THE NORMAL DISTRIBUTION

Data can be "distributed" (spread out) in different ways.

Example: 95% of students at school are between 1.1m and 1.7m tall.

Assuming this data is normally distributed can you calculate the mean and standard deviation?

The mean is halfway between 1.1m and 1.7m:

Mean = (1.1m + 1.7m) / 2 = 1.4m

95% is 2 standard deviations either side of the mean (a total of 4 standard deviations) so:
 1 standard deviation = (1.7m-1.1m) / 4

= 0.6m / 4

= 0.15m

The normal distribution is the most important probability distribution in the entire field of
statistics. The graph of a normal distribution, called the normal curve, is bell-shaped which
approximately describes many phenomena that occur in nature, industry and research. Examples
include physical measurements in meteorological experiments, rainfall studies, manufactured
parts, including errors in scientific measurements. The normal distribution is often referred to as
Gaussian distribution, in honor of Karl Friedrich Gauss (1977-1855)

A continuous random variable x having the bell shaped distribution is called a normal
random variable.

The density function of the normal random variable x, with mean 𝜇 and variance 𝜎 2, is

1 1 𝑥−𝜇 2
𝑒 −2( )
𝑓(𝑥 ) = 𝑛(𝑥; 𝜇, 𝜎) = 𝜎 , −∞ <𝑥<∞
√2𝜋𝜎
Where: 𝜋 = 3.124159 …

e =2.71828…

The Normal Curve

Properties of the normal curve:

1. The mode occurs at x = 𝜇.

2. It is symmetric about a vertical axis through the mean, 𝜇.

3. The point of inflection is at x = 𝜇 ± 𝜎.

4. It approaches the horizontal axis asymptotically in either direction away from 𝜇.

5. The total area under the curve and the horizontal axis is equal to 1.

Figure 3: The Normal Curve

Areas under the Normal Curve

The probability that a continuous random variable x assumes numerical value between

x = x1 and x = x2 is equal to the area under the normal curve bounded by x = x1 and x = x2. Thus,
𝑥2 𝑥2 1 𝑥−𝜇 2
1
𝑃(𝑥1 < 𝑥 < 𝑥2 ) = ∫ 𝑓 (𝑥 )𝑑𝑥 = ∫ 𝑒 −2( 𝜎
)
𝑑𝑥
𝑥1 √2𝜋𝜎 𝑥1

is represented by the shaded region of the normal curve area below:

Figure 4. P (x1< x < x2) A specified region under the normal curve

Standard Scores

The number of standard deviations from the mean is also called the "Standard Score", "sigma"
or "z-score"

Example: Professor X is marking a test.

Here are the students' results (out of 60 points):

20, 15, 26, 32, 18, 28, 35, 14, 26, 22, 17
Most students didn't even get 30 out of 60, and most will fail.

The test must have been really hard, so the Prof decides to Standardized all the scores and only
fail people more than 1 standard deviation below the mean.

The Mean is 23, and the Standard Deviation is 6.6, and these are the Standard Scores:

-0.45, -1.21, 0.45, 1.36, -0.76, 0.76, 1.82, -1.36, 0.45, -0.15, -0.91

Now only 2 students will fail (the ones lower than −1 standard deviation)

Much fairer!

Standard Normal Distribution

The problem of providing a table for normal curve areas with different values of 𝜇 and 𝜎
has been solved by transforming all observations of any normal random variable x into a new set
of observations of a normal random variable z, with 𝜇 = 0 and 𝜎 = 1.

The normal random variable x will be transformed into a standard normal variable z by
𝑥−𝜇
𝑧=
𝜎
If x falls between x = x1 and x = x2, the random variable z will fall between z = z1 and z =
z2. Hence,
𝑥2 1 𝑥−𝜇 2 𝑧2
1 1 1 2
𝑃(𝑥1 < 𝑥 < 𝑥2 ) = ∫ 𝑒 −2( 𝜎
)
𝑑𝑥 = ∫ 𝑒 −2(𝑧) 𝑑𝑧
√2𝜋𝜎 𝑥1 √2𝜋 𝑧1

𝑧2
= ∫ 𝑓(𝑧)𝑑𝑧
𝑧1

𝑃 (𝑥1 < 𝑥 < 𝑥2 ) = 𝑃(𝑧1 < 𝑧 < 𝑧2 )

The distribution of a normal random variable with mean zero and variance 1 is called a
standard normal distribution.
 The probability of the original and
transformed distributions is shown in Figure 5
and 6. The shaded area under the x-curve
equals the shaded area under the z-curve.

Fig 5.

Fig. 6

Table 2a and 2b give the area under the standard normal curve corresponding to P(z <z1),
the area to the left of z1.
Table 2a
Table 2b
 To illustrate the use of the table, let us find P(z < 2.56). In the left column we locate 2.5,
then move along the row to obtain 0.06 , we read 0.9948. The process is reversed when we find
the z-value corresponding to a given probability.

The following illustrates the use of the table corresponding to the required probability:

P(z > z1) = the area to the right of z = 1 – P(z < z1)

P(z1< z< z2) = the area between z1 and z2 = P(z < z2) - P(z < z1)

Examples:

Given a standard normal distribution, find

a.) P(z < -1. 65)

b. P(z > 1.78)

c. P( -1.83 < z< 0.98)

Solution:

a. P(z < -1. 65) is to the left of z = -1. 65. From the table of probabilities,
 P(z < -1. 65) = 0.0495

b. P(z > 1.78) is the area to the right of z = 1.78 and

since P(z > 1.78) = 1- P(z < 1.78), then

P(z > 1.78) = 1- 0.9625 = 0.0375

c. P( -1.83 < z< 0.98) is the area between z = -1.83 and z = 0.98 and is equal to the area to the
left of 0.98 minus the area to the left of -1.83, thus,

P( -1.83 < z< 0.98) = P z< 0.98) - P(z< -1.83) = 0.8365 – 0.0336

P( -1.83 < z< 0.98) = 0.8029

 PRACTICE EXERCISES

Given a standard normal distribution, find the value of z such that

a. P(z < z1) = 0.0427

b. P( z < z1) = 0.3409

c. P (z > z1) = 0.2946

d. P (z > z1) = 0. 3264

e. P( -0.93 < z < z2) = 0.7235

f. P (z1 < z < 1.22) = 0.6911

Applications to the normal distribution

Example 1

The diameter of steel bearing is normally distributed with a mean of 10cm. and a standard
deviation of 0.03cm.

a.) What proportion of bearings will have diameters exceeding 10.075 cm?

b.) What is the probability that a bearing will have a diameter between 9.97cm and 10.03 cm?

c.) Below what diameter size will 15% of the bearing fall?

Solution:

x = diameter of bearings

𝜇 = 10 𝑐𝑚

𝜎 = 0.03cm

a. The proportion of bearings that will have a diameter exceeding 10.075 cm is equal to P(x >
10.075) and by transforming x = 10. 075 to z,

𝑥 − 𝜇 10.075 − 10
𝑧= = = 2.50
𝜎 0.03
So that, P(x > 10.075) = P(z > 2.5) = 1- P(z < 2.5) = 1 – 0.9938

Hence,
 P(x > 10.075) = 0.0062

b. find P (between 9.97 and 10.03)

This shows that x1 = 9.97 and x2 =10.03

9.97−10 10.03−10
By transforming both to get z1 = = - 1.0 and z2= = 1.0
0.03 0.03

P (9.97 < x < 10.03) = P (-1.0 < z < 1.0)

= P (z <1.0 ) – P(z < - 1.0 )

= 0.8413 – 0.1587

P (9.97 < x < 10.03) = 0.6826

The probability that the bearings will have a diameter between 9.97cm and 10.03cm is
0.6826.

c.) Since P(x < x1) = P(z < z1) = 0.15, and the z-value leaving an area of 0.15 to the left is -1.04,
the value of x can be computed by

𝑥 = 𝑧𝜎 + 𝜇

= (-1.04)(0.03) + 10

= 9.969 cm.

Therefore, 15% of the bearings will have a diameter below 9.969 cm.