The Normal Distribution

𝟐
𝑵(𝝁, 𝝈 )

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The Normal Distribution 𝑵(𝝁, 𝝈𝟐 )

The most important probability distribution in the entire field of statistic is the normal

distribution. The continuous random variable X is said to have the normal distribution with

parameter 𝝁, 𝝈𝟐 if and only if its p.d.f is given by:

𝟏 𝟏 𝒙−𝝁 𝟐
−
𝒇 𝒙, 𝝁, 𝝈 = 𝒆 𝟐 𝝈
𝝈 𝟐𝝅

where, −∞ < 𝝁 < ∞ , 𝝈 > 𝟎 and −∞ < 𝒙 < ∞

e.g. distributions of sizes, measurement errors, detector noise. (Bell-shaped histogram).

The Normal Distribution 𝑵(𝝁, 𝝈𝟐 )
The normal distribution is also frequently referred to as the Gaussian distribution.

The graph of a normal distribution, shaped like the cross section of a bell, as shown below:
The Normal Distribution 𝑵(𝝁, 𝝈𝟐 )
𝑏
𝑃 𝑎 < 𝑋 < 𝑏 = න 𝑓 𝑥 𝑑𝑥 BUT: for normal distribution cannot integrate analytically.
𝑎

1 −𝑧 2 𝑓(𝑥)
Instead use tables for standard Normal distribution: 𝑓 𝑧 = 𝑒 2
2𝜋

𝑋−𝜇
If 𝑋 ∼ 𝑁 𝜇, 𝜎 2 , then 𝑍 = ∼ 𝑁(0,1)
𝜎
𝑑𝑥
𝑥−𝜇
i.e. change 𝑥 to 𝑧 = 𝜎
𝑑𝑥
⇒ 𝑥 = 𝜇 + 𝜎𝑧 ⇒ =𝜎
𝑑𝑧
𝑍2
=
2
𝑑𝑥 1 − 𝑥−𝜇 2
⇒𝑓 𝑧 = 𝑓 𝑥 = 𝑒 2𝜎 2 ×𝜎
𝑑𝑧 2𝜋𝜎 2

1 −𝑧 2
= 𝑒 2 N(0, 1) - standard Normal distribution
2𝜋 5
The Standard Normal Distribution 𝑵(𝟎, 𝟏)
Use standard Normal tables forΦ = 𝑃(𝑍 < 𝑧)
[also called Φ(𝑧)]
𝑋−𝜇
𝑍= ∼ 𝑁(0,1)
𝜎
𝑎
Φ z = 𝑃 𝑍 ≤ 𝑎 = න 𝑓 𝑍 𝑑𝑧
−∞

Φ z
=𝑃 𝑍≤𝑎
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𝑎
The Standard Normal Distribution 𝑵(𝟎, 𝟏)
To find the probabilities (areas) in the normal distribution
problems
we first convert the values of X to the corresponding Z
𝑋−𝜇
values. 𝑍=
𝜎
this gives the value of area (probability) less than the
value of Z under the curve.

For example, at Z = 1.96

the area (probability) under the standard normal curve and less
than Z = 1.96 𝑝(𝑧 < 1.96 .

We start with the value 1.9 in the Z column

we move in the corresponding row until we reach the column

heading 0.06

the value The probability is 0.9750.

The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :
(a) 𝑃 𝑍 ≤ 1.22 = Q 1.22

= 0.8888
The Standard Normal Distribution 𝑵(𝟎, 𝟏)
Probability Rules of Normal Distributions:

1)𝑷(𝒛 ≤ 𝒂) = 𝜱 𝒂 3) 𝑷 𝒛 ≥ −𝒂 = 𝜱 𝒂

=
2) 𝑷 𝒛 > 𝒂 = 𝟏 − 𝜱 𝒂 4) 𝑷 𝒛 ≤ −𝒂 = 𝜱 −𝒂 = 𝟏 − 𝜱 𝒂

=
The Standard Normal Distribution 𝑵(𝟎, 𝟏)
Probability Rules of Normal Distributions:
5) 𝑷 𝒂 < 𝒛 < 𝒃 = 𝜱 𝒃 − 𝜱 𝒂 6) 𝑷 −𝒂 < 𝒛 < −𝒃 = 𝑷 𝒛 < −𝒃 − 𝑷 𝒛 < −𝒂
=𝜱 𝒂 −𝜱 𝒃

7) 𝑷 −𝒂 < 𝒛 < 𝒃 = 𝑷 𝒛 < 𝒃 − 𝑷 𝒛 < −𝒂

=𝜱 𝒃 − 𝟏−𝜱 𝒂
The Standard Normal Distribution 𝑵(𝟎, 𝟏)
Example :
(𝑃 𝑍 > −0.5

= 𝑃 𝑍 ≤ 0.5

= Φ(0.5)
= 0.6915.

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The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example : 𝑃 𝑍 ≤ −1.0
= 𝑃(𝑍 ≥ 1.0)
= 1 − 𝑃(𝑍 < 1.0)

= 1 − Φ 1.0 = 1 − 0.8413
= 0.1587

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The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example : 𝑃 0.5 < 𝑍 < 1.5

= 𝑃 𝑍 < 1.5 − 𝑃(𝑍 < 0.5)

= Φ 1.5 − Φ(0.5)

= 0.9332 −0.6915
= 0.2417

= −

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The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :
𝑷 −𝟎. 𝟓 ≤ 𝒛 ≤ 𝟎. 𝟗

= 𝜱 𝟎. 𝟗 − 𝟏 − 𝜱 𝟎. 𝟓

= 𝟎. 𝟖𝟏𝟓𝟗 − 𝟏 − 𝟎. 𝟔𝟗𝟏𝟓

= 𝟎. 𝟓𝟎𝟕𝟒
The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :
𝑃 𝑍 < 1.356

BetweenΦ 1.35 = 0.9115

andΦ 1.36 = 0.9131

0.9115 + 0.9131
Φ 1.356 =
2
= 0.9123
The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :

a. 𝑷(𝒁 < 𝟏. 𝟒𝟖) = Φ(1.48) = 0.9306

b. 𝑷(𝒁 > −𝟎. 𝟐𝟓) = P Z < 0.25 = Φ(0.25) = 0.5987

The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :
c. 𝐏(𝐙 > 𝟏. 𝟔𝟎) = 1 − P Z ≤ 1.60
= 1 − Φ(1.60)
= 1 − 0.9452 = 0.0548

d. 𝑷 𝒁 < −𝟏. 𝟎𝟐 = 𝑃 𝑍 ≥ 1.02 = 1 − Φ 1.02 = 1 − 0.8461 = 0.1539

The Standard Normal Distribution 𝑵(𝟎, 𝟏)

Example :
e. 𝑷(𝟎. 𝟓 < 𝒁 < 𝟏. 𝟓𝟕) = Φ(1.57) −Φ(0.5)

= 0.9418 −0.6915 = 0.2503

Normal Distribution
Example :
The professor of Statistics found that the average time required for students to complete
the final exam = 150 minutes with a standard deviation of 30 minutes.
Find the following:
1. What is the probability that students complete an exam between 125 and 150 minutes?
2. What is the probability that students complete an exam in 185 minutes or less?
3. What is the probability that students complete an exam in more than 195 minutes?
4. If the number of students is 1000 students. Find the number of students who completed
an exam in more than 185 minutes.
𝑋−𝜇
𝜇 = 150 , 𝜎 = 30 𝑍=
𝜎
Normal Distribution
1. What is the probability that students complete an
exam between 125 and 150 minutes?

P(125  X  150 )
 125  150 x  μ 150  150 
 P   
 30 σ 30 
 P 0.83  Z  0 
= Φ 0 − [1 − Φ 0.83 ]

= 0.5 − [1 − 0.7967]

= 0.5 + 0.7967 − 1
 0.2967
Normal Distribution
2. What is the probability that students complete an
exam in 185 minutes or less?

P(X  185 )

 x  μ 185  150 
 P  
 σ 30 

 PZ  1.17 

 0.8790
Normal Distribution
What is the probability that students complete an
exam in more than 195 minutes?

𝑃(𝑋 ≥ 195)

 x  μ 195  150 
 P  
 σ 30 
 P Z  1 . 5 

 1 - P(Z  1.5)

 1 - 0.9332

= 0.0668
Normal Distribution

Example :
𝑃 𝑍 ≤ 𝑐 = 0.8

Use table in reverse:

Φ 𝑐 = 0.8

Φ 𝑐 = 0.8 between 0.7995 and 0.8023

𝑧 between 0.84 and 0.85

0.84 + 0.85
⇒𝑐=
2
≈ 0.845

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Normal Distribution

Example :

The outside diameter, X mm, of a copper pipe is N(15.00, 0.022)

(i) Find the probability that X exceeds 14.99 mm.

(ii) Within what range will X lie with probability 0.95?

Normal Distribution
Reminder:
Example : 𝑍=
𝑋−𝜇
𝜎
The outside diameter, X mm, of a copper pipe is N(15.00, 0.022)
(i) Find the probability that X exceeds 14.99 mm.
𝑋 ∼ 𝑁 𝜇, 𝜎 2 = 𝑁(15.0, 0.022 )

14.99 − 15.0
𝑃 𝑋 > 14.99 = 𝑃 𝑍 >
0.02

= 𝑃 𝑍 > −0.5

= 𝑃 𝑍 < 0.5 = Φ(0.5)

≈ 0.6915
Normal Distribution
Example : (ii) Within what range will X lie with probability 0.95?
we want an interval such that Z lies in this interval with probability 0.95.
suppose we want an interval which is symmetric about zero i.e.
between −𝑑 and 𝑑.
0.95

So 𝑑 is whereΦ 𝑑 = 0.975

0.025+0.95

−𝑑 𝑑
0.975

0.025 0.05/2=0.025
𝑑

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Normal Distribution

Example :
Use table in reverse:

Φ 𝑑 = 0.975

⇒ 𝑍 = 1.96

95% of the probability is in the range

[-1.96,1.96]

𝑋 lies in 𝜇 ± 1.96𝜎 with probability 0.95

Reminder:
⇒ 𝑋 = 15 ± 1.96 × 0.02 𝑋−𝜇
𝑍=
𝜎
⇒ 14.96mm < 𝑋 < 15.04mm
Good luck