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Normal Distribution & It's Properties

The document discusses the normal distribution, its properties, and importance. It describes the form of the normal distribution, properties of the normal probability curve including its bell shape and areas. It also covers generalizations to bivariate and multivariate normal distributions and concludes with the importance of the normal distribution.

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akartik7904
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17 views

Normal Distribution & It's Properties

The document discusses the normal distribution, its properties, and importance. It describes the form of the normal distribution, properties of the normal probability curve including its bell shape and areas. It also covers generalizations to bivariate and multivariate normal distributions and concludes with the importance of the normal distribution.

Uploaded by

akartik7904
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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INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Normal Distribution & It’s Properties

Dr. Pawan Kumar


Assistant Professor
Department of Statistics
Udai Pratap College, Varanasi-221002
Email: [email protected]
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Introduction
The normal distribution was first discovered in 1733 by English Mathematician De-
Moivre, who obtained this distribution as a limiting case of binomial distribution and
applied it to problems arises in the game of chance.
It was also known to Laplace. no later than 1774 but through a historical error it was
credited to Gauss. who first made reference to it in the beginning of 19th century (1809)
as the distributions of errors in Astronomy.
Gauss used the normal curve to describe the theory of accidental errors of measure-
ments involved in the calculation of orbits of heavenly bodies.
Throughout the eighteenth and nineteenth centuries, various efforts were made to es-
tablish the normal model as the underlying law ruling all continuous random variables.
Thus. the name Normal.
The normal model has. nevertheless. become the most important probability model in
statistical analysis.
This is most widely used distribution in various aspects in different fields of society.
This distribution is a finest suitable example of continuous distribution.
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Form of the distribution

Univariate Normal distribution


A random variable X is said to have a normal distribution with parameters µ (called
mean) and σ 2 (called variance) if its density function is given by
 2 
x−µ
1 −1
f (x; µ, σ 2 ) = √ e 2 σ
x ∈ R, µ ∈ R & σ > 0. (1)
σ 2π

A random variable X following normal distribution with µ and σ 2 is usually


denoted by X ∼N(µ, σ 2 ).
 
If X ∼N(µ, σ 2 ) then Z = X −µ
σ
is known as standard normal variate and
follows N(0, 1). More symbolically, Z ∼ N(0, 1)
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Properties of Normal distribution

Chief characteristics of Normal distribution & Normal Probability Curve


Mean, median and Mode of the distribution coincides.
Normal probability curve is bell shaped and curve is symmetrical about the line
X = µ.
Linear combination of independent normal variates is also normal distribution.
As x increases increasingly and f (x) decreases rapidly and maximum probability
occurring at the point x = µ and

1
[f (x)]Max = √
σ 2π

Total x-axis is an asymptote to the curve and is at the point x = µ ± σ and

1
[f (x)]x=µ±σ = √ e−1/2
σ 2π
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Bell-shaped Curve

Normal Probability Curve


INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Area Property
P(µ − σ ≤ X ≤ µ + σ) = 0.6826
P(µ − 2σ ≤ X ≤ µ + 2σ) = 0.9544
P(µ − 3σ ≤ X ≤ µ + 3σ) = 0.9973

2 4
Q.D. : M.D. : S.D. = σ : σ : σ = 10 : 12 : 15
3 5

β1 = 0 & β2 = 3

µ2r +1 = 0

µ2r = (1.3.5...(2r − 3)(2r − 1)) σ 2r ; r = 0, 1, 2, · · ·


If
σ2
X ∼ N(µ, σ 2 ) =⇒ X̄ ∼ N(µ, )
n
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Forms of Bivariate & Multivariate Normal distribution


If X ∼ BVN(µ1 , µ2 , σ12 , σ22 , ρ), then
 
1 Q
f (x; µ1 , µ2 , σ12 , σ22 , ρ) = p exp −
2πσ1 σ2 1 − ρ2 2

where
"  2     2 #
1 x1 − µ1 x1 − µ1 x2 − µ2 x2 − µ2
Q= − 2ρ +
(1 − ρ2 ) σ1 σ1 σ2 σ2

If x ∼ Np (µ, Σ), then


h i
T
f (x; µ, Σ) = (2π)−p/2 |Σ|−1/2 exp (x − µ) Σ−1 (x − µ)

Where, µ is mean vector & Σ is the variance-covariance matrix.


INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Importance of Normal Distribution


Most of the distributions occurring in practice, e.g., Binomial, Poisson, Hypergeometric,
distributions. etc., can be approximated by normal distribution. Moreover, many of the
sampling distributions. e.g., Student’s ’t’ , Snedecor’s F, Chi-square distributions, etc:,
tend to normality for large samples.
Many of the distributions of sample statistic (e.g., the distributions of sample mean,
sample variance, etc.) tend to normality for large samples and as such they can best be
studied with the help of the normal curves.
The entire theory of small sample tests, viz., t, F , χ2 tests etc., is based on the fun-
damental assumption that the parent populations from which the samples have been
drawn follow normal distribution.
Normal distribution finds large applications in Statistical Quality Control in industry for
setting control limits.
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

Conclusion

Concluding Remarks
This presentation is based on well known normal distribution and
its generalizations for bi-variate and multivariate case. Also, we
have shown some existing properties of this distribution.
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

References

Gupta, S. C., & Kapoor, V. K. (2020). Fundamentals of mathematical statistics.


Sultan Chand & Sons.
Agarwal, B. L. (2007). Programmed statistics (question-answers). New Age Inter-
national.
INTRODUCTION Form of the distribution Shape of Normal Probability Curve Generalizations Importance of Normal Distribution

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