Mathematics | Probability Distributions

Set 3 (Normal Distribution)

The previous two articles introduced two Continuous
Distributions: Uniform and Exponential. This article covers the Normal
Probability Distribution, also a Continuous distribution, which is by far the
most widely used model for continuous measurement.
Introduction –
Whenever a random experiment is replicated, the Random Variable that
equals the average (or total) result over the replicates tends to have a
normal distribution as the number of replicates becomes large. It is one of
the cornerstones of probability theory and statistics, because of the role it
plays in the Central Limit Theorem, and because many real-world
phenomena involve random quantities that are approximately normal (e.g.,
errors in scientific measurement). It is also known by other names such
as- Gaussian Distribution, Bell shaped Distribution.

It can be
observed from the above graph that the distribution is symmetric about its
center, which is also the mean (0 in this case). This makes the probability of
events at equal deviations from the mean, equally probable. The density is
highly centered around the mean, which translates to lower probabilities for
values away from the mean.
Probability Density Function –
The probability density function of the general normal distribution is given

as- In the above formula, all the symbols

have their usual meanings, is the Standard Deviation and is the Mean. It
is easy to get overwhelmed by the above formula while trying to understand
everything in one glance, but we can try to break it down into smaller pieces
so as to get an intuition as to what is going on. The z-score is a measure of
how many standard deviations away a data point is from the mean.
Mathematically, The exponent of in the above formula

is the square of the z-score times . This is actually in accordance to the

observations that we made above. Values away from the mean have a lower
probability compared to the values near the mean. Values away from the
mean will have a higher z-score and consequently a lower probability since
the exponent is negative. The opposite is true for values closer to the mean.
This gives way for the 68-95-99.7 rule, which states that the percentage of
values that lie within a band around the mean in a normal distribution with a
width of two, four and six standard deviations, comprise 68%, 95% and
99.7% of all the values. The figure given below shows this rule-

The effects
of and on the distribution are shown below. Here is used to reposition
the center of the distribution and consequently move the graph left or right,
and is used to flatten or inflate the curve-
Expectation expectation click here or expected value E[x] can be found by
simply multiply the probability distribution function with x and integrate over
all possible values Let ‘X’ be a normal distributed random variable with
parameters ans . we know that area or the region inside normal
distribution curve is 1 (because probability is 1)

therefore =

1 writing x as (x- ) +
yields

letting y = x- [Tex]E[x] = \frac{1}{\sigma \sqrt{2\pi}} $\int^{+\infty}_{-\infty}

y*e^{\frac{-1}{2}\big( \frac{y}{\sigma} \big)^2}\,dx$ + $\mu * \int^{+\infty}_{-\
infty}f_X(x)\,dx$ [/Tex]first one is symmetric about y-axis, hence value of that

integral is 0. [Tex]E[x] = 0 + \mu *

1 [/Tex]therefore , expectation variance = standard
deviation =
Standard Normal Distribution –
In the General Normal Distribution, if the Mean is set to 0 and the Standard
Deviation is set to 1, then the corresponding distribution obtained is called
the Standard Normal Distribution. The Probability Density function now
becomes- The cumulative density function of
normal distribution does not give a closed formula. Hence precomputed
values formulated in tables are used wherever required. But these tables
only contain data for the standard distribution. In order to find the cumulative
probability for a general normal distribution, it is first standardized and then
computed using the value tables. This is beneficial in two ways- 1. First,
there needs to be only one table to compute probabilities for all normal
distributions. 2. Second, the table size is limited to 40 to 50 rows and 10
columns. This is due 68-95-99.7 rule explained above, which says that
values within 3 standard deviations of the mean account for 99.7%
probability. So beyond X=3 ( ) the
probabilities are approximately 0.

If X is a normal random variable with E(X)= and V(X)= ,

the random variable is a normal random variable with

E(Z)=0 and V(Z)=1.
That is, Z is a standard normal random variable.
 Example – Suppose that the current measurements in a strip of wire are
assumed to follow a normal distribution with a mean of 10 milliamperes
and a variance of four (milliamperes) . What is the probability that a
measurement exceeds 13 milliamperes?
 Solution – Let X denote the current in milliamperes. The requested
probability can be represented as P (X > 13). Let Z = (X ? 10) 2. With the
Normal Distribution now standardized, the probability P(X > 13) = P(Z >
1.5) can now be easily computed. Looking at the above table, first we find
1.5 in the X column, and then since there are no more digits of
significance we look for 0.00 in the Y column. The corresponding cell
gives us the value of
So,

Expected value , variance , standard deviation The expected value of a

standard normal random variable X is expected value
variance standard deviation