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). More commonly, probability distributions are used to compare the relative occurrence
many different random values.

Probability distributions can be defined in different ways and for discrete or for continuous variables.
Distributions with special properties or for especially important applications are given specific names.

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 absolutely continuous random
variables. In the discrete case, it is sufficient to specify a probability mass function assigning a probability
to each possible outcome: for example, when throwing a fair dice, each of the six values 1 to 6 has the
probability 1/6. The probability of an event is then defined to be the sum of the probabilities of the
outcomes that satisfy the event; for example, the probability of the event "the die rolls an even value" is

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.

Absolutely 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.[4] 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.[5]
The left graph shows a probability density function. The right graph shows the
cumulative distribution function, for which the value at a equals the area
General under the probability density curve to the left of a.

probability
definition
A probability distribution can be described in various forms, such as by a probability mass function or a
cumulative distribution function. One of the most general descriptions, which applies for absolutely
continuous and discrete variables, is by means of a probability function whose input space
is a σ-algebra, and gives a real number probability as its output, particulary, a number in .

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 P(heads) = 0.5 and P(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),[6] and all probability distributions discussed in this article are of this
type. It is common to denote as the probability that a certain value of the variable belongs to
a certain event . [7][8]

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 .[9]

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, absolutely
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
absolutely continuous case, probabilities are described by a probability density function, and the probability
distribution is by definition the integral of the probability density function.[7][4][8] The normal distribution is
a commonly encountered absolutely 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.[10]

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 of Gaussian or "bell curve", the most
values are taken more likely. important absolutely continuous random
distribution. As notated on the figure, the
Event: set of possible values (outcomes) of a random
probabilities of intervals of values
variable that occurs with a certain probability.
correspond to the area under the curve.
Probability function or probability measure:
describes the probability that the event
occurs. [11]

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
infinitely 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.

Absolutely continuous probability distributions

Absolutely 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 an absolutely
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 mixture of a discrete, an absolutely continuous and a
singular continuous distribution,[14] and thus any cumulative distribution function admits a decomposition
as the convex 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:

where is a countable set with . Thus the

discrete random variables (i.e. random variables whose The probability mass function (pmf)
probability distribution is discrete) are exactly those with a specifies the probability distribution for
probability mass function . In the case the sum of counts from two dice. For
where the range of values is countably infinite, these values example, the figure shows that
have to decline to zero fast enough for the probabilities to add . The pmf allows
the computation of probabilities of events
up to 1. For example, if for , the sum
such as
of probabilities would be . ,
and all other probabilities in the
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 distribution.
Additionally, the discrete uniform distribution is commonly used in
computer programs that make equal-probability random selections
between a number of choices.

The probability mass function of a

Cumulative distribution function discrete probability distribution. The
probabilities of the singletons {1},
A real-valued discrete random variable can equivalently be defined {3}, and {7} are respectively 0.2, 0.5,
as a random variable whose cumulative distribution function 0.3. A set not containing any of
increases only by jump discontinuities—that is, its cdf increases these points has probability zero.
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

The cdf of a discrete probability

distribution, ...

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 ... of a continuous probability

distribution, ...
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
... of a distribution which has both a
continuous part and a discrete part

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.

Absolutely continuous probability distribution

An absolutely 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 an absolutely
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 absolutely 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:

An absolutely continuous random variable is a random variable whose probability distribution is

absolutely continuous.

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

Cumulative distribution function

Absolutely 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: Absolutely continuous distributions ought to be distinguished from continuous

distributions, which are those having a continuous cumulative distribution function. Every absolutely
continuous distribution is a continuous distribution but the inverse is not true, there exist 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. Some authors however use the term "continuous
distribution" to denote all distributions whose cumulative distribution function is absolutely continuous, i.e.
refer to absolutely continuous distributions as continuous distributions.[7]

For a more general definition of density functions and the equivalent absolutely 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 image measure of , which is a probability measure on satisfying
.[22][23][24]

Other kinds of distributions

Absolutely continuous and discrete distributions with
support on or are extremely useful to model a
myriad of phenomena,[7][5] 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 solution for the Rabinovich–Fabrikant
equations. What is the probability of observing a
One example is shown in the figure to the right, which
state on a certain place of the support (i.e., the red
displays the evolution of a system of differential
subset)?
equations (commonly known as the Rabinovich–
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 "absolutely
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] This is a transformation of
discrete random variable.

For a distribution function of an absolutely continuous random variable, an absolutely 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, absolutely 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 absolutely 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 dice)
Continuous uniform distribution, for absolutely 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 K 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]

Fitting
Probability distribution fitting or simply distribution fitting is the fitting of a probability distribution to a
series of data concerning the repeated measurement of a variable phenomenon. The aim of distribution
fitting is to predict the probability or to forecast the frequency of occurrence of the magnitude of the
phenomenon in a certain interval.

There are many probability distributions (see list of probability distributions) of which some can be fitted
more closely to the observed frequency of the data than others, depending on the characteristics of the
phenomenon and of the distribution. The distribution giving a close fit is supposed to lead to good
predictions.

In distribution fitting, therefore, one needs to select a distribution that suits the data well.

See also
Mathematics
portal

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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Erwin (2005), "Why probability and statistics?", A Modern Introduction to Probability and
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den Dekker, A. J.; Sijbers, J. (2014). "Data distributions in magnetic resonance images: A
review". Physica Medica. 30 (7): 725–741. doi:10.1016/j.ejmp.2014.05.002 (https://doi.org/1
0.1016%2Fj.ejmp.2014.05.002). PMID 25059432 (https://pubmed.ncbi.nlm.nih.gov/2505943
2).
Vapnik, Vladimir Naumovich (1998). Statistical Learning Theory. John Wiley and Sons.

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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