Discrete Statistical Distributions

Discrete random variables take on only a countable number of values. The commonly used distributions are included in SciPy and described in this document. Each discrete distribution can take one extra integer parameter: \(L.\) The relationship between the general distribution \(p\) and the standard distribution \(p_{0}\) is

p\left(x\right) = p_{0}\left(x-L\right)

which allows for shifting of the input. When a distribution generator is initialized, the discrete distribution can either specify the beginning and ending (integer) values \(a\) and \(b\) which must be such that

p_{0}\left(x\right) = 0\quad x < a \textrm{ or } x > b

in which case, it is assumed that the pdf function is specified on the integers \(a+mk\leq b\) where \(k\) is a non-negative integer ( \(0,1,2,\ldots\) ) and \(m\) is a positive integer multiplier. Alternatively, the two lists \(x_{k}\) and \(p\left(x_{k}\right)\) can be provided directly in which case a dictionary is set up internally to evaluate probabilities and generate random variates.

Probability Mass Function (PMF)

The probability mass function of a random variable X is defined as the probability that the random variable takes on a particular value.


This is also sometimes called the probability density function, although technically


is the probability density function for a discrete distribution [1] .

[1]XXX: Unknown layout Plain Layout: Note that we will be using \(p\) to represent the probability mass function and a parameter (a XXX: probability). The usage should be obvious from context.

Cumulative Distribution Function (CDF)

The cumulative distribution function is

F\left(x\right)=P\left[X\leq x\right]=\sum_{x_{k}\leq x}p\left(x_{k}\right)

and is also useful to be able to compute. Note that


Survival Function

The survival function is just


the probability that the random variable is strictly larger than \(k\) .

Percent Point Function (Inverse CDF)

The percent point function is the inverse of the cumulative distribution function and is


for discrete distributions, this must be modified for cases where there is no \(x_{k}\) such that \(F\left(x_{k}\right)=q.\) In these cases we choose \(G\left(q\right)\) to be the smallest value \(x_{k}=G\left(q\right)\) for which \(F\left(x_{k}\right)\geq q\) . If \(q=0\) then we define \(G\left(0\right)=a-1\) . This definition allows random variates to be defined in the same way as with continuous rv’s using the inverse cdf on a uniform distribution to generate random variates.

Inverse survival function

The inverse survival function is the inverse of the survival function


and is thus the smallest non-negative integer \(k\) for which \(F\left(k\right)\geq1-\alpha\) or the smallest non-negative integer \(k\) for which \(S\left(k\right)\leq\alpha.\)

Hazard functions

If desired, the hazard function and the cumulative hazard function could be defined as



H\left(x\right)=\sum_{x_{k}\leq x}h\left(x_{k}\right)=\sum_{x_{k}\leq x}\frac{F\left(x_{k}\right)-F\left(x_{k-1}\right)}{1-F\left(x_{k}\right)}.


Non-central moments are defined using the PDF


Central moments are computed similarly \(\mu=\mu_{1}^{\prime}\)

\begin{eqnarray*} \mu_{m}=E\left[\left(X-\mu\right)^{m}\right] & = & \sum_{k}\left(x_{k}-\mu\right)^{m}p\left(x_{k}\right)\\ & = & \sum_{k=0}^{m}\left(-1\right)^{m-k}\left(\begin{array}{c} m\\ k\end{array}\right)\mu^{m-k}\mu_{k}^{\prime}\end{eqnarray*}

The mean is the first moment


the variance is the second central moment


Skewness is defined as


while (Fisher) kurtosis is


so that a normal distribution has a kurtosis of zero.

Moment generating function

The moment generating function is defined as


Moments are found as the derivatives of the moment generating function evaluated at \(0.\)

Fitting data

To fit data to a distribution, maximizing the likelihood function is common. Alternatively, some distributions have well-known minimum variance unbiased estimators. These will be chosen by default, but the likelihood function will always be available for minimizing.

If \(f_{i}\left(k;\boldsymbol{\theta}\right)\) is the PDF of a random-variable where \(\boldsymbol{\theta}\) is a vector of parameters ( e.g. \(L\) and \(S\) ), then for a collection of \(N\) independent samples from this distribution, the joint distribution the random vector \(\mathbf{k}\) is


The maximum likelihood estimate of the parameters \(\boldsymbol{\theta}\) are the parameters which maximize this function with \(\mathbf{x}\) fixed and given by the data:

\begin{eqnarray*} \hat{\boldsymbol{\theta}} & = & \arg\max_{\boldsymbol{\theta}}f\left(\mathbf{k};\boldsymbol{\theta}\right)\\ & = & \arg\min_{\boldsymbol{\theta}}l_{\mathbf{k}}\left(\boldsymbol{\theta}\right).\end{eqnarray*}


\begin{eqnarray*} l_{\mathbf{k}}\left(\boldsymbol{\theta}\right) & = & -\sum_{i=1}^{N}\log f\left(k_{i};\boldsymbol{\theta}\right)\\ & = & -N\overline{\log f\left(k_{i};\boldsymbol{\theta}\right)}\end{eqnarray*}

Standard notation for mean

We will use


where \(N\) should be clear from context.


Note that


and has special cases of

\begin{eqnarray*} 0! & \equiv & 1\\ k! & \equiv & 0\quad k<0\end{eqnarray*}


\left(\begin{array}{c} n\\ k\end{array}\right)=\frac{n!}{\left(n-k\right)!k!}.

If \(n<0\) or \(k<0\) or \(k>n\) we define \(\left(\begin{array}{c} n\\ k\end{array}\right)=0\)