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    Lecture Notes-11: III. Introduction To Gaussian Random Variable (Normal Distribution)

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    Arun Kumar Dhupam
    This document introduces the Gaussian or normal distribution, which is defined by a probability density function that is determined by two parameters: the mean (mX) and variance (σX2). The density function has its maximum value at the mean. The cumulative distribution function (FX(x)) gives the probability that a random variable with a normal distribution takes on a value less than or equal to x. It must generally be evaluated numerically, but for special cases where the mean is 0 and variance is 1, an analytical expression can be used as an approximation. Tables and approximations are used to evaluate the Q-function, which relates to the tail of the normal distribution.

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    Lecture Notes-11: III. Introduction To Gaussian Random Variable (Normal Distribution)

    Uploaded by

    Arun Kumar Dhupam
    41 views3 pages
    This document introduces the Gaussian or normal distribution, which is defined by a probability density function that is determined by two parameters: the mean (mX) and variance (σX2). The density function has its maximum value at the mean. The cumulative distribution function (FX(x)) gives the probability that a random variable with a normal distribution takes on a value less than or equal to x. It must generally be evaluated numerically, but for special cases where the mean is 0 and variance is 1, an analytical expression can be used as an approximation. Tables and approximations are used to evaluate the Q-function, which relates to the tail of the normal distribution.

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    Gaussian Random Variable

    Original Title

    Gaussian Random Variable

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    This document introduces the Gaussian or normal distribution, which is defined by a probability density function that is determined by two parameters: the mean (mX) and variance (σX2). The density function has its maximum value at the mean. The cumulative distribution function (FX(x)) gives the probability that a random variable with a normal distribution takes on a value less than or equal to x. It must generally be evaluated numerically, but for special cases where the mean is 0 and variance is 1, an analytical expression can be used as an approximation. Tables and approximations are used to evaluate the Q-function, which relates to the tail of the normal distribution.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    41 views3 pages

    Lecture Notes-11: III. Introduction To Gaussian Random Variable (Normal Distribution)

    Uploaded by

    Arun Kumar Dhupam
    This document introduces the Gaussian or normal distribution, which is defined by a probability density function that is determined by two parameters: the mean (mX) and variance (σX2). The density function has its maximum value at the mean. The cumulative distribution function (FX(x)) gives the probability that a random variable with a normal distribution takes on a value less than or equal to x. It must generally be evaluated numerically, but for special cases where the mean is 0 and variance is 1, an analytical expression can be used as an approximation. Tables and approximations are used to evaluate the Q-function, which relates to the tail of the normal distribution.

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    PROBABILITY THEORY AND STOCHASTIC PROCESSES

    Unit-I

    Lecture Notes-11
    III. Introduction to Gaussian random variable [Normal distribution]:
    A random variable X is said to be Gaussian (Or) Normally distributed if its density function
    is

    f X ( x)

    1
    2 X 2

    ( x mX )2
    2 X 2

    --------- (1)
    mX
    Where

    ----- mean of the random variable

    X2
    --------- variance of the random variable.
    Mean and variance will be defined in next chapter.
    Finding maximum value
    Differentiate eq(1) w.r.t x and equate to zero.
    df X ( x)
    dx

    =0
    x mX

    After solving we get

    .
    x mX

    Therefore, Gaussian density function has maximum value at


    1

    f ' ( mX )

    2 2

    Distribution function
    x

    FX ( x)

    f X ( )d
    =

    ( m X ) 2
    2 2

    PROBABILITY THEORY AND STOCHASTIC PROCESSES

    Unit-I

    This must be evaluated by numerical or approximation methods. To make the results


    FX ( x )

    mX

    generally available, we develop a set of tables of


    for various x with
    and
    as
    parameters. However this approach has limited value because there is an infinite number of a

    mX
    possible combinations (

    and

    mX

    Normalization Case:

    =0;

    ) which requires infinite number of tables.


    =1

    Then the above equation becomes,

    1
    F ( x)
    2

    2
    2

    --------------- (2)

    F(x) using Tabular method and Approximation:

    F ( x)

    i)
    u

    2 X

    ( m X ) 2

    mX
    X

    Let

    FX (

    x mX
    X

    u2
    2

    x mX
    )
    X

    FX ( x ) 1 Q ( x)
    ii)

    dx

    2 X 2

    PROBABILITY THEORY AND STOCHASTIC PROCESSES

    1
    Q( x)
    2

    2
    2

    Unit-I

    Where
    This is known as Q-function.
    2

    e x /2
    Q( x) [
    ]
    2
    (1 a) x a x b 2
    1

    x0

    Where a and b are constants. When a=0.339 and b=5.510 the approximation is said to equal
    the true value of Q(x) within a maximum absolute error of 0.27% of Q(x) for any

    x0

    Fig 1.5: Density and Distribution function of Gaussian random variable.

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