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MATH F113 (Probability and Statistics) : Chandra Shekhar Associate Professor

This document discusses the key aspects of the normal distribution. It covers properties like the normal distribution being symmetric around the mean and bell-shaped. It also discusses the standard normal distribution which has a mean of 0 and standard deviation of 1. Various properties of the normal distribution are presented like the probability density function, cumulative distribution function, and the relationship between z-scores and the original normal distribution. Examples of finding probabilities for the standard normal distribution are also provided.

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Apoorav Dhingra
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56 views23 pages

MATH F113 (Probability and Statistics) : Chandra Shekhar Associate Professor

This document discusses the key aspects of the normal distribution. It covers properties like the normal distribution being symmetric around the mean and bell-shaped. It also discusses the standard normal distribution which has a mean of 0 and standard deviation of 1. Various properties of the normal distribution are presented like the probability density function, cumulative distribution function, and the relationship between z-scores and the original normal distribution. Examples of finding probabilities for the standard normal distribution are also provided.

Uploaded by

Apoorav Dhingra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MATH F113

(Probability and Statistics)


Chandra Shekhar
Associate Professor

Department of Mathematics
BITS Pilani, Pilani Campus, Rajasthan 333 031
Email: [email protected]
Mobile: 9414492349
Chandra Shekhar MATH F113 (Probability and Statistics)
What have you covered?

In Lecture 16
Exponential Distribution
Chi Squared Distribution
Recap of the Distribution

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution

Normal Distribution
(Gaussian Distribution)
Distribution that underlies many of
the statistical methods used in data
analysis

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

The normal distribution was first in-


troduced by Abraham de Moivre in
an article in 1733

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

It was reprinted in the second edi-


tion of his The Doctrine of Chances,
1738 in the context of approximating
(limiting) certain binomial distribu-
tions for large n or infinite
His result was extended by Laplace
and Gauss with problem of astron-
omy (describe the behavior of errors
in astronomical measurements) in his
book (1812), and is now called De
Moivre-Laplace theorem.
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Normal Distribution
A random variable X with density
1 (x−µ)2
−
f (x) = √ e 2σ2
2πσ
x, µ ∈ (−∞, ∞), σ > 0
is said to have normal distribution
with parameter µ and σ

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Probability Density Function

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Cumulative Distribution Function

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Let X be normally distributed with


parameters µ and σ, then the mo-
ment generating function for X is given
by
2 2
µt+ σ 2t
mx(t) = e
dmx(t)
E [X] = |t=0 = µ
dt
 2 d2mx(t) 2 2
E X = |t=0 = σ + µ
dt2
V ar[X] = σ 2
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Mean and Standard deviation for Nor-


mal distribution
Theorem
Let X be a normal random variable with
parameters µ and σ. Then µ is the mean
of X and σ is its standard deviation.

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Normal Distribution

Symmetric at mean
Bell shaped curve centered at its
mean.
The points of inflection occur at
µ±σ
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Standard Normal Distribution

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Standard Normal Distribution

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Standard Normal Distribution

The standard normal distribution


is the normal distribution with a
mean of zero and a variance of
one.

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Standard Normal Distribution

Carl Friedrich Gauss became


associated with this set of
distributions when he analyzed
astronomical data using them
and defined the equation of its
probability density function.
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Standard Normal Distribution

It is often called the bell curve


because the graph of its
probability density resembles a
bell.
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Standard Normal Distribution


Let X be normal with mean µ and
standard deviation σ. The variable
X −µ
Z=
σ
is standard normal. Z has mean 0
and standard deviation 1.

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

The probability density function is


given by
1 − z2
φ(z) = f (z) = √ e 2 , z ∈ (−∞, ∞)
2π
The corresponding distribution func-
tion is given by
Z z
Φ(z) = F (z) = P (Z ≤ z) = f (z)dz
Z−∞
z
1 2
− z2
=√ e dz
2π −∞
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Important Results
(1) Φ(−z) = 1 − Φ(z)
Proof:
Φ(−z) = P (Z ≤ −z) = P (Z ≥ z)
1 − P (Z ≤ z) = 1 − Φ(z)
(2)
  
b−µ a−µ
P (a ≤ X ≤ b) = Φ −Φ
σ σ
Chandra Shekhar MATH F113 (Probability and Statistics)
Normal Distribution (Cont...)

Other Notations
Given a particular probability r, we
shall need to find the point with r
of the area to its right. This point
is denoted by zr . Thus, notationally,
zr denotes that point associated with
a standard normal random variable
such that
P [Z ≥ zr ] = r

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

Exercise 39/sec 4.4


Using table, find the values of
P [Z ≤ 1.57]
P [Z < 1.57]
P [Z = 1.57]
P [Z > 1.57]

Chandra Shekhar MATH F113 (Probability and Statistics)


Normal Distribution (Cont...)

P [−1.25 ≤ Z ≤ 1.75]
z.10
z.90
The point z such that
P [−z ≤ Z ≤ z] = 0.95
The point z such that
P [−z ≤ Z ≤ z] = 0.90

Chandra Shekhar MATH F113 (Probability and Statistics)

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