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[汇编]概率分布函数各种类型

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[汇编]概率分布函数各种类型[汇编]概率分布函数各种类型 Diagram of distribution relationships Probability distributions have a surprising number inter-connections. A dashed line in the chart below indicates an approximate (limit) relationship between two distribution families. A solid line indicates...

[汇编]概率分布函数各种类型
[汇编]概率分布函数各种类型 Diagram of distribution relationships Probability distributions have a surprising number inter-connections. A dashed line in the chart below indicates an approximate (limit) relationship between two distribution families. A solid line indicates an exact relationship: special case, sum, or transformation. Click on a distribution for the parameterization of that distribution. Click on an arrow for details on the relationship represented by the arrow. Other diagrams on this site: The chart above is adapted from the chart originally published by Lawrence Leemis in 1986 (Relationships Among Common Univariate Distributions, American Statistician 40:143-146.) Leemis published a larger chart in 2008 which is available online. The precise relationships between distributions depend on parameterization. The relationships detailed below depend on the following parameterizations for the PDFs. Let C(n, k) denote the binomial coefficient(n, k) and B(a, b) = Γ(a) Γ(b) / Γ(a + b). xGeometric: f(x) = p (1-p) for non-negative integers x. Discrete uniform: f(x) = 1/n for x = 1, 2, ..., n. rxNegative binomial: f(x) = C(r + x - 1, x) p(1-p) for non-negative integers x. See notes on the negative binomial distribution. Beta binomial: f(x) = C(n, x) B(α + x, n + β - x) / B(α, β) for x = 0, 1, ..., n. Hypergeometric: f(x) = C(M, x) C(N-M, K - x) / C(N, K) for x = 0, 1, ..., N. xPoisson: f(x) = exp(-λ) λ/ x! for non-negative integers x. The parameter λ is both the mean and the variance. xn-xBinomial: f(x) = C(n, x) p(1 - p) for x = 0, 1, ..., n. x1-xBernoulli: f(x) = p(1 - p) where x = 0 or 1. 2-1/222Lognormal: f(x) = (2πσ) exp( -(log(x) - μ)/ 2σ) / x for positive x. Note that 2μ and σare not the mean and variance of the distribution. 2-1/22Normal : f(x) = (2π σ) exp( - ?((x - μ)/σ) ) for all x. α-1β-1Beta: f(x) = Γ(α + β) x(1 - x) / (Γ(α) Γ(β)) for 0 ? x ? 1. -1/22Standard normal: f(x) = (2π) exp( -x/2) for all x. -ν/2-1ν/2 exp(-x/2) / Γ(ν/2) 2 for posChi-squared: f(x) = xitive x. The parameter ν is called the degrees of freedom. -αα-1Gamma: f(x) = β x exp(-x/β) / Γ(α) for positive x. The parameter α is called the shape and β is the scale. Uniform: f(x) = 1 for 0 ? x ? 1. 22Cauchy: f(x) = σ/(π( (x - μ) + σ) ) for all x. Note that μ and σ are location and scale parameters. The Cauchy distribution has no mean or variance. (ν - 2)/2(ν)/2Snedecor F: f(x) is proportional to x / (1 + (ν/ν) x) for positive x.1121 + ν2 Exponential: f(x) = exp(-x/μ)/μ for positive x. The parameter μ is the mean. 2-(ν + 1)/2 Student t: f(x) is proportional to (1 + (x/ν))for positive x. The parameter ν is called the degrees of freedom. γ-1γWeibull: f(x) = (γ/β) x exp(- x/β) for positive x. The parameter γ is the shape and β is the scale. Double exponential : f(x) = exp(-|x-μ|/σ) / 2σ for all x. The parameter μ is the location and mean; σ is the scale. For comparison, see distribution parameterizations in R/S-PLUS and Mathematica. In all statements about two random variables, the random variables are implicitly independent. Geometric / negative binomial: If each X is geometric random variable with i probability of success p then the sum of n X's is a negative binomial random i variable with parameters n and p. Negative binomial / geometric: A negative binomial distribution with r = 1 is a geometric distribution. Negative binomial / Poisson: If X has a negative binomial random variable with r large, p near 1, and r(1-p) = λ, then F ? F where Y is a Poisson XY random variable with mean λ. Beta-binomial / discrete uniform: A beta-binomial (n, 1, 1) random variable is a discrete uniform random variable over the values 0 ... n. Beta-binomial / binomial: Let X be a beta-binomial random variable with parameters (n, α, β). Let p = α/(α + β) and suppose α + β is large. If Y is a binomial(n, p) random variable then F ? F. XY Hypergeometric / binomial: The difference between a hypergeometric distribution and a binomial distribution is the difference between sampling without replacement and sampling with replacement. As the population size increases relative to the sample size, the difference becomes negligible. Geometric / geometric: If X and X are geometric random variables with 12 probability of success p and p respectively, then min(X, X) is a geometric 1212 random variable with probability of success p = p + p - p p. The 1212 relationship is simpler in terms of failure probabilities: q = q q.12 Poisson / Poisson: If X and X are Poisson random variables with means μ 121 and μrespectively, then X + X is a Poisson random variable with mean μ + 2121 μ. 2 Binomial / Poisson: If X is a binomial(n, p) random variable and Y is a Poisson(np) distribution then P(X = n) ? P(Y = n) if n is large and np is small. For more information, see Poisson approximation to binomial. Binomial / Bernoulli: If X is a binomial(n, p) random variable with n = 1, X is a Bernoulli(p) random variable. Bernoulli / Binomial: The sum of n Bernoulli(p) random variables is a binomial(n, p) random variable. Poisson / normal: If X is a Poisson random variable with large mean and Y is a normal distribution with the same mean and variance as X, then for integers j and k, P(j ? X ? k) ? P(j - 1/2 ? Y ? k + 1/2). For more information, see normal approximation to Poisson. Binomial / normal: If X is a binomial(n, p) random variable and Y is a normal random variable with the same mean and variance as X, i.e. np and np(1-p), then for integers j and k, P(j ? X ? k) ? P(j - 1/2 ? Y ? k + 1/2). The approximation is better when p ? 0.5 and when n is large. For more information, see normal approximation to binomial. Lognormal / lognormal: If X and X are lognormal random variables with 12 22parameters (μ, σ) and (μ, σ) respectively, then X X is a lognormal 112212 22random variable with parameters (μ + μ, σ + σ). 1212 2XNormal / lognormal: If X is a normal (μ, σ) random variable then e is a 22lognormal (μ, σ) random variable. Conversely, if X is a lognormal (μ, σ) 2random variable then log X is a normal (μ, σ) random variable. Beta / normal: If X is a beta random variable with parameters α and β equal and large, F ? F where Y is a normal random variable with the same mean XY 2and variance as X, i.e. mean α/(α + β) and variance αβ/((α+β)(α + β + 1)). For more information, seenormal approximation to beta. 2Normal / standard normal: If X is a normal(μ, σ) random variable then (X - μ)/σ is a standard normal random variable. Conversely, If X is a normal(0,1) 2random variable then σ X + μ is a normal (μ, σ) random variable. 2Normal / normal: If X is a normal (μ, σ) random variable and X is a normal 1112 222(μ, σ) random variable, then X + X is a normal (μ + μ, σ + σ) random 22121212 variable. Gamma / normal: If X is a gamma(α, β) random variable and Y is a normal random variable with the same mean and variance as X, then F ? F if the XY shape parameter α is large relative to the scale parameter β. For more information, see normal approximation to gamma. Gamma / beta: If X is gamma(α, 1) random variable and X is a gamma (α, 1122 1) random variable then X/(X + X) is a beta(α, α) random variable. More 11212 generally, if X is gamma(α, β) random variable and X is gamma(α, β) 111222 random variable then β X/(β X + β X) is a beta(α, α) random variable.21211212 Beta / uniform: A beta random variable with parameters α = β = 1 is a uniform random variable. Chi-squared / chi-squared: If X and X are chi-squared random variables with 12 ν and ν degrees of freedom respectively, then X + X is a chi-squared 1212 random variable with ν + ν degrees of freedom. 12 Standard normal / chi-squared: The square of a standard normal random variable has a chi-squared distribution with one degree of freedom. The sum of the squares of n standard normal random variables is has a chi-squared distribution with n degrees of freedom. Gamma / chi-squared: If X is a gamma (α, β) random variable with α = ν/2 and β = 2, then X is a chi-squared random variable with ν degrees of freedom. Cauchy / standard normal: If X and Y are standard normal random variables, X/Y is a Cauchy(0,1) random variable. Student t / standard normal: If X is a t random variable with a large number of degrees of freedom ν then F ? F where Y is a standard normal random XY variable. For more information, see normal approximation to t. Snedecor F / chi-squared: If X is an F(ν, ω) random variable with ω large, then ν X is approximately distributed as a chi-squared random variable with ν degrees of freedom. Chi-squared / Snedecor F: If X and X are chi-squared random variables with 12 ν and ν degrees of freedom respectively, then (X/ν)/(X/ν) is an F(ν, ν) 12112212 random variable. Chi-squared / exponential: A chi-squared distribution with 2 degrees of freedom is an exponential distribution with mean 2. Exponential / chi-squared: An exponential random variable with mean 2 is a chi-squared random variable with two degrees of freedom. Gamma / exponential: The sum of n exponential(β) random variables is a gamma(n, β) random variable. Exponential / gamma: A gamma distribution with shape parameter α = 1 and scale parameter β is an exponential(β) distribution. Exponential / uniform: If X is an exponential random variable with mean λ, then exp(-X/λ) is a uniform random variable. More generally, sticking any random variable into its CDF yields a uniform random variable. Uniform / exponential: If X is a uniform random variable, -λ log X is an exponential random variable with mean λ. More generally, applying the inverse CDF of any random variable X to a uniform random variable creates a variable with the same distribution as X. Cauchy reciprocal: If X is a Cauchy (μ, σ) random variable, then 1/X is a 22Cauchy (μ/c, σ/c) random variable where c = μ + σ. Cauchy sum: If X is a Cauchy (μ, σ) random variable and X is a Cauchy 1112 (μ, σ), then X + X is a Cauchy (μ + μ, σ + σ) random variable.22121212 Student t / Cauchy: A random variable with a t distribution with one degree of freedom is a Cauchy(0,1) random variable. Student t / Snedecor F: If X is a t random variable with ν degree of freedom, 2then X is an F(1,ν) random variable. Snedecor F / Snedecor F: If X is an F(ν, ν) random variable then 1/X is an 12 F(ν, ν) random variable. 21 Exponential / Exponential: If X and X are exponential random variables with 12 mean μ and μ respectively, then min(X, X) is an exponential random 1212 variable with mean μ μ/(μ + μ). 1212 Exponential / Weibull: If X is an exponential random variable with mean β, 1/γthen Xis a Weibull(γ, β) random variable. Weibull / Exponential: If X is a Weibull(1, β) random variable, X is an exponential random variable with mean β. Exponential / Double exponential: If X and Y are exponential random variables with mean μ, then X-Y is a double exponential random variable with mean 0 and scale μ Double exponential / exponential: If X is a double exponential random variable with mean 0 and scale λ, then |X| is an exponential random variable with mean λ.
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