The Normal Distribution

Continuous Random Variables

• Probabilities for continuous random variables are nothing but shaded areas under
the probability density curve (PDF).
• In general, the CDF, is the area under the density curve that is left of .
• For continuous random variables, equality does not matter. Thus, . This is because
for continuous random variables, always.
Continuous Random Variables
• In general,
• Note we can also write this in terms of the cumulative distribution function
(CDF),
Continuous Random Variables
• Just because a random variable is continuous doesn’t imply it is
normally distributed.
• Many continuous RVs are normal, for example: height
• Many continuous RVs are not normal, for example: Wait time in the ER. It fact
it follows an exponential distribution
• In practice, to determine if a variable is normally distributed in a
population, we take a sample, and examine if the histogram on the
sample data looks normal.
• QQ plots are another visual method to assess normality.
• Later in the semester we will learn formal hypothesis tests to check for
normality.
Normal Distribution
A continuous random variable X is said to have a normal distribution
with parameters μ and σ, where -∞<μ∞, and σ>0 if the probability
density function (pdf) of X is:

• e is Euler’s number = 2.71828

• π is Archimedes’s number = 3.14159
Normal Density Curve

• is shorthand for saying X is

normally distributed with mean μ
and standard deviation σ.
• There are many normal
distributions. A normal distribution
with a mean of 5 is a different
distribution from one with a mean
of 0
• The grey shaded region represents
F(x) = P(X≤x).
Standard Normal Distribution
• A normal distribution with mean=0 and sd=1 is called a standard
normal distribution, Z~N(0,1)
• The CDF of the standard normal distribution is denoted as
The Normal Density Curve is Symmetric

• The normal density curve is

symmetric about the mean.
• , as a result, the mean is also the
median.
The Normal Density Curve is Symmetric

Question 1:
If X~N(0,1), then P(X≤-1.645)=0.05. Use
the symmetry property of the normal
distribution to find:
a. P(X≥1.645)

Since the normal distribution is

symmetric,
The Normal Density Curve is Symmetric

Question 2:
If X~N(0,1), then P(X≤-1.645)=0.05. Use
the symmetry property of the normal
distribution to find:
b. P(X>1.645)

Equality does not matter for continuous

random variables so,
The Normal Density Curve is Symmetric

Question 3:
If X~N(0,1), then P(X≤-1.645)=0.05. Use
the symmetry property of the normal
distribution to find:
P(-1.645<X<1.645)

We know the area of each tail is 0.05.

Using the complement rule,
Standardization (Z-Scores)
If X ~N(μ,σ), then the random variable: has a standard normal
distribution, Z~N(0,1).

• This transformation of X is called standardization.

• Z is called a z-score and is a measure of how far a data value is from
the mean in standard deviation units
• Ex. A z-score=1.31 means this observation is 1.31 standard deviations above
the mean
• Z-score=-0.78 means this observation is 0.78 standard deviations below the
mean
Standardization (Z-Scores)

( )( )( )
𝑎−𝜇 𝑏−𝜇 𝑏−𝜇 𝑎−𝜇
𝑃 ( 𝑎≤𝑋≤𝑏)=𝑃 ≤𝑍≤ =Φ −Φ
𝜎 𝜎 𝜎 𝜎
Standardization (Z-Scores)
Standardization preserves the area under the normal curve.

Devore, J. L. (2008). Probability and Statistics for Engineering and the Sciences.
68%-95%-99.7% Rule
For any normally distributed random variable:

In English In Probability Notation:

68% of the observations fall within 1 standard
deviation of the mean
95% of the observations fall within 2 standard
deviations of the mean
99.7% of the observations fall within 3 standard
deviations of the mean
68%-95%-99.7% Rule

https://online.stat.psu.edu/stat500/lesson/3/3.3/3.3.4