Probability distribution

Mathematical function for the probability a given outcome occurs in an experiment

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]

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.

On the left is the probability density function. On the right is the cumulative distribution function, which is the area under the probability density curve.

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

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]

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

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

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.

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

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

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.

A real-valued discrete random variable can equivalently be defined as a random variable whose cumulative distribution function 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.

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.

One solution for the Rabinovich–Fabrikant equations. What is the probability of observing a state on a certain place of the support (i.e., the red subset)?

One example is shown in the figure to the right, which displays the evolution of a system of differential equations (commonly known as the Rabinovich–Fabrikant equations) that can be used to model the behaviour of Langmuir waves in plasma.[25] 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.[26][24]

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.

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

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.