only for real-valued random variables).
Quantile function: the inverse of the cumulative distribution function. Gives such that, with
probability , will not exceed .

Discrete probability distributions

Discrete probability distribution: for many random variables with finitely or countably
infititely many values.
Probability mass function (pmf): function that gives the probability that a discrete random
variable is equal to some value.
Frequency distribution: a table that displays the frequency of various outcomes in a
sample.
Relative frequency distribution: a frequency distribution where each value has been
divided (normalized) by a number of outcomes in a sample (i.e. sample size).
Categorical distribution: for discrete random variables with a finite set of values.

Continuous probability distributions

 Continuous probability distribution: for many random variables with uncountably many
values.
Probability density function (pdf) or Probability density: function whose value at any
given sample (or point) in the sample space (the set of possible values taken by the random
variable) can be interpreted as providing a relative likelihood that the value of the random
variable would equal that sample.

Related terms
Support: set of values that can be assumed with non-zero probability by the random
variable. For a random variable , it is sometimes denoted as .
Tail:[12] the regions close to the bounds of the random variable, if the pmf or pdf are relatively
low therein. Usually has the form , or a union thereof.
Head:[12] the region where the pmf or pdf is relatively high. Usually has the form .
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, and the set greater than
the median, each have probabilities no greater than one-half.
Mode: for a discrete random variable, the value with highest probability; for a continuous
random variable, a location at which the probability density function has a local peak.
Quantile: the q-quantile is the value such that .
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 specific value (usually the median) 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.
The third standardized moment of the distribution.
Kurtosis: a measure of the "fatness" of the tails of a pmf or pdf. The fourth standardized
moment of the distribution.

Cumulative distribution function

In the special case of a real-valued random variable, the probability distribution can equivalently be
represented by a cumulative distribution function instead of a probability measure. The cumulative
distribution function of a random variable with regard to a probability distribution is defined as

The cumulative distribution function of any real-valued random variable has the properties:

is non-decreasing;

is right-continuous;

and ; and
 .

Conversely, any function that satisfies the first four of the properties above is the cumulative
distribution function of some probability distribution on the real numbers.[13]

Any probability distribution can be decomposed as the sum of a discrete, a continuous and a singular
continuous distribution,[14] and thus any cumulative distribution function admits a decomposition as the
sum of the three according cumulative distribution functions.

Discrete probability distribution

A discrete probability distribution is the probability distribution
of a random variable that can take on only a countable number of
values[15] (almost surely)[16] which means that the probability of
any event can be expressed as a (finite or countably infinite)
sum:
The probability mass function of a
, discrete probability distribution. The
probabilities of the singletons {1}, {3},
and {7} are respectively 0.2, 0.5, 0.3.
where is a countable set. Thus the discrete random variables are
A set not containing any of these
exactly those with a probability mass function .
points has probability zero.
In the case where the range of values is countably infinite, these
values have to decline to zero fast enough for the probabilities to
add up to 1. For example, if for , the sum
of probabilities would be .

A discrete random variable is a random variable whose

probability distribution is discrete. The cdf of a discrete probability
distribution, ...
Well-known discrete probability distributions used in statistical
modeling include the Poisson distribution, the Bernoulli
distribution, the binomial distribution, the geometric distribution,
the negative binomial distribution and categorical distribution.[3]
When a sample (a set of observations) is drawn from a larger
population, the sample points have an empirical distribution that is
discrete, and which provides information about the population ... of a continuous probability
distribution. Additionally, the discrete uniform distribution is distribution, ...
commonly used in computer programs that make equal-probability
random selections between a number of choices.

Cumulative distribution function

A real-valued discrete random variable can equivalently be defined

as a random variable whose cumulative distribution function ... of a distribution which has both a
continuous part and a discrete part.
increases only by jump discontinuities—that is, its cdf increases
only where it "jumps" to a higher value, and is constant in intervals
without jumps. The points where jumps occur are precisely the
values which the random variable may take.
Thus the cumulative distribution function has the form
 .

Note that the points where the cdf jumps always form a countable set; this may be any countable set and
thus may even be dense in the real numbers.

Dirac delta representation

A discrete probability distribution is often represented with Dirac measures, the probability distributions of
deterministic random variables. For any outcome , let be the Dirac measure concentrated at . Given a
discrete probability distribution, there is a countable set with and a probability mass
function . If is any event, then

or in short, .

Similarly, discrete distributions can be represented with the Dirac delta function as a generalized probability
density function , where , which means

for any event [17]

Indicator-function representation

For a discrete random variable , let be the values it can take with non-zero probability.
Denote

These are disjoint sets, and for such sets

It follows that the probability that takes any value except for is zero, and thus one can write
as

except on a set of probability zero, where is the indicator function of . This may serve as an
alternative definition of discrete random variables.

One-point distribution
A special case is the discrete distribution of a random variable that can take on only one fixed value; in
other words, it is a deterministic distribution. Expressed formally, the random variable has a one-point
distribution if it has a possible outcome such that [18] All other possible outcomes then
have probability 0. Its cumulative distribution function jumps immediately from 0 to 1.

Continuous probability distribution

A continuous probability distribution is a probability distribution on the real numbers with uncountably
many possible values, such as a whole interval in the real line, and where the probability of any event can
be expressed as an integral.[19] More precisely, a real random variable has a continuous probability
distribution if there is a function such that for each interval the probability of
belonging to is given by the integral of over :

.[20][21]

This is the definition of a probability density function, so that continuous probability distributions are
exactly those with a probability density function.
In particular, the probability for to take any single value
(that is, ) is zero, because an integral with coinciding upper and lower limits is always equal
to zero.
If the interval is replaced by any measurable set , the according equality still holds:

A continuous random variable is a random variable whose probability distribution is continuous.

There are many examples of continuous probability distributions: normal, uniform, chi-squared, and others.

Cumulative distribution function

Continuous probability distributions as defined above are precisely those with an absolutely continuous
cumulative distribution function.
In this case, the cumulative distribution function has the form

where is a density of the random variable with regard to the distribution .

Note on terminology: Some authors use the term "continuous distribution" to denote all distributions whose
cumulative distribution function is continuous, instead of requiring absolute continuity, which means all
distributions such that for all . This includes the (absolutely) continuous distributions
defined above, but it also includes singular distributions, which are neither absolutely continuous nor
discrete nor a mixture of those, and do not have a density. An example is given by the Cantor distribution.
For a more general definition of density functions and the equivalent absolute continuous measures see
absolutely continuous measure.

Kolmogorov definition
In the measure-theoretic formalization of probability theory, a random variable is defined as a measurable
function from a probability space to a measurable space . Given that probabilities of
events of the form satisfy Kolmogorov's probability axioms, the probability
distribution of is the pushforward measure of , which is a probability measure on
satisfying .[22][23][24]

Other kinds of distributions

Continuous and discrete distributions with support on
or are extremely useful to model a myriad of
phenomena,[4][6] since most practical distributions are
supported on relatively simple subsets, such as
hypercubes or balls. However, this is not always the
case, and there exist phenomena with supports that are
actually complicated curves within
some space or similar. In these cases, the
probability distribution is supported on the image of
such curve, and is likely to be determined empirically,
rather than finding a closed formula for it.[25]

One example is shown in the figure to the right, which One solution for the Rabinovich–Fabrikant
displays the evolution of a system of differential equations. What is the probability of observing a
state on a certain place of the support (i.e., the red
equations (commonly known as the Rabinovich–
subset)?
Fabrikant equations) that can be used to model the
behaviour of Langmuir waves in plasma.[26] When
this phenomenon is studied, the observed states from
the subset are as indicated in red. So one could ask what is the probability of observing a state in a certain
position of the red subset; if such a probability exists, it is called the probability measure of the
system.[27][25]

This kind of complicated support appears quite frequently in dynamical systems. It is not simple to establish
that the system has a probability measure, and the main problem is the following. Let be
instants in time and a subset of the support; if the probability measure exists for the system, one would
expect the frequency of observing states inside set would be equal in interval and , which
might not happen; for example, it could oscillate similar to a sine, , whose limit when does
not converge. Formally, the measure exists only if the limit of the relative frequency converges when the
system is observed into the infinite future.[28] The branch of dynamical systems that studies the existence of
a probability measure is ergodic theory.

Note that even in these cases, the probability distribution, if it exists, might still be termed "continuous" or
"discrete" depending on whether the support is uncountable or countable, respectively.

Random number generation

Most algorithms are based on a pseudorandom number generator that produces numbers that are
uniformly distributed in the half-open interval [0,1). These random variates are then transformed via
some algorithm to create a new random variate having the required probability distribution. With this source
of uniform pseudo-randomness, realizations of any random variable can be generated.[29]
For example, suppose has a uniform distribution between 0 and 1. To construct a random Bernoulli
variable for some , we define

so that

This random variable X has a Bernoulli distribution with parameter .[29] Note that this is a transformation
of discrete random variable.

For a distribution function of a continuous random variable, a continuous random variable must be
constructed. , an inverse function of , relates to the uniform variable :

For example, suppose a random variable that has an exponential distribution must be
constructed.

so and if has a distribution, then the random variable is defined

by . This has an exponential distribution of .[29]

A frequent problem in statistical simulations (the Monte Carlo method) is the generation of pseudo-random
numbers that are distributed in a given way.

Common probability distributions and their applications

The concept of the probability distribution and the random variables which they describe underlies the
mathematical discipline of probability theory, and the science of statistics. There is spread or variability in
almost any value that can be measured in a population (e.g. height of people, durability of a metal, sales
growth, traffic flow, etc.); almost all measurements are made with some intrinsic error; in physics, many
processes are described 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 probability distributions are often more appropriate.

The following is a list of some of the most common probability distributions, grouped by the type of
process that they are related to. For a more complete list, see list of probability distributions, which groups
by the nature of the outcome being considered (discrete, continuous, multivariate, etc.)
All of the univariate distributions below are singly peaked; that is, it is assumed that the values cluster
around a single point. In practice, actually observed quantities may cluster around multiple values. Such
quantities can be modeled using a mixture distribution.

Linear growth (e.g. errors, offsets)

Normal distribution (Gaussian distribution), for a single such quantity; the most commonly
used continuous distribution

Exponential growth (e.g. prices, incomes, populations)

Log-normal distribution, for a single such quantity whose log is normally distributed
Pareto distribution, for a single such quantity whose log is exponentially distributed; the
prototypical power law distribution

Uniformly distributed quantities

Discrete uniform distribution, for a finite set of values (e.g. the outcome of a fair die)
Continuous uniform distribution, for continuously distributed values

Bernoulli trials (yes/no events, with a given probability)

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 fixed total number of independent occurrences
Negative binomial distribution, for binomial-type 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 first success; a special case of the negative binomial
distribution
Related to sampling schemes over a finite population:
Hypergeometric distribution, for the number of "positive occurrences" (e.g. successes,
yes votes, etc.) given a fixed 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 fixed number of total occurrences, sampling using a Pólya urn model
(in some sense, the "opposite" of sampling without replacement)

Categorical outcomes (events with possible outcomes)

Categorical distribution, for a single categorical outcome (e.g. yes/no/maybe in a survey); a
generalization of the Bernoulli distribution
Multinomial distribution, for the number of each type of categorical outcome, given a fixed
number of total outcomes; a generalization of the binomial distribution
 Multivariate hypergeometric distribution, similar to the multinomial distribution, but using
sampling without replacement; a generalization of the hypergeometric distribution

Poisson process (events that occur independently with a given rate)

Poisson distribution, for the number of occurrences of a Poisson-type event in a given period
of time
Exponential distribution, for the time before the next Poisson-type event occurs
Gamma distribution, for the time before the next k Poisson-type events occur

Absolute values of vectors with normally distributed components

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.

Normally distributed quantities operated with sum of squares

Chi-squared distribution, the distribution of a sum of squared standard normal variables;
useful e.g. for inference regarding the sample variance of normally distributed samples (see
chi-squared test)
Student's t distribution, the distribution of the ratio of a standard normal variable and the
square root of a scaled chi squared variable; useful for inference regarding the mean of
normally distributed samples with unknown variance (see Student's t-test)
F-distribution, the distribution of the ratio of two scaled chi squared variables; useful e.g. for
inferences that involve comparing variances or involving R-squared (the squared correlation
coefficient)

As conjugate prior distributions in Bayesian inference

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 definite matrix; conjugate to the inverse of
the covariance matrix of a multivariate normal distribution; generalization of the gamma
distribution[30]

Some specialized applications of probability distributions

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.
 In quantum mechanics, the probability density of finding the particle at a given point is
proportional to the square of the magnitude of the particle's wavefunction at that point (see
Born rule). Therefore, the probability distribution function of the position of a particle is

described by , probability that the particle's position x will be in

the interval a ≤ x ≤ b in dimension one, and a similar triple integral in dimension three. This
is a key principle of quantum mechanics.[31]
Probabilistic load flow in power-flow study explains the uncertainties of input variables as
probability distribution and provides the power flow calculation also in term of probability
distribution.[32]
Prediction of natural phenomena occurrences based on previous frequency distributions
such as tropical cyclones, hail, time in between events, etc.[33]

See also
Conditional probability distribution
Joint probability distribution
Quasiprobability distribution
Empirical probability distribution
Histogram
Riemann–Stieltjes integral application to probability theory

Lists
List of probability distributions
List of statistical topics

References

Citations
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External links
"Probability distribution" (https://www.encyclopediaofmath.org/index.php?title=Probability_di
stribution), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Field Guide to Continuous Probability Distributions (http://threeplusone.com/FieldGuide.pdf),
Gavin E. Crooks.

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