Poisson distribution

In probability theory and statistics, the Poisson distribution is

a discrete probability distribution that expresses the
probability of a given number of events occurring in a fixed
interval of time or space if these events occur with a known
constant mean rate and independently of the time since the
last event.[1] It is named after French mathematician Siméon
Denis Poisson (/ˈpwɑːsɒn/; French pronunciation: ​[pwasɔ̃]).
The Poisson distribution can also be used for the number of
events in other specified interval types such as distance, area,
or volume.

For instance, a call center receives an average of 180 calls per

hour, 24 hours a day. The calls are independent; receiving one
does not change the probability of when the next one will
arrive. The number of calls received during any minute has a
Poisson probability distribution with mean 3: the most likely
numbers are 2 and 3 but 1 and 4 are also likely and there is a
small probability of it being as low as zero and a very small
probability it could be 10.
Another example is the number of
Poisson Distribution
decay events that occur from a
Probability mass
radioactive source during a defined
function
observation period.

History
The distribution was first introduced by
Siméon Denis Poisson (1781–1840) The horizontal axis
and published together with his is the index k, the
probability theory in his work number of
Recherches sur la probabilité des occurrences. λ is

jugements en matière criminelle et en the expected rate of

occurrences. The
matière civile (1837).[2]: 205-207  The work
vertical axis is the
theorized about the number of wrongful
probability of k
convictions in a given country by
occurrences given
focusing on certain random variables N
λ. The function is
that count, among other things, the defined only at
number of discrete occurrences integer values of k;
(sometimes called "events" or "arrivals") the connecting lines
that take place during a time-interval of are only guides for

given length. The result had already the eye.

been given in 1711 by Abraham de Cumulative

Moivre in De Mensura Sortis seu; de distribution

Probabilitate Eventuum in Ludis a Casu function

Fortuito Pendentibus
.[3]: 219 [4]: 14-15 [5]: 193 [6]: 157  This makes it
an example of Stigler's law and it has
prompted some authors to argue that
the Poisson distribution should bear
the name of de Moivre.[7][8] The horizontal axis
is the index k, the
In 1860, Simon Newcomb fitted the number of
Poisson distribution to the number of occurrences. The
stars found in a unit of space.[9] A CDF is

further practical application of this discontinuous at the

integers of k and
distribution was made by Ladislaus
flat everywhere else
Bortkiewicz in 1898 when he was given
because a variable
the task of investigating the number of
that is Poisson
soldiers in the Prussian army killed distributed takes on
accidentally by horse kicks;[10]: 23-25  this only integer values.
experiment introduced the Poisson
Notation
distribution to the field of reliability
Parameters
engineering.
(rate)
Definitions Support
(Natural
Probability mass function numbers
starting
A discrete random variable X is said to
from 0)
have a Poisson distribution, with
PMF
parameter if it has a probability CDF
mass function given by:[11]: 60 

or

where
or
k is the number of occurrences (
)
(for
e is Euler's number (
) where

! is the factorial function. is

the upper
The positive real number λ is equal to incomplete
the expected value of X and also to its gamma
variance.[12] function,
is the
floor
The Poisson distribution can be applied function,

to systems with a large number of and is

the
possible events, each of which is rare.
regularized
The number of such events that occur
gamma
during a fixed time interval is, under the
function)
right circumstances, a random number
Mean
with a Poisson distribution.
The equation can be adapted if, instead Median
of the average number of events we
are given the average rate at which Mode
events occur. Then and:[13] Variance

Skewness

Ex.
kurtosis

Entropy

  or for
large
 

MGF

CF

PGF

Fisher
information
Example

Chewing gum on a sidewalk. The number of chewing gums on a single tile is approximately Poisson distributed.

The Poisson distribution may be useful to model events such

as:

the number of meteorites greater than 1 meter diameter

that strike Earth in a year;
the number of laser photons hitting a detector in a
particular time interval; and
the number of students achieving a low and high mark in an
exam.

Assumptions and validity

The Poisson distribution is an appropriate model if the

following assumptions are true:[14]
 k is the number of times an event occurs in an interval and
k can take values 0, 1, 2, ... .
The occurrence of one event does not affect the probability
that a second event will occur. That is, events occur
independently.
The average rate at which events occur is independent of
any occurrences. For simplicity, this is usually assumed to
be constant, but may in practice vary with time.
Two events cannot occur at exactly the same instant;
instead, at each very small sub-interval, either exactly one
event occurs, or no event occurs.

If these conditions are true, then k is a Poisson random

variable, and the distribution of k is a Poisson distribution.

The Poisson distribution is also the limit of a binomial

distribution, for which the probability of success for each trial
equals λ divided by the number of trials, as the number of
trials approaches infinity (see Related distributions).
Examples of probability for Poisson distributions

P(k overflow floods in

On a particular river, overflow k
100 years)

0 0.368
floods occur once every 100 years 1 0.368

on average. Calculate the 2 0.184

3 0.061

probability of k = 0, 1, 2, 3, 4, 5, or 4 0.015

5 0.003
6 overflow floods in a 100 year 6 0.0005

interval, assuming the Poisson The probability

model is appropriate. for 0 to 6
overflow floods
Because the average event rate is
in a 100 year
one overflow flood per 100 years,
period.
λ=1
 P(k goals in a World Cup
María Dolores Ugarte and colleagues report k
soccer match)

0 0.082
that the average number of goals in a World 1 0.205

Cup soccer match is approximately 2.5 and 2 0.257

3 0.213

the Poisson model is appropriate.[15] Because 4 0.133

5 0.067
the average event rate is 2.5 goals per match, 6 0.028

7 0.010
λ = 2.5 .
The probability
for 0 to 7 goals
in a match.

Once in an interval events: The special case of λ = 1 and k =

0

Suppose that astronomers estimate that large meteorites

(above a certain size) hit the earth on average once every
100 years ( λ = 1 event per 100 years), and that the number of
meteorite hits follows a Poisson distribution. What is the
probability of k = 0 meteorite hits in the next 100 years?
Under these assumptions, the probability that no large
meteorites hit the earth in the next 100 years is roughly 0.37.
The remaining 1 − 0.37 = 0.63 is the probability of 1, 2, 3, or
more large meteorite hits in the next 100 years. In an example
above, an overflow flood occurred once every 100 years
(λ = 1). The probability of no overflow floods in 100 years was
roughly 0.37, by the same calculation.

In general, if an event occurs on average once per interval

(λ = 1), and the events follow a Poisson distribution, then
P(0 events in next interval) = 0.37. In addition,
P(exactly one event in next interval) = 0.37, as shown in the
table for overflow floods.

Examples that violate the Poisson assumptions

The number of students who arrive at the student union per

minute will likely not follow a Poisson distribution, because
the rate is not constant (low rate during class time, high rate
between class times) and the arrivals of individual students
are not independent (students tend to come in groups). The
non-constant arrival rate may be modeled as a mixed Poisson
distribution, and the arrival of groups rather than individual
students as a compound Poisson process.

The number of magnitude 5 earthquakes per year in a country

may not follow a Poisson distribution, if one large earthquake
increases the probability of aftershocks of similar magnitude.

Examples in which at least one event is guaranteed are not

Poisson distributed; but may be modeled using a zero-
truncated Poisson distribution.

Count distributions in which the number of intervals with zero

events is higher than predicted by a Poisson model may be
modeled using a zero-inflated model.

Properties

Descriptive statistics

The expected value and variance of a Poisson-distributed

random variable are both equal to λ.

The coefficient of variation is while the index of

dispersion is 1.[6]: 163 
The mean absolute deviation about the mean is[6]: 163 
 The mode of a Poisson-distributed random variable with
non-integer λ is equal to which is the largest integer
less than or equal to λ. This is also written as floor(λ).
When λ is a positive integer, the modes are λ and λ − 1.
All of the cumulants of the Poisson distribution are equal to
the expected value λ. The n th factorial moment of the
Poisson distribution is λ n  .
The expected value of a Poisson process is sometimes
decomposed into the product of intensity and exposure (or
more generally expressed as the integral of an "intensity
function" over time or space, sometimes described as
"exposure").[16]

Median

Bounds for the median ( ) of the distribution are known and

are sharp:[17]

Higher moments

The higher non-centered moments, mk of the Poisson

distribution, are Touchard polynomials in λ:
where the {braces} denote Stirling numbers of the second
kind.[18][1]: 6  The coefficients of the polynomials have a
combinatorial meaning. In fact, when the expected value of
the Poisson distribution is 1, then Dobinski's formula says
that the n‑th moment equals the number of partitions of a set
of size n.

A simple bound is[19]

Sums of Poisson-distributed random variables

If for are independent, then

[20]: 65  A converse is Raikov's
theorem, which says that if the sum of two independent
random variables is Poisson-distributed, then so are each of
those two independent random variables.[21][22]

Other properties

The Poisson distributions are infinitely divisible probability

distributions.[23]: 233 [6]: 164 
The directed Kullback–Leibler divergence of
from is given by

If is an integer, then satisfies

and [24]

Bounds for the tail probabilities of a Poisson random

variable can be derived using a Chernoff
bound argument.[25]: 97-98 

The upper tail probability can be tightened (by a factor of at

least two) as follows:[26]

where is the directed Kullback–Leibler

divergence, as described above.
Inequalities that relate the distribution function of a
Poisson random variable to the Standard
normal distribution function are as follows:[26]
 where is again the directed Kullback–Leibler
divergence.

Poisson races

Let and be independent

random variables, with then we have that

The upper bound is proved using a standard Chernoff bound.

The lower bound can be proved by noting that

is the probability that

where which is bounded below

by where is relative entropy (See

the entry on bounds on tails of binomial distributions for

details). Further noting that and
computing a lower bound on the unconditional probability
gives the result. More details can be found in the appendix of
Kamath et al..[27]
Related distributions

As a Binomial distribution with infinitesimal time-steps

The Poisson distribution can be derived as a limiting case to

the binomial distribution as the number of trials goes to
infinity and the expected number of successes remains fixed
— see law of rare events below. Therefore, it can be used as
an approximation of the binomial distribution if n is
sufficiently large and p is sufficiently small. The Poisson
distribution is a good approximation of the binomial
distribution if n is at least 20 and p is smaller than or equal to
0.05, and an excellent approximation if n ≥ 100 and
n p ≤ 10.[28]

General

If and are independent,

then the difference follows a Skellam
distribution.
If and are independent,
then the distribution of conditional on is a
binomial distribution.
Specifically, if then

More generally, if X1, X2, ..., Xn are independent Poisson

random variables with parameters λ1, λ2, ..., λn then

given it follows that

In fact,

If and the distribution of conditional on

X = k is a binomial distribution,
then the distribution of Y
follows a Poisson distribution In fact, if,
conditional on follows a multinomial
distribution, then
each follows an independent Poisson distribution

The Poisson distribution is a special case of the discrete

compound Poisson distribution (or stuttering Poisson
distribution) with only a parameter.[29][30] The discrete
compound Poisson distribution can be deduced from the
limiting distribution of univariate multinomial distribution. It
is also a special case of a compound Poisson distribution.
For sufficiently large values of λ, (say λ>1000), the normal
distribution with mean λ and variance λ (standard deviation
) is an excellent approximation to the Poisson
distribution. If λ is greater than about 10, then the normal
distribution is a good approximation if an appropriate
continuity correction is performed, i.e., if P(X ≤ x), where x
is a non-negative integer, is replaced by P(X ≤ x + 0.5).

Variance-stabilizing transformation: If
then[6]: 168 

and[31]: 196 

Under this transformation, the convergence to normality (as

increases) is far faster than the untransformed variable.
Other, slightly more complicated, variance stabilizing
transformations are available,[6]: 168  one of which is
Anscombe transform.[32] See Data transformation
(statistics) for more general uses of transformations.
If for every t > 0 the number of arrivals in the time interval
[0, t] follows the Poisson distribution with mean λt, then the
sequence of inter-arrival times are independent and
 identically distributed exponential random variables having
mean 1/λ.[33]: 317–319 
The cumulative distribution functions of the Poisson and
chi-squared distributions are related in the following
ways:[6]: 167 

and[6]: 158 

Poisson approximation

Assume

where then[34]
is multinomially distributed

conditioned on

This means[25]: 101-102 , among other things, that for any

nonnegative function if
is multinomially
distributed, then

where
The factor of can be replaced by 2 if is further
assumed to be monotonically increasing or decreasing.

Bivariate Poisson distribution

This distribution has been extended to the bivariate case.[35]

The generating function for this distribution is

with

The marginal distributions are Poisson(θ1) and Poisson(θ2)

and the correlation coefficient is limited to the range

A simple way to generate a bivariate Poisson distribution

is to take three independent Poisson distributions
with means and then set
The probability function of
the bivariate Poisson distribution is
Free Poisson distribution

The free Poisson distribution[36] with jump size and rate

arises in free probability theory as the limit of repeated free
convolution

as N → ∞.

In other words, let be random variables so that has

value with probability and value 0 with the remaining
probability. Assume also that the family are
freely independent. Then the limit as of the law of
is given by the Free Poisson law with
parameters

This definition is analogous to one of the ways in which the

classical Poisson distribution is obtained from a (classical)
Poisson process.

The measure associated to the free Poisson law is given by[37]

where
and has support

This law also arises in random matrix theory as the

Marchenko–Pastur law. Its free cumulants are equal to

Some transforms of this law

We give values of some important transforms of the free

Poisson law; the computation can be found in e.g. in the book
Lectures on the Combinatorics of Free Probability by A. Nica
and R. Speicher[38]

The R-transform of the free Poisson law is given by

The Cauchy transform (which is the negative of the Stieltjes

transformation) is given by

The S-transform is given by

in the case that

Weibull and Stable count

Poisson's probability mass function can be

expressed in a form similar to the product distribution of a
Weibull distribution and a variant form of the stable count
distribution. The variable can be regarded as inverse
of Lévy's stability parameter in the stable count distribution:

where is a standard stable count distribution of shape

and is a standard Weibull
distribution of shape

Statistical inference

Parameter estimation

Given a sample of n measured values for

i = 1, ..., n, we wish to estimate the value of the parameter λ of
the Poisson population from which the sample was drawn.
The maximum likelihood estimate is [39]
Since each observation has expectation λ so does the sample
mean. Therefore, the maximum likelihood estimate is an
unbiased estimator of λ. It is also an efficient estimator since
its variance achieves the Cramér–Rao lower bound (CRLB).[40]
Hence it is minimum-variance unbiased. Also it can be proven
that the sum (and hence the sample mean as it is a one-to-
one function of the sum) is a complete and sufficient statistic
for λ.

To prove sufficiency we may use the factorization theorem.

Consider partitioning the probability mass function of the joint
Poisson distribution for the sample into two parts: one that
depends solely on the sample (called ) and one that
depends on the parameter and the sample only through
the function Then is a sufficient statistic for

The first term, depends only on The second term,

depends on the sample only through
Thus, is sufficient.

To find the parameter λ that maximizes the probability

function for the Poisson population, we can use the logarithm
of the likelihood function:
We take the derivative of with respect to λ and compare it to
zero:

Solving for λ gives a stationary point.

So λ is the average of the ki values. Obtaining the sign of the

second derivative of L at the stationary point will determine
what kind of extreme value λ is.

Evaluating the second derivative at the stationary point gives:

which is the negative of n times the reciprocal of the average
of the ki. This expression is negative when the average is
positive. If this is satisfied, then the stationary point
maximizes the probability function.

For completeness, a family of distributions is said to be

complete if and only if implies that
for all If the individual are iid
then Knowing the
distribution we want to investigate, it is easy to see that the
statistic is complete.

For this equality to hold, must be 0. This follows from the

fact that none of the other terms will be 0 for all in the sum
and for all possible values of Hence, for all
implies that and the statistic has
been shown to be complete.
Confidence interval

The confidence interval for the mean of a Poisson distribution

can be expressed using the relationship between the
cumulative distribution functions of the Poisson and chi-
squared distributions. The chi-squared distribution is itself
closely related to the gamma distribution, and this leads to an
alternative expression. Given an observation k from a Poisson
distribution with mean μ, a confidence interval for μ with
confidence level 1 – α is

or equivalently,

where is the quantile function (corresponding to a

lower tail area p) of the chi-squared distribution with n
degrees of freedom and is the quantile function
of a gamma distribution with shape parameter n and scale
parameter 1.[6]: 176-178 [41] This interval is 'exact' in the sense
that its coverage probability is never less than the nominal
1 – α.

When quantiles of the gamma distribution are not available,

an accurate approximation to this exact interval has been
proposed (based on the Wilson–Hilferty transformation):[42]

where denotes the standard normal deviate with upper

tail area α / 2.

For application of these formulae in the same context as

above (given a sample of n measured values ki each drawn
from a Poisson distribution with mean λ), one would set

calculate an interval for μ = n λ , and then derive the interval

for λ.

Bayesian inference

In Bayesian inference, the conjugate prior for the rate

parameter λ of the Poisson distribution is the gamma
distribution.[43] Let

denote that λ is distributed according to the gamma density g

parameterized in terms of a shape parameter α and an inverse
scale parameter β:

Then, given the same sample of n measured values ki as

before, and a prior of Gamma(α, β), the posterior distribution
is

Note that the posterior mean is linear and is given by

It can be shown that gamma distribution is the only prior that

induces linearity of the conditional mean. Moreover, a
converse result exists which states that if the conditional
mean is close to a linear function in the distance than the
prior distribution of λ must be close to gamma distribution in
Levy distance.[44]

The posterior mean E[λ] approaches the maximum likelihood

estimate in the limit as which follows
immediately from the general expression of the mean of the
gamma distribution.
The posterior predictive distribution for a single additional
observation is a negative binomial distribution,[45]: 53 
sometimes called a gamma–Poisson distribution.

Simultaneous estimation of multiple Poisson means

Suppose is a set of independent random

variables from a set of Poisson distributions, each with a
parameter and we would like to estimate
these parameters. Then, Clevenson and Zidek show that
under the normalized squared error loss
when then,
similar as in Stein's example for the Normal means, the MLE
estimator is inadmissible. [46]

In this case, a family of minimax estimators is given for any

and as[47]

Occurrence and applications

Applications of the Poisson distribution can be found in many
fields including:[48]
 Count data in general
Telecommunication example: telephone calls arriving in a
system.
Astronomy example: photons arriving at a telescope.
Chemistry example: the molar mass distribution of a living
polymerization.[49]
Biology example: the number of mutations on a strand of
DNA per unit length.
Management example: customers arriving at a counter or
call centre.
Finance and insurance example: number of losses or
claims occurring in a given period of time.
Earthquake seismology example: an asymptotic Poisson
model of seismic risk for large earthquakes.[50]
Radioactivity example: number of decays in a given time
interval in a radioactive sample.
Optics example: the number of photons emitted in a single
laser pulse. This is a major vulnerability to most Quantum
key distribution protocols known as Photon Number
Splitting (PNS).

The Poisson distribution arises in connection with Poisson

processes. It applies to various phenomena of discrete
properties (that is, those that may happen 0, 1, 2, 3, … times
during a given period of time or in a given area) whenever the
probability of the phenomenon happening is constant in time
or space. Examples of events that may be modelled as a
Poisson distribution include:

The number of soldiers killed by horse-kicks each year in

each corps in the Prussian cavalry. This example was used
in a book by Ladislaus Bortkiewicz (1868–1931).[10]: 23-25 
The number of yeast cells used when brewing Guinness
beer. This example was used by William Sealy Gosset
(1876–1937).[51][52]
The number of phone calls arriving at a call centre within a
minute. This example was described by A.K. Erlang (1878–
1929).[53]
Internet traffic.
The number of goals in sports involving two competing
teams.[54]
The number of deaths per year in a given age group.
The number of jumps in a stock price in a given time
interval.
Under an assumption of homogeneity, the number of times
a web server is accessed per minute.
The number of mutations in a given stretch of DNA after a
certain amount of radiation.
 The proportion of cells that will be infected at a given
multiplicity of infection.
The number of bacteria in a certain amount of liquid.[55]
The arrival of photons on a pixel circuit at a given
illumination and over a given time period.
The targeting of V-1 flying bombs on London during World
War II investigated by R. D. Clarke in 1946.[56]

Gallagher showed in 1976 that the counts of prime numbers

in short intervals obey a Poisson distribution[57] provided a
certain version of the unproved prime r-tuple conjecture of
Hardy-Littlewood[58] is true.

Law of rare events

Comparison of the Poisson distribution (black lines) and the binomial distribution with n = 10 (red circles), n = 20 (blue circles), n = 1000 (green circles). All distributions have a
mean of 5. The horizontal axis shows the number of events k. As n gets larger, the Poisson distribution becomes an increasingly better approximation for the binomial
distribution with the same mean.
The rate of an event is related to the probability of an event
occurring in some small subinterval (of time, space or
otherwise). In the case of the Poisson distribution, one
assumes that there exists a small enough subinterval for
which the probability of an event occurring twice is
"negligible". With this assumption one can derive the Poisson
distribution from the Binomial one, given only the information
of expected number of total events in the whole interval.

Let the total number of events in the whole interval be

denoted by Divide the whole interval into subintervals
of equal size, such that (since we are
interested in only very small portions of the interval this
assumption is meaningful). This means that the expected
number of events in each of the n subintervals is equal to

Now we assume that the occurrence of an event in the whole

interval can be seen as a sequence of n Bernoulli trials, where
the -th Bernoulli trial corresponds to looking whether an
event happens at the subinterval with probability The
expected number of total events in such trials would be
the expected number of total events in the whole interval.
Hence for each subdivision of the interval we have
approximated the occurrence of the event as a Bernoulli
process of the form As we have noted before we
want to consider only very small subintervals. Therefore, we
take the limit as goes to infinity.

In this case the binomial distribution converges to what is

known as the Poisson distribution by the Poisson limit
theorem.

In several of the above examples — such as, the number of

mutations in a given sequence of DNA—the events being
counted are actually the outcomes of discrete trials, and
would more precisely be modelled using the binomial
distribution, that is

In such cases n is very large and p is very small (and so the

expectation n p is of intermediate magnitude). Then the
distribution may be approximated by the less cumbersome
Poisson distribution

This approximation is sometimes known as the law of rare

events,[59]: 5  since each of the n individual Bernoulli events
rarely occurs.
The name "law of rare events" may be misleading because the
total count of success events in a Poisson process need not
be rare if the parameter n p is not small. For example, the
number of telephone calls to a busy switchboard in one hour
follows a Poisson distribution with the events appearing
frequent to the operator, but they are rare from the point of
view of the average member of the population who is very
unlikely to make a call to that switchboard in that hour.

The variance of the binomial distribution is 1 − p times that of

the Poisson distribution, so almost equal when p is very
small.

The word law is sometimes used as a synonym of probability

distribution, and convergence in law means convergence in
distribution. Accordingly, the Poisson distribution is
sometimes called the "law of small numbers" because it is the
probability distribution of the number of occurrences of an
event that happens rarely but has very many opportunities to
happen. The Law of Small Numbers is a book by Ladislaus
Bortkiewicz about the Poisson distribution, published in
1898.[10][60]
Poisson point process

The Poisson distribution arises as the number of points of a

Poisson point process located in some finite region. More
specifically, if D is some region space, for example Euclidean
space Rd, for which |D|, the area, volume or, more generally,
the Lebesgue measure of the region is finite, and if N(D)
denotes the number of points in D, then

Poisson regression and negative binomial regression

Poisson regression and negative binomial regression are

useful for analyses where the dependent (response) variable
is the count (0, 1, 2, ... ) of the number of events or
occurrences in an interval.

Other applications in science

In a Poisson process, the number of observed occurrences

fluctuates about its mean λ with a standard deviation
These fluctuations are denoted as Poisson noise
or (particularly in electronics) as shot noise.
The correlation of the mean and standard deviation in
counting independent discrete occurrences is useful
scientifically. By monitoring how the fluctuations vary with the
mean signal, one can estimate the contribution of a single
occurrence, even if that contribution is too small to be detected
directly. For example, the charge e on an electron can be
estimated by correlating the magnitude of an electric current
with its shot noise. If N electrons pass a point in a given time t
on the average, the mean current is ; since the
current fluctuations should be of the order
(i.e., the standard deviation of the Poisson process), the
charge can be estimated from the ratio

An everyday example is the graininess that appears as

photographs are enlarged; the graininess is due to Poisson
fluctuations in the number of reduced silver grains, not to the
individual grains themselves. By correlating the graininess
with the degree of enlargement, one can estimate the
contribution of an individual grain (which is otherwise too
small to be seen unaided). Many other molecular applications
of Poisson noise have been developed, e.g., estimating the
number density of receptor molecules in a cell membrane.
In causal set theory the discrete elements of spacetime
follow a Poisson distribution in the volume.

Computational methods
The Poisson distribution poses two different tasks for
dedicated software libraries: evaluating the distribution
, and drawing random numbers according to that
distribution.

Evaluating the Poisson distribution

Computing for given and is a trivial task that can

be accomplished by using the standard definition of
in terms of exponential, power, and factorial functions.
However, the conventional definition of the Poisson
distribution contains two terms that can easily overflow on
computers: λk and k!. The fraction of λk to k! can also
produce a rounding error that is very large compared to e−λ,
and therefore give an erroneous result. For numerical stability
the Poisson probability mass function should therefore be
evaluated as

which is mathematically equivalent but numerically stable.

The natural logarithm of the Gamma function can be obtained
using the lgamma function in the C standard library (C99
version) or R, the gammaln function in MATLAB or SciPy, or
the log_gamma function in Fortran 2008 and later.

Some computing languages provide built-in functions to

evaluate the Poisson distribution, namely

R: function dpois(x, lambda) ;

Excel: function POISSON( x, mean, cumulative) ,
with a flag to specify the cumulative distribution;
Mathematica: univariate Poisson distribution as
PoissonDistribution[ ] ,[61] bivariate Poisson
distribution as MultivariatePoissonDistribution[
{ }] ,.[62]

Random variate generation

The less trivial task is to draw integer random variate from the
Poisson distribution with given

Solutions are provided by:

R: function rpois(n, lambda) ;

GNU Scientific Library (GSL): function gsl_ran_poisson (http
s://www.gnu.org/software/gsl/doc/html/randist.html#the-p
oisson-distribution)
A simple algorithm to generate random Poisson-distributed
numbers (pseudo-random number sampling) has been given
by Knuth:[63]: 137-138 

algorithm poisson random number (Knuth):

init:
Let L ← e−λ, k ← 0 and p ← 1.
do:
k ← k + 1.
Generate uniform random number u
in [0,1] and let p ← p × u.
while p > L.
return k − 1.

The complexity is linear in the returned value k, which is λ on

average. There are many other algorithms to improve this.
Some are given in Ahrens & Dieter, see § References below.

For large values of λ, the value of L = e−λ may be so small that

it is hard to represent. This can be solved by a change to the
algorithm which uses an additional parameter STEP such that
e−STEP does not underflow:

algorithm poisson random number (Junhao,

based on Knuth):
 init:
Let λLeft ← λ, k ← 0 and p ← 1.
do:
k ← k + 1.
Generate uniform random number u
in (0,1) and let p ← p × u.
while p < 1 and λLeft > 0:
if λLeft > STEP:
p ← p × eSTEP
λLeft ← λLeft − STEP
else:
p ← p × eλLeft
λLeft ← 0
while p > 1.
return k − 1.

The choice of STEP depends on the threshold of overflow. For

double precision floating point format the threshold is near
e700, so 500 should be a safe STEP.

Other solutions for large values of λ include rejection

sampling and using Gaussian approximation.

Inverse transform sampling is simple and efficient for small

values of λ, and requires only one uniform random number u
per sample. Cumulative probabilities are examined in turn
until one exceeds u.

algorithm Poisson generator based upon the

inversion by sequential search:[64]: 505 
init:
Let x ← 0, p ← e−λ, s ← p.
Generate uniform random number u
in [0,1].
while u > s do:
x ← x + 1.
p ← p × λ / x.
s ← s + p.
return x.

See also
Binomial distribution
Compound Poisson distribution
Conway–Maxwell–Poisson distribution
Erlang distribution
Hermite distribution
Index of dispersion
Negative binomial distribution
 Poisson clumping
Poisson point process
Poisson regression
Poisson sampling
Poisson wavelet
Queueing theory
Renewal theory
Robbins lemma
Skellam distribution
Tweedie distribution
Zero-inflated model
Zero-truncated Poisson distribution

References

Citations

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