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Distribution of Continuous R.V.: Normal Distribution (CH 1.4) Topics

This document discusses the normal distribution and how to calculate probabilities and percentiles for both the standard normal distribution and the general normal distribution. It defines the normal distribution with parameters μ (mean) and σ2 (variance), and explains how to standardize a normal random variable to the standard normal distribution in order to use standard normal probability tables. It provides examples of calculating probabilities and percentiles for both the standard normal distribution and general normal distributions.

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Phạm Ngọc Hòa
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104 views7 pages

Distribution of Continuous R.V.: Normal Distribution (CH 1.4) Topics

This document discusses the normal distribution and how to calculate probabilities and percentiles for both the standard normal distribution and the general normal distribution. It defines the normal distribution with parameters μ (mean) and σ2 (variance), and explains how to standardize a normal random variable to the standard normal distribution in order to use standard normal probability tables. It provides examples of calculating probabilities and percentiles for both the standard normal distribution and general normal distributions.

Uploaded by

Phạm Ngọc Hòa
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Distribution of Continuous R.V.: Normal Distribution (Ch 1.4) Topics: 1.

4 What is Normal Distribution, and its density function, mean, variance Standard Normal Distribution: (a) Calculating Probability (b) Calculating Percentile General Normal Distribution: (a) Calculating Probability (b) Calculating Percentiles ------------------------------------------------------------------------------------------------------I. Normal random variable/Normal Distribution A distribution for describing continuous random variables Two common ways to describe a Normal distribution 1. Density plot Shape:

Symmetric, centering at also the median and mean. Can be fully specified via two parameters: and 2 . The distribution is denoted by N ( , ) , It can be shown 2 is the variance of x ( is the standard deviation of x) Ex. A

B C

2. Density function (for your reference): f ( x; , ) = 1 ( x )2 exp{ } 2 2 2

What problems are we interested in solving regarding normal distribution? 1. Know how to calculate probabilities from a given normal distribution Ex. Test score X ~ N (75, 5). P(90< X < 100)? P(X < 60) ?

2. Be able to identify the percentiles of the population Ex. Test score X ~ N (75, 5). (1) What are largest 10% of the scores?

That is, we want to find x0.1 such that P[ X x0.1 ] = 10% = 0.1 (2) What are the most extreme 5% of the scores?

That is, we want to find x0.05 such that P[ X x0.05 ] = 5% = 0.05

II. Standard Normal Distribution Normal distribution with mean=0 and SD=1. Denoted by N(0, 1). Usually use Z to denote a standard normal r.v. Why learn the standard normal distribution? o Area under the normal curve can only be calculated numerically. 2

So statisticians have established a table that shows the left tail area under the standard normal curve of any given number (see the very first page of the textbook). o Later we can use such table to solve for all normal distribution. How? One can STANDARDIZE any given N ( , ) to N(0, 1), and then use the area table of standard normal to solve the problem (Your HW2, Question #2, 2.61) Use the area table of standard normal curve (1) Calculate probability Ex. A variable Z ~ N(0, 1). Calculating the following probabilities: 1. P(Z 1.25) =0.8944 2. P(Z -1.25) =0.1056 ( = 1 - 0.8944) 3. P(Z -1.25) = 1 - P(Z -1.25) =1 - 0.1056 = 0.8944

4. P(-.38 Z .25) =P[Z 0.25] P[Z -0.38] = 0.5987 0.3520 = 0.2467

In general, P[a Z b] = P[Z b] P[Z a]. 5. P(Z -6) < P[Z -3.89] = 0.0000

6. P(Z 2) = 1 P[Z < 2] = 1 P[Z 2] = 1 0.9772 = 0.0228

(2) Obtain extreme values Ex1. A variable Z ~ N(0, 1). Find the following z* that fulfills the probability: 1. P(Z z*) = 0.1

z * = 1.28 (the exact value is -1.281552)

2. P(Z z*) = 0.5 z* = 0

3. P(Z z* or Z -z*) = 0.1 By symmetry of N(0,1), P[Z - z*] = 0.05, -z* = -1.645, z* = 1.645.

Ex2. Consider a standard Normal r.v. Z~N(0,1). At what value of z*, the area to the right is 2.5%? Want to find z* such that P[Z z*] = 0.025, or P[Z z*] = 0.975. The value of z* = 1.96

Ex3. Consider a standard Normal r.v . Z~N(0,1). At what value of z*, the area between z* and z* is 68%? P[-z* Z z*] = 0.68 P[Z - z*] = (1 - 0.68)/2 = 0.16 - z* = - 0.995, z = 0.995.

III. General Normal Distribution If X has a normal distribution with mean and SD

, then we can standardize X to Z by

Z=

X has the standard normal distribution

Therefore, P[a X b] = P[ a X b a b % % % % ] = P[a Z b ], where a = = and b

Calculating probability and percentiles Ex. A variable X ~ N(100, 5). Calculating the following probabilities: % % 1. P(90 X 125) = P[a Z b ] , where % a = 90 100 125 100 % = 2, b = = 5 . So 5 5

P(90 X 125) = P(-2 Z 5) = P(Z 5) P(Z -2) = 1 0.0228 = 0.9772. 2. P( X 98 ) = P[Z 98 100 = 0.4 ] = 1 P[Z -0.4] = 1- 0.3446 = 0.6554 5

3. Find the x* such that P( X x* )=0.1 P[ X x*] = P[ X 100 x * 100 x * 100 ] = P[ Z ] = 0.1 . But P[Z -1.28] = 0.1, so 5 5 5

x * 100 = 1.28 , which gives x* = 100 + 5*(-1.28) = 93.6 5 4. Find the range that contains the MIDDLE 90% of the observations: Want to find a such that x is in [100 a, 100 + a] with 90% probability P[100 a X 100 + a ] = P[ a X 100 a ] = P[ a / 5 Z a / 5] = 0.9, P[ Z a / 5] = 0.05 5 5 5

So, - a/5 = - 1.645, a = 5*1.645 = 8.225. The range is [100 8.225, 100 + 8.225] = [91.775, 108.225] 5

Ex. X is the diameter (in mm) of tires, normally distributed with mean 575 and SD 5. 1. P(575 < X < 579)= 575 575 X 575 579 575 P[ < < ] = P[0 < Z < 0.8] = P[ Z < 0.8] 0.5 = 0.7881 0.5 = 0.2881. 5 5 5 2. P(575 X 579)=0.2881

3. Find the diameter x* such that there are only 1% tires longer than this diameter That is, P[X > x*] = 0.01 or equivalently P[X < x*] = 0.99. Since P[Z<2.33] = 0.99, so x* = 575 + 5 * 2.33 = 586.65.

4. Find the (diameters of) tires that have most extreme 5% diameters. That is, P[X > x*] = 0.05 or equivalently P[X < x*] = 0.95. Since P[Z<1.645] = 0.95, so x* = 575 + 5 * 1.645 = 583.225.

Putting everything together. An overall example:


The diameter of a tire follows normally distribution with mean 575 and SD 5. We have 4 tires, and the diameters of these tires are independent of each other. (a) What is the probability that a tire has its diameter between 570 and 580? Let Xi be the diameter for tire i. Then P[570 < Xi < 580] = P[-1 < Z < 1] = 0.8413 0.1587 = 0.6826.

(b) 580?

What is the probability that all 4 tires have diameters between 570 and

Let Ai = [570 < Xi < 580]. Then A1, A2, A3, A4 are independent. So P[ A1 A2 A3 A4 ] = P ( A 1 ) P ( A 2 ) P ( A 3 ) P ( A 4 ) = 0.6826 4 = 0.2171

(c)

What is the probability that at least one tire is not between 570 and 580? = 1 - P[ A1 A2 A3 A4 ] = 1 0.2171 = 0.7829

This probability = 1 P[all tires are between 570 and 580]

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