The Normal Distribution

RM185101 - Applied Statistics and Probability

Ira Mutiara Anjasmara, PhD

Department of Geomatics Engineering

Faculty of Civil, Planning, and Geo Engineering
Institut Teknologi Sepuluh Nopember
The Normal Distribution
The normal probability distribution (also called the Gaussian distribution) is the
most widely used distribution in statistical analysis.
Two parameters define this distribution: the mean (µ), and the standard
deviation (σ). The probability density function of the normal distribution is:
1 2 2
f (x) = √ e−(x−µ) /2σ
σ 2π
The distribution is symmetrical about the mean, with the mean = median =
mode.
i.e., the mean is the most frequently occurring value (the mode), and lies at the
point that divides the curve exactly in half (the median).
The curve is asymptotic, extending from the mean towards infinity in both
directions, never quite reaching zero.
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 Here are three normal curves of same σ, different µ:

The standard deviation indicates the spread of the measurements (the width of the
normal curve).
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 Here are three normal curves of same µ, different σ:

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 Any normally-distributed random variable
assumes a value within:
±1σ of the mean 68.26% of the time
±2σ of the mean 95.44% of the time
±3σ of the mean 99.72% of the time

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The standard normal distribution
As mentioned, the area beneath the curve represents the probability of a particular
measurement occurring:
Zb
1 2 2
p(a ≤ x ≤ b) = √ e−(x−µ) /2σ dx
σ 2π
a

Fortunately, this horrible integral has already been worked out for the standard
normal probability distribution.

This is a normal distribution scaled, or standardised, to have

µ = 0; σ=1
The values of the integral above, for the standard normal distribution only, have
been catalogued in tables. -IM Anjasmara, 2021-
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The standard normal distribution

Probabilities for all normal distributions are computed using the standard normal
distribution, but since most real data sets do not have a standard normal
distribution, we must transform our real normal distribution (with mean µ, and SD
σ) so it has a mean of 0, and a SD of 1.

This scaling is done using the equation:

x−µ
z=
σ
Therefore, z can be interpreted as the number of standard deviations that the
random variable x lies from the mean

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The standard normal distribution
Now we can use the tables to work out p(a0 ≤ z ≤ b0 ), where:

a−µ b−µ
a0 = and b0 =
σ σ
The tables for the standard normal distribution look something like this:

-IM Anjasmara, 2021-

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The standard normal distribution

The highlighted value gives the blue shaded area between the mean and z=1.06, ie:

A = p(0 ≤ z ≤ 1.06) = 0.3554

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Example

The scores (as a %) in the Statistics exam were normally distributed with a mean of
60% and a standard deviation of 10%. What is the probability that a student scored:
a) greater than 80%
b) between 40 and 50%?

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Solution
a) For p(x > 80):
80 − 60
First compute the z-score corresponding to x = 80: z = =2
10
This gives us that the red shaded area below represents p(x > 80) = p(z > 2).

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 On the supplied standard normal tables, look up the probability for z = 2,00: the
answer is 0,4772. This value is the area of the blue shaded region beneath the curve:

The blue area is A1 = p(0 ≥ z ≥ 2) = p(60 ≥ x ≥ 80) = 0, 4772. So if we subtract

the blue area (A1 ) from the total area to the right of the mean (0,5), well get the
answer:
p(x > 80) = 0, 5 − 0, 4772 = 0, 0227
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Solution
a) For p(40 < x < 50):
First compute the z-score:
40 − 60
x = 40 ⇒ z = = −2
10
50 − 60
x = 50 ⇒ z = = −1
10

The red shaded area represents p(40 ≤ x ≤ 50) = p(−2 ≤ z ≤ −1)

To find the red shaded area from the normal tables, we first use the symmetry of the
normal distribution:
p(−2 ≤ z ≤ −1) = p(1 ≤ z ≤ 2)

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 Then, to find our required area we take the difference of two areas:

p(1 ≤ z ≤ 2) = p(0 ≤ z ≤ 2) − p(0 ≤ z ≤ 1)

From the standard normal tables, z = 2 gives A1 = 0, 4772; and z = 1, gives

A2 = 0, 3413. Hence:

p(40 ≤ x ≤ 50) = 0, 4772 − 0, 3413 = 0, 1359

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