Normal Distribution

Normal distribution is an approximation of binomial distribution under certain conditions.

1. n, the number of trails is indefinitely large, i.e. n
2. neither p nor q is very small.
Definition: A continuous random variable X is said to have a normal distribution with parameters and 2 if
its density function is given by the probability law
f ( x / , 2) N ( , 2 )

1 x
exp

2
2
1

Where X

, 0
e 2.7183 , 3.1416

( 2 2.5066 )

Here and 2 are the mean and variance of the normal distribution respectively.
Note: A random variable X with mean and variance 2 and following the normal law can be expressed by
X ~ N ( , 2 )

1.
2.

3.
4.
5.
6.

Properties of normal distribution:

Normal curve
The following points are important properties of normal distribution.
The normal curve is symmetrical and bell shaped. The range of the
distribution is to
The value of mean, median, mode will coincide as the distribution is
symmetrical.
i.e. mean = median = mode

The parameters and 2 represent the mean and variance of the

distribution. For different values of the parameters we get different normal distributions.
It has only one mode i.e. the distribution is unimodal and it occurs at x .
The skew ness of the distribution is 1 0 and kurtosis is 2 3 .
The odd ordered moments about mean vanishes i.e. 2 r 1 0

7. The even ordered moments about mean 2 r (2r 1) 2 2 r 2 .

2
4
.

5
9. The total area bounded by the curve and horizontal axis is equal to 1.
1
10. The maximum ordinate occurs at x and its value is
.
2

8. The mean deviation from mean is

Q3 Q1
0.6745
2
12. The first quartile Q1 = -0.6745 and third quartile Q3 = +0.6745
Q3 Q1

0.6745 .
13. The co-efficient of quartile deviation
Q3 Q1

11. The quartile deviation is

14. A linear function a1 X 1 a 2 X 2 a3 X 3 ......... a n X n of n independent normal variables

X 1 , X 2 , X 3 ,............, X n with means 1 , 2 , 3 ,........, n and variances 1 2 , 2 2 , 3 2 ,.........., n 2 is

also a normal variable with mean a1 1 a 2 2 a3 3 ........ a n n and variance

a1 1 a 2 2 a3 3 .......... a n n .
2

Proof:

Let Z= a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n
Now, E (Z ) = E a1 X 1 a 2 X 2 a3 X 3 ......... a n X n
= a1 E[ X 1 ] a 2 E[ X 2 ] a3 E[ X 3 ] ......... a n E[ X n ]
= a1 1 a 2 2 a 3 3 ........ a n n

And

V (Z ) V a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n
2

= a1 V ( X 1 ) a 2 V ( X 2 ) a3 V ( X 3 ) .......... a n V ( X n )
= a1 1 a 2 2 a3 3 .......... a n n
2

X
15. If X is a normal variate with mean and standard deviation , then the distribution of Z
is also

normal with mean 0 and variance 1. Here Z is called standard normal variable.
X
~ N (0,1)
Symbolically if X ~ N ( , 2 ) then Z

Proof:
1
1
X
E (Z ) E
E( X ) 0

1
1
X
V (Z ) V
2 V ( X ) 2 2 1 .

Note: The probability density function of standard normal variable Z is

f ( z / 0,1) N (0,1)

1
2

1
z2
2

, Z

Area under normal curve:

As the normal variable is a continuous random variable, the probability that the random variable X assumes a
value x x1 and x x 2 is represented by the area under the probability curve bounded by the values
x1 and x 2 can be defined as
x2

Pr ob( x1 x x 2 ) =

x1

1
2

1 x

dx

Since the normal curve depends on two parameters and 2 ,

the area represented by Pr ob( x1 x x 2 ) is also dependent on and
2 . Though theoretically this probability can be calculated by using the
method of integral calculus, normal integral tables are available for the use of practicing statisticians. It is very
voluminous work to compile tables for all possible values of and 2 . In fact such tables would be infinitely
many because , 0 .

To facilitate the preparation of tables, the normal variable is standardized or is transformed to a new
variable which is also normal, but having mean 0 and variance 1. Thus if X is normal variable with mean and
X
variance 2 , then Z
is a standardized normal variable having mean 0 and variance 1

x1 x x 2

And thus Pr ob( x1 x x 2 ) = Pr ob

= Pr ob( z1 z z 2 )

i.e.
x2

Pr ob( x1 x x 2 ) =

x1

z2

=
z1

1
2

1
2
1

e2

z2

1 x

dx

dz = Pr ob( z1 z z 2 )

Cumulative
distribution functions of Z:
The cumulative distribution function of Z is defined as
1
t
z2
1
t P( Z t ) =
e2
dz
2

And
P ( Z t ) =1- P ( Z t )

Note: since the normal curve is symmetrical

P ( Z t ) = P ( Z t )

Some of the areas of standardized normal curve:

Distance from the
mean ordinate
0.6745
1
1.96

Area under curve

50%
68.27%
95%

2
2.58
3

95.45%
99%
99.73%