Derivation of the Poisson distribution

- From Bob Deserios Lab handout A better way of describing is as a probability per unit time that an event will occur. That is dP = dt (3) where dP is the differential probability that an event will occur in the infinitesimal time interval dt. Of course, some care must be taken when translating a rate to a probability per unit time. For example, if = 10/s, it is obviously not true that the probability is 10 that an event will occur in any particular second. However, if that same rate is expressed = 0.01/ms it is roughly true that the probability is 0.01 that an event will happen in any particular millisecond. Eq. 3 only becomes exact in the limit of infinitesimal dt. It is approximately correct for any finite t. P=t (4) to the extent that P << 1. There are several possible derivations of the Poisson probability distribution. It is often derived as a limiting case of the binomial probability distribution. The derivation to follow relies on Eq. 3 and begins by determining the probability P(0; t) that there will be no events in some finite interval t. The first step is to break the interval from 0 to t into N intervals of equal length t = t/N. (The limit as N will be performed at the end.) The probability of an event in a small enough but finite interval t will be given by Eq. 4 and thus the probability of no event in this same interval is given by 1 - t For the full interval from 0 to t to have no events, each and every one of the N subintervals must have no events. Consequently, the probability of no events in a time t is the product of the N probabilities for no events in the subintervals. P(0; t) = (1 - t)N (5) Substituting t = t/N P(0; t) = (1 - t/N)N (6) Taking the limit N and recognizing that N lim x x (7) 1 = e N N gives P(0;t) = e- t (8) Next, a relation is derived for the probability, denoted P(n + 1; t), for there to be n + 1 events in a time t. It will be a recursion relation because it will be based on the probability P(n; t) of one less event. For there to be n + 1 events in t, three independent events must happen in the following order (their probabilities given in parentheses). There must be n events up to some point t in the interval from 0 to t (P(n, t) by definition) An event must occur in the infinitesimal interval from t to t + dt (dt by Eq. 3). There must be no events in the interval from t to t (P(0, t - t) by definition). The probability of n + 1 events in the interval from 0 to t would be the product of the three probabilities above integrated over all t from 0 to t to take into account that the last event may occur at any time in the interval. That is,

P ( n + 1; t ) = P ( n; t ') dt ' P ( 0; t t ')

0

(9)

From Eq. 8 we already have P(0; t -t) = e- t(t-t) and with the following definition P ( n; t ) = e t P ( n; t ) (10) substituted, Eq. 9 becomes (after canceling e- t from both sides): P ( n + 1; t ) = P ( n; t ' ) dt '
0 t

(11)

From Eqs. 8 and 10, P ( 0; t ) = 1 and then P ( 1; t ) can be found from an application of Eq. 11 P ( 1, t ) = P ( 0, t ) dt = t
0 t

(12)

Applying Eq. 11 for the next few terms the pattern clearly emerges that n ( t ) (15) P ( n; t ) = n! Thus with Eq. 10, the Poisson probabilities result n t ) t ( (16) P ( n; t ) = e n! BobC - truncating and shortening BobD Using = t as the expected number of events n (17) P ( n ) = e n! BobD also derives that <n> = And n 2 = n2 P ( n ) = 2 +
n =0

nP ( n ) =
n ==

(21)

(23)

Leading to

2 =

( n )

= n2 2 =

(22)