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Lecture_5 Normal Probability Distributions

The document provides an overview of Normal Probability Distributions, detailing its characteristics, probability density functions, and the relationship with moment generating functions. It explains the properties of normal random variables, including the standard normal distribution, and illustrates applications through examples. Additionally, it discusses the uses of normal distribution in approximating other distributions and in statistical hypothesis testing.

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Hussein Kingazi
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
5 views

Lecture_5 Normal Probability Distributions

The document provides an overview of Normal Probability Distributions, detailing its characteristics, probability density functions, and the relationship with moment generating functions. It explains the properties of normal random variables, including the standard normal distribution, and illustrates applications through examples. Additionally, it discusses the uses of normal distribution in approximating other distributions and in statistical hypothesis testing.

Uploaded by

Hussein Kingazi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 12

IS141: Probability and Statistics

Normal Probability Distributions

Dr. Emmanuel(UDSM)

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 1 / 12


Outline

1 Normal Probability Distribution


Moment Generating function

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 2 / 12


Normal Probability Distribution

7. Normal Distribution
Normal distribution is a symmetrical distribution in which the frequencies
are distributed evenly about the mean of the distribution. When
represented graphically, takes the shape of a symmetrical curve, known as
the Normal Curve.

Normal distribution is a limiting form of Binomial distribution under the


following conditions.
1 n, the number of trials infinitely large

2 neither p or q is very small i.e. p and q are fairly nearly equal.

A RV X is said to have a normal distribution with mean µ and standard


deviation σ if its probability density function is given by
1 2 2
f (x) = √ e −(x−µ) /2σ , −∞ < x < ∞.
σ 2π
The probability density function with mean zero and standard deviation σ
is
1 2 2
f (x) = √ e −x /2σ , −∞ < x < ∞.
Dr. Emmanuel(Udsm) σ 2π
IS141: Probability and Statistics Normal Probability Distributions 3 / 12
Normal Probability Distribution

Figure: Normal density function with (a) µ = 0, σ 2 = 1 (b) arbitrary µ and σ 2 .

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 4 / 12


Normal Probability Distribution

To prove that f (x) is indeed a probability density function, we need to


show that
Z∞
1 2 2
√ e −(x−µ) /2σ dx = 1.
2πσ
−∞

Example: If X is a normal RV with parameters µ and σ 2 , find E (X ) and


Var(X ).
Z∞
1 2 /2σ 2
E (X ) = √ xe −(x−µ) dx = µ
2πσ
−∞
Var(X ) = E [(X − µ)2 ]
Z∞
1 2 2
=√ (x − µ)2 e −(x−µ) /2σ dx = σ 2 .
2πσ
−∞

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 5 / 12


Normal Probability Distribution

An important fact about normal random variables is that, if X is normally


distributed with parameters µ and σ 2 , then
Y = αX + β
is normally distributed with parameters αµ + β and α2 σ 2 .

An important implication of the preceeding results is that, if X is normally


distributed with parameters µ and σ 2 , then
X −µ
Z=
σ
is also normally distributed with parameters 0 and 1. Such a RV Z is
called a standard normal distribution.

Standard Normal distribution


A RV Z which has a normal distribution with mean µ = 0 and standard
deviation σ = 1 is a said to be a standard normal distribution. Its
probability density function is given by
1 2
f (z) = √ e −z /2 , −∞ < z < ∞,
Dr. Emmanuel(Udsm)
2π
IS141: Probability and Statistics Normal Probability Distributions 6 / 12
Normal Probability Distribution

Let denote the cumulative distribution function of a standard normal


distribution by Φ(z), i.e.
Zz
1 2 /2
Φ(z) = e −y dy .
2π
−∞

The values of Φ(z) for nonnegative z are given in the Table of standard
normal values.

For negative values of z, Φ(z) is given by

Φ(−z) = 1 − Φ(z), −∞ < z < ∞.

That means,
x −µ
P(0 < Z < z) = Φ(z) = Φ( )
σ
P(Z ≤ −z) = P(Z > z) = 1 − P(Z ≤ z).

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 7 / 12


Normal Probability Distribution

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 8 / 12


Normal Probability Distribution

Example: If X is a normal RV with parameters µ = 3 and σ 2 = 9, find


(a) P(2 < X < 5) (b) P(X > 0) (c) P(|X − 3| > 6).

Solution
 
2−3 X −3 5−3
(a)P(2 < X < 5) = P < <
3 3 3
 
1 2
=P − <Z <
3 3
   
2 1
=Φ −Φ −
3 3
    
2 1
=Φ − 1−Φ = 0.3779.
3 3
 
X −3 0−3
(b)P(X > 0) = P > = P(Z > −1)
3 3
= 1 − Φ(−1) = 1 − [1 − Φ(1)] = Φ(1) = 0.8413.
Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 9 / 12
Normal Probability Distribution

(c)P(|X − 3| > 6) = P(X > 9) + P(X < −3)


 
X −3 9−3 X −3 −3 − 3
= P( > )+P <
3 3 3 3
= P(Z > 2) + P(Z < −2)
= 1 − P(Z ≤ 2) + P(Z < −2)
= 1 − Φ(2) + 1 − Φ(2) = 2 (1 − Φ(2))
= 0.0456.

Uses of Normal distribution


1 The normal distribution can be used to approximate the binomial and

Poisson distributions.
2 It has extensive use in sampling theory. It helps in estimating the

parameter from statistic and to find confidence limits of the


parameter.
3 It has a wide use in testing statistical hypothesis, etc

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 10 / 12


Normal Probability Distribution Moment Generating function

Moment Generating Function

Moment generating function (MGF) of a RV X (discrete or continuous) is


defined as E (e tx ), where t is a real variable and is denoted by M(t).

If X is discrete, then M(t) = e txr pr , and if X is continuous, then


P
R∞ r
M(t) = −∞ e tx f (x)dx.

Note:
 dn
(i) µn ′ = E (X n ) =

dt n M(t)
(ii) If the MGF of X is Mx (t) and if Y = aX + b, then
My (t) = e bt Mx (at).
(iii) If X and Y are independent RVs and Z = X + Y , then
Mz (t) = Mx (t)My (t).

Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 11 / 12


Normal Probability Distribution Moment Generating function

Example: If X represent the outcome when a fair die is tossed, find the
MGF of X and hence find E (X ) and Var(X ).
Solution
The probability distribution of X is given by
pi = p(X = i) = 16 , i = 1, 2, · · · , 6.
X 6
X
txi
M(t) = e pi = e ti pi
i 1
1
= (e t + e 2t + e 3t + e 4t + e 5t + e 6t ).
6
′ 7 ′′ 91
E (X ) = [M (t)]t=0 = , E (X 2 ) = [M (t)]t=0 =
2 6
91 49 35
∴ Var(x) = E (X 2 ) − (E (X ))2 = − = .
6 4 12

Example
Find the moment generating function of the binomial distribution and
hence find its mean and variance.
Dr. Emmanuel(Udsm) IS141: Probability and Statistics Normal Probability Distributions 12 / 12

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