Normal Distribution 1

NORMAL DISTRIBUTION
Let and be two arbitrary constants
such that −∞ < < ∞ and > 0 , then the
probability distribution for which
( )
( )= ( , )=
√
is the density function is called the normal
distribution and the corresponding random
variable is called the normal variate.

Clearly,
i) For any , ( , ) ≥
∞
ii) ∫ ( , ) =

Verification
∞
= ( , )

∞ ( )
=
√
 Normal Distribution 2

Let =
√

= √

varies from −∞ ∞

= √
√

∞
=
√

∞
= ∫ (∵ is even function)
√

√
= =
√

∞ √
∵∫ =

∞
∴ ( , ) =
 Normal Distribution 3

Note:
Normal distribution is limiting case of
Binomial distribution when n is very large and
neither p nor q is very small.

Mean and Variance of Normal distribution

∞
Mean = ∫ . ( , )

∞ ( )
= .
√

Let = so that = + √
√

= √

varies from −∞ to ∞
∞
= + √ √
√

∞
= + √
√
 Normal Distribution 4

∞ ∞
√
= +
√ √

The value of second integral is zero because we

know that ∫ ( ) = if ( ) is odd
function of . In this case is even
function but is odd function and hence
is odd function.
∞
∴ =
√

∞
=
√

∞
√ √
= ∵ =
√

∴ =

Conclusion:
The parameter present in the function
( , ) is mean of the Normal distribution.
 Normal Distribution 5

Variance
Let V be variance of the Normal distribution.
Then,
∞
= ( − ) ( , )

∞ ( )
= ( − )
√

Let =
√

= √

varies from −∞ to ∞

∞
= √ √
√

∞
= ( )
√
 Normal Distribution 6

∞
= ( )
√

∞
= ( )
√

Let = then =
also varies from ∞

∞
=
√

∞
= + ∵ ( + )=
√

= = √ =
√ √

Thus, Varience = & S.D =

 Normal Distribution 7

Conclusion:
The parameter present in the function
( , ) is standard deviation of the Normal
distribution.

Normal curve
The graph of the function ( , ) known
as NORMAL CURVE. It is bell shaped as
shown below which is symmetric about the
line = .

( , )

Area=50% ; p=0.5

The line = divides the total area under the

curve (Area=1) into two equal parts.
 Normal Distribution 8

Note:
If is continuous random variable, then
( ≤ ≤ )=∫ ( ) represents the
area under the curve = ( ) between
= and = .

However, if is a normal variate, then we

can find such areas without calculus.

Standard Normal Distribution

The Normal distribution for which =
and = is known as Standard Normal
distribution.

Suppose is normal variate, then the

standard normal variable corresponding to
is defined as
−
=
 Normal Distribution 9

The density function for the standard normal

distribution is

( )= ( , )=
√

Standard Normal curve

( )

=0

Evaluating Normal Probabilities

( ≤ ≤ )= ( )

If is normal variable, then

( ≤ ≤ )= ( , )

( )
( ≤ ≤ ) =
√
 Normal Distribution 10

Let = be the standard normal variable.

Let = when =
= when =

Then,
( ≤ ≤ )= ( ≤ ≤ )

=
√

∴ ( ≤ ≤ )= ( )

Note:

1. ∫ ( ) represents area under standard

normal curve between and .

2. The integral ( )=∫ ( )

represents the area under the standard
normal from 0 to .
 Normal Distribution 11

3. ( ≤ ≤ )= ( )
Here, ( ) can be obtained from standard
normal table.

Example:

( ≤ ≤ )= ( )
1 = .
0 1

( ≤ < ∞)
2 = .
0

(−∞ < ≤ )
3 = .
0

(−∞ < ≤ )
= . + ( )
= . +0.3413
4
= .
0 1
 Normal Distribution 12

( . ≤ ≤ . )
= ( . )− ( . )
5 = . − .

1.2 2.35
=0.1057
0

(−∞ < ≤ − . )
= ( . < < ∞)
= . − ( . )
6 = . − .
= .
-1.345 0
(− . ≤ ≤ )
= ( ≤ ≤ . )

7 = ( . )
= .
-1.345 0

(− . ≤ ≤ . )
8
-1.345 0 2.46
 Normal Distribution 13

Standard Normal Distribution table

Z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.0000 0.0040 0.0080 0.0120 0.0160 0.0199 0.0239 0.0279 0.0319 0.0359
0.1 0.0398 0.0438 0.0478 0.0517 0.0557 0.0596 0.0636 0.0675 0.0714 0.0753
0.2 0.0793 0.0832 0.0871 0.0910 0.0948 0.0987 0.1026 0.1064 0.1103 0.1141
0.3 0.1179 0.1217 0.1255 0.1293 0.1331 0.1368 0.1406 0.1443 0.1480 0.1517
0.4 0.1554 0.1591 0.1628 0.1664 0.1700 0.1736 0.1772 0.1808 0.1844 0.1879
0.5 0.1915 0.1950 0.1985 0.2019 0.2054 0.2088 0.2123 0.2157 0.2190 0.2224
0.6 0.2257 0.2291 0.2324 0.2357 0.2389 0.2422 0.2454 0.2486 0.2517 0.2549
0.7 0.2580 0.2611 0.2642 0.2673 0.2704 0.2734 0.2764 0.2794 0.2823 0.2852
0.8 0.2881 0.2910 0.2939 0.2967 0.2995 0.3023 0.3051 0.3078 0.3106 0.3133
0.9 0.3159 0.3186 0.3212 0.3238 0.3264 0.3289 0.3315 0.3340 0.3365 0.3389
1.0 0.3413 0.3438 0.3461 0.3485 0.3508 0.3531 0.3554 0.3577 0.3599 0.3621
1.1 0.3643 0.3665 0.3686 0.3708 0.3729 0.3749 0.3770 0.3790 0.3810 0.3830
1.2 0.3849 0.3869 0.3888 0.3907 0.3925 0.3944 0.3962 0.3980 0.3997 0.4015
1.3 0.4032 0.4049 0.4066 0.4082 0.4099 0.4115 0.4131 0.4147 0.4162 0.4177
1.4 0.4192 0.4207 0.4222 0.4236 0.4251 0.4265 0.4279 0.4292 0.4306 0.4319
1.5 0.4332 0.4345 0.4357 0.4370 0.4382 0.4394 0.4406 0.4418 0.4429 0.4441
1.6 0.4452 0.4463 0.4474 0.4484 0.4495 0.4505 0.4515 0.4525 0.4535 0.4545
1.7 0.4554 0.4564 0.4573 0.4582 0.4591 0.4599 0.4608 0.4616 0.4625 0.4633
1.8 0.4641 0.4649 0.4656 0.4664 0.4671 0.4678 0.4686 0.4693 0.4699 0.4706
1.9 0.4713 0.4719 0.4726 0.4732 0.4738 0.4744 0.4750 0.4756 0.4761 0.4767
2.0 0.4772 0.4778 0.4783 0.4788 0.4793 0.4798 0.4803 0.4808 0.4812 0.4817
2.1 0.4821 0.4826 0.4830 0.4834 0.4838 0.4842 0.4846 0.4850 0.4854 0.4857
2.2 0.4861 0.4864 0.4868 0.4871 0.4875 0.4878 0.4881 0.4884 0.4887 0.4890
2.3 0.4893 0.4896 0.4898 0.4901 0.4904 0.4906 0.4909 0.4911 0.4913 0.4916
2.4 0.4918 0.4920 0.4922 0.4925 0.4927 0.4929 0.4931 0.4932 0.4934 0.4936
2.5 0.4938 0.4940 0.4941 0.4943 0.4945 0.4946 0.4948 0.4949 0.4951 0.4952
2.6 0.4953 0.4955 0.4956 0.4957 0.4959 0.4960 0.4961 0.4962 0.4963 0.4964
2.7 0.4965 0.4966 0.4967 0.4968 0.4969 0.4970 0.4971 0.4972 0.4973 0.4974
2.8 0.4974 0.4975 0.4976 0.4977 0.4977 0.4978 0.4979 0.4979 0.4980 0.4981
2.9 0.4981 0.4982 0.4982 0.4983 0.4984 0.4984 0.4985 0.4985 0.4986 0.4986
3.0 0.4987 0.4987 0.4987 0.4988 0.4988 0.4989 0.4989 0.4989 0.4990 0.4990
 Normal Distribution 19

Problems
1. Define pdf of normal distribution. For the
standard normal distribution of a random
variable z, evaluate the following:
(i) P ( ≤ ≤ . )
(ii) P ( − . ≤ ≤ )
(iii) P ( − ≤ ≤ . )
(iv) P ( . ≤ ≤ . )
(v) P ( ≥ . )
(vi) P(| | ≤ . )
Soln:
(i) ( ≤ ≤ . )= ( . )=
(ii) P ( − . ≤ ≤ )
This is same as
P( ≤ ≤ . ) =A(2.6)=
(due to symmetry)

(iii) P ( − ≤ ≤ . )=A(3)+A(2.65)
(iv) P( . ≤ ≤ . )=A(2.1)-A(1.25)
(v) P ( ≥ . )= 0.5-A(1.7)
(vii) P(| | ≤ . )=P(-1.85<z<1.85)
=2A(1.85)
 Normal Distribution 20

2. For the normal distribution with mean

and standard deviation , evaluate the
following.
(i) P (| − | ≤ )
(ii) P (| − | ≤ )
(iii) P (| − | ≤ )
Soln:
Wkt, if is normal variate, then standard
normal variable is =
| |
(i) (| − | ≤ ) = ≤

−
= ≤

= (| | ≤ )
= (− ≤ ≤ )
= (− ≤ ≤ )+ ( ≤ ≤ )

Due to symmetry
(− ≤ ≤ ) = ( ≤ ≤ )= ( )

∴ (| − | ≤ ) = ( )= × .

∴ (| − | ≤ ) = .
 Normal Distribution 21

| |
(ii) (| − | ≤ )= ≤

−
= ≤

= (| | ≤ )
= (− ≤ ≤ )
= ( ≤ ≤ )

= ( )= ×0.4772

∴ (| − | ≤ )= .

(iii) (| − | ≤ )= ≤

= (| | ≤ )
= (− ≤ ≤ )
= ( ≤ ≤ )

= ( )= × .

∴ (| − | ≤ )= .
 Normal Distribution 22

3. For the normal distribution with mean 3

and standard deviation 5, evaluate the
following probabilities:
(i)P( ≥ ) (ii) P(| | < 3) (iii)P(| | > )

Soln:
Given = & =

Wkt, if is normal variate, then standard

normal variable is = =

(i) ( ≥ )= ≥

−
= ≥

= ( ≥ . )= . − ( . )
= . − . = .
A(0.6
( ≥ . )
 Normal Distribution 23

(ii) (| | < 3) = (− < < )

− − − −
= < <

− − −
= < <

= (− . < < )

= ( < < . )

= ( . )= .

(iii) (| | > 4) =