LECTURE 4

Normal Probability Distribution

Lecturer: Olmos Isakov
LECTURE OUTLINE

1. Properties of Normal distribution

2. Probability density function (pdf) of Normal Distribution
3. Standard Normal Distribution (z distribution)
4. Sampling Distribution and Central Limit Theorem
5. R Practice for Normal Distribution
Properties of Normal Distribution

Properties of a Normal Distribution

1. The mean, median, and mode are equal.
2. The normal curve is bell-shaped and
symmetric about the mean.
3. The total area under the curve is equal to
one.
4. The normal curve approaches, but never
touches the x axis as it extends farther
and farther away from the mean.
Normal Distribution
x ~ N(

Changing μ shifts the

f( distribution left or
X) right.

Changing σ
increases or
σ
decreases the
spread.

μ X
Probability density function (pdf)

1 x−µ 2
1 − ( )
f ( x) = ⋅e 2 σ
σ 2π
This is a bell shaped
curve with different
Note constants: centers and spreads
π=3.14159 depending on μ and
e=2.71828 σ
Normal Curves

R Code:
The beauty of the normal curve:
Example

But…
How would you find the percentage of people within 1.2 standard
deviations of mean IQ score?
What is the probability that a person has an IQ above 110?
…
Another example

Income in Income in USA:

Uzbekistan: μ = $3,500
μ = $250 σ = $1,000
σ = $50 John’s income is:
Anwar’s income $4,500
is:
$375

Which one has a higher percentile in their country with respect to

their earnings?
The Standard Normal Distribution (Z)

All normal distributions can be converted into the standard normal

curve by subtracting the mean and dividing by the standard
deviation:
X −µ
Z=
σ

Somebody calculated all the integrals for the standard normal and
put them in a table! So we never have to integrate! Even better,
computers now do all the integration.
Example:
z-score for Anwar: z =  = 2.5
z-score for John: z =  = 1
So, Anwar’s income percentile is higher than that of John in his
corresponding country.
Transformation of Normal to Standard Normal

Standard Normal Distribution (z distribution) is Normal with μ = 0 and σ = 1: z ~ N(0,

1) 1 Z −0 2 1
1 − ( ) 1 2
− (Z )
p( Z ) = ⋅e 2 1
= ⋅e 2
(1) 2π 2π
Example
Suppose weekly earnings of Yandex taxi drivers in Tashkent follow a
normal distribution with a mean of $100 and standard deviation of
$25.
a. What is the probability of selecting someone having weekly earnings

of $140 or lower when sampling drivers at random?

b. What is the probability of selecting someone with an income of

$140 or higher?
c. What is the probability to select someone with an income between
$80 and $125?
d. What is the minimum weekly earnings of top 1% driver?
Solution.
a. What is the probability of selecting someone having weekly
earnings of $140 or lower when sampling drivers at random?
P(x  
z=
P(x  P(z  1.6) = 0.9452
From the table  z of 1.60 corresponds to a left tail (smaller than) area
of: P(z  1.6) = 0.9452 or 94.52% chance.
Solution

b. What is the probability of selecting someone with an income of $140

or higher?
P(x 0.9452 = 0.0548
c. What is the probability to select someone with an income between
$80 and $125?
P(80 < x < 125) = P(x < 125) – P(x  80) = P(z < ) – P(z  ) =
= P(z < 1) – P(z  -0.8) = 0.8413 – 0.2119 = 0.6294
d. P(x < c) = 0.99
z score for cumulative probability of 0.99 is approximately 2.33 (2.326
to be more precise)
2.33 =  => x = $158
Sampling Distributions
A sampling distribution is the probability distribution of a sample statistic that is
formed when samples of size n are repeatedly taken from a population.

Sample Sample

Sample
Sample
Sample
Sample
Sample
Sample

Population
Sample Sample
Central Limit Theorem (CLT)
If a sample of size n ≥ 30 is taken from a population with any type of distribution that has a
mean = μ and standard deviation = σ,

x x
µ µ
the sample means will have a normal distribution.

xx
x x
x x x
x x x x x x
µ
Central Limit Theorem (CLT)

If the population itself is normally distributed, with mean = μ

and standard deviation = σ,

x
µ
the sample means will have a normal distribution for any
sample size n.

xx
x x
x x x
x x x x x x
µ
Central Limit Theorem (CLT)

In either case, the sampling distribution of sample means has a

mean equal to the population mean.

Mean of the
µx = µ sample means

The sampling distribution of sample means has a standard

deviation equal to the population standard deviation divided by
the square root of n.

σ Standard deviation of
σx = the sample means
n
This is also called the
standard error of the
mean.
Simulation in R
Example
According to a recent study 16-24-year-olds spend average of 3 hours
per day on social media. Assume the standard deviation is equal to 1.5
hours. If you randomly select a sample of 40 individuals from 16-24-year
olds,
a. What is the standard error of the mean in this example?
b. What is the probability the sample average spending is greater than
3.5 hours?
c. What is the probability that sample mean spending on social media is
between 2 and 3 hours?
Solution
R code for Normal Distribution
dnorm(x, mean, sd) # gives height of the probability distribution
pnorm(x, mean, sd) # Cumulative Distribution Function, P(x 
qnorm(p, mean, sd) # gives a number whose cumulative value matches the probability
value
rnorm(n, mean, sd) # generates random numbers whose distribution is normal
# Create a sample of 100 numbers which are normally distributed with mean = 10, stdev = 5.
y <- rnorm(100, mean=10, sd = 5)
# What is the probability of selecting someone with an income of $140 or lower ()?
pnorm(140, mean = 100, sd = 25)
# What is the probability of selecting someone with an income of $130 or higher ()?
pnorm(130, mean = 100, sd = 25, lower.tail = FALSE) #OR
1 - pnorm(130, mean = 100, sd = 25)
# What is the probability to select someone with an income between $80 and $125?
pnorm(125, mean = 100, sd = 25) - pnorm(80, mean = 100, sd = 25)
# What is the minimum weekly earnings of top 1% driver?
qnorm(0.99, mean = 100, sd = 25)
References

1. Lind et al (ISBN 978-1-260-18750-2), Chapter 8.

2. McClave & Sincich (ISBN 978-0-321-75593-3), Chapter 5, 6.
3. Ott & Longnecker (ISBN 978-0-495-01758-5), Chapter 2.
4. https://www.tutorialspoint.com/r/r_normal_distribution.htm
THE END

Thank you for your attention!