Normal Distribution
Dr. Anup Kumar Sharma
Department of Mathematics
National Institute of Technology, Raipur
December 12, 2022
Dr. Anup Kumar Sharma Normal Distribution
Normal distribution
The most important continuous probability distribution in the
entire field of statistics is the normal distribution.
Its graph, called the normal curve, is the bell-shaped curve ,
which approximately describes many phenomena that occur in
nature, industry, and research.
For example, physical measurements in areas such as
meteorological experiments, rainfall studies, and
measurements of manufactured parts are often more than
adequately explained with a normal distribution.
In addition, errors in scientific measurements are extremely
well approximated by a normal distribution.
The normal distribution is often referred to as the Gaussian
distribution.
Dr. Anup Kumar Sharma Normal Distribution
Normal curve
Figure 1: The normal curve.
Dr. Anup Kumar Sharma Normal Distribution
Normal probability density function
A continuous random variable X having the bell-shaped
distribution of Figure 1 is called a normal random variable.
The mathematical equation for the probability distribution of
the normal variable depends on the two parameters µ and σ,
its mean and standard deviation, respectively.
Hence, we denote the values of the density of X by n(x; µ, σ).
Normal distribution
The density of the normal random variable X, with mean µ and
variace σ 2 , is
1
1 − (x−µ)2
n(x; µ, σ) = √ e 2σ 2 , −∞ < x < ∞
σ 2π
Dr. Anup Kumar Sharma Normal Distribution
Normal probability density function
Once µ and σ are specified, the normal curve is completely
determined.
For example, if µ = 50 and σ = 5, then the ordinates
n(x; 50, 5) can be computed for various values of x and the
curve drawn.
Figure 2: Normal curves with µ1 < µ2 and σ1 = σ2 .
Dr. Anup Kumar Sharma Normal Distribution
Normal probability density function
Figure 3: Normal curves with µ1 = µ2 and σ1 < σ2 .
Dr. Anup Kumar Sharma Normal Distribution
Normal probability density function
Figure 4: Normal curves with µ1 < µ2 and σ1 < σ2 .
Dr. Anup Kumar Sharma Normal Distribution
Properties of normal curve
1. The mode, which is the point on the horizontal axis where the
curve is a maximum, occurs at x = µ.
2. The curve is symmetric about a vertical axis through the
mean µ.
3. The curve has its points of inflection at x = µ ± σ; it is
concave downward if µ − σ < X < µ + σ and is concave
upward otherwise.
4. The normal curve approaches the horizontal axis
asymptotically as we proceed in either direction away from the
mean.
5. The total area under the curve and above the horizontal axis
is equal to 1.
Dr. Anup Kumar Sharma Normal Distribution
Areas under the normal curves
The curve of any continuous probability distribution or density
function is constructed so that the area under the curve
bounded by the two ordinates x = x1 and x = x2 equals the
probability that the random variable X assumes a value
between x = x1 and x = x2 .
Thus, for the normal curve in Figure 5,
Zx2 Zx2 1
1 − (x−µ)2
P(x1 < X < x2 ) = n(x; µ, σ)dx = √ e 2σ 2 dx
σ 2π
x1 x1
is represented by the area of the shaded region.
Dr. Anup Kumar Sharma Normal Distribution
Areas under the normal curves
Figure 5: P(x1 < X < x2 ) = area of the shaded region.
Dr. Anup Kumar Sharma Normal Distribution
Standardization
The area under the curve between any two ordinates depend
on the values µ and σ.
This is evident in Figure 6 , where we have shaded regions
corresponding to P(x1 < X < x2 ) for two curves with different
means and variances.
The two shaded regions are different in size; therefore, the
probability associated with each distribution will be different
for the two given values of X.
There are many types of statistical software that can be used
in calculating areas under the normal curve.
The difficulty encountered in solving integrals of normal
density functions necessitates the tabulation of normal curve
areas for quick reference.
However, it would be a hopeless task to attempt to set up
separate tables for every conceivable value of µ and σ.
Dr. Anup Kumar Sharma Normal Distribution
Standardization
Figure 6: P(x1 < X < x2 ) for different normal curves.
Dr. Anup Kumar Sharma Normal Distribution
Standardization
Fortunately, we are able to transform all the observations of
any normal random variable X into a new set of observations
of a normal random variable Z with mean 0 and variance 1.
This can be done by means of the transformation
X −µ
Z= .
σ
Whenever X assumes a value x, the corresponding value of Z
is given by z = x−µ
σ .
Therefore, if X falls between the values x = x1 and x = x2 ,
the random variable Z will fall between the corresponding
values z1 = x1σ−µ and z2 = x2σ−µ .
Dr. Anup Kumar Sharma Normal Distribution
Standardization
Consequently, we may write
Zx2 1
1 − (x−µ)2
P(x1 < X < x2 ) = √ e 2σ 2 dx
σ 2π
x1
Zz2 1
1 − z2
= √ e 2 dz
2π
z1
Zz2
= n(z; 0, 1)dz
z1
= P(z1 < Z < z2 ),
where Z is seen to be a normal random variable with mean 0
and variance 1.
Dr. Anup Kumar Sharma Normal Distribution
Sandardization
Definition
The distribution of a normal random variable with mean 0 and
variance 1 is called a standard normal distribution.
The original and transformed distributions are illustrated in Figure 7. Since all
the values of X falling between x1 and x2 have corresponding z values between
z1 and z2 , the area under the X-curve between the ordinates x = x1 and x = x2
in Figure 7 equals the area under the Z-curve between the transformed
ordinates z = z1 and z = z2 .
Figure 7: The original and transformed normal distributions.
Dr. Anup Kumar Sharma Normal Distribution
Standardization
Cumulative probability at z=a, denoted by
Ra 1 2
Φ(a) = −∞ σ√12π e − 2 z dz, is area under the standard normal
curve left to Z= a.
Figure 8: The original and transformed normal distributions.
Dr. Anup Kumar Sharma Normal Distribution
Normal probabilities
To make approximations it is useful to remember the following rule
of thumb for three approximate probabilities from the standard
normal distribution:
X −µ
1 P(µ − σ < X < µ + σ) = P(−1 < < 1)
σ
= P(−1 < Z < 1) ≈ 0.68.
X −µ
2 P(µ − 2σ < X < µ + 2σ) = P(−2 < < 2)
σ
= P(−2 < Z < 2) ≈ 0.95.
X −µ
3 P(µ − 3σ < X < µ + 3σ) = P(−3 < < 3)
σ
= P(−3 < Z < 3) ≈ 0.99.
Remember
P(X < µ) = P(Z < 0) = 0.5 and P(X > µ) = P(Z > 0) = 0.5 .
Dr. Anup Kumar Sharma Normal Distribution
Figure 9: Probabilities as areas under the graph
Dr. Anup Kumar Sharma Normal Distribution
Standard Normal Distribution Table
A standard normal distribution table comes into use to
determine the area under the standard nomal curve.
The standard normal distribution table is used to calculate the
probability of a standardized random variable Z, whose mean
is 0 and standard deviation is 1.
A standard normal distribution table basically displays a
probability linked with a particular z-score.
The rows of the standard normal distribution table represent
the whole number and tenth place of the z-score.
The columns of the standard normal distribution table
represent the hundredth place.
The probability (from 0 to the z-score) are visible in the cell of
the table.
Dr. Anup Kumar Sharma Normal Distribution
Normal Probability table
Dr. Anup Kumar Sharma Normal Distribution
Example (1)
Given a standard normal distribution, find the area under the curve
that lies
(a) to the right of z = 1.84 and
(b) between z = -1.97 and z = 0.86.
Figure 10: Areas for Example (1)
Dr. Anup Kumar Sharma Normal Distribution
Solution:
(a) The area to the right of 1.84 =
P(Z > 1.84) = P(0 < Z < ∞) − P(0 < Z < 1.84) =
0.5 − 0.4671 = 0.0329.
Dr. Anup Kumar Sharma Normal Distribution
(b) The area between z=-1.97 and z = 0.86 is equal to
P(−1.97 < Z < 0.86) = P(0 < Z < 0.86) + P(−1.97 < Z < 0)
= P(0 < Z < 0.86) + P(0 < Z < 1.97)
= 0.3051 + 0.4756 = 0.7807
.
Dr. Anup Kumar Sharma Normal Distribution
Dr. Anup Kumar Sharma Normal Distribution
Example (2)
An electrical firm manufactures light bulbs that have a life, before
burn-out, that is normally distributed with mean equal to 800
hours and a standard deviation of 40 hours. Find the probability
that a bulb burns between 778 and 834 hours.
Dr. Anup Kumar Sharma Normal Distribution
Solution:
The z values corresponding to x1 = 778 and x2 = 834 are
778 − 800
z1 = = −0.55
40
and
834 − 800
z2 = = 0.85.
40
Hence,
P(778 < X < 834) = P(−0.55 < Z < 0.85)
= P(−0.55 < Z < 0) + P(0 < Z < 0.85)
= P(0 < Z < 0.55) + P(0 < Z < 0.85)
= 0.2088 + 0.3023
= 0.5111.
Dr. Anup Kumar Sharma Normal Distribution
