Mathematics S1

The Normal Distribution

General Normal
Random Variables
General Normal Variable X ~ N(μ, σ2)
General Normal Variable X ~ N(μ, σ2)
 General Normal Variable X ~ N(μ, σ2)
We’re going to need probabilities for normal distributions whose means
are not 0 and standard deviations are not 1.
If a continuous random variable X represents a normal distribution
with mean μ and standard deviation σ then we write:
X ~ N(μ, σ2)
The value σ2 is known as the variance of X and is equal to the
standard deviation squared, or (standard deviation)2
In order to calculate probabilities for a general normal variable we use
standard normal tables. To do this we must change our general X
values to standard Z values. The process of doing so is known as
standardisation.

The formula to change from a general to a standard normal variable is:

Z=X–μ
σ
This formula does not appear in the formula book and MUST be
learned.
 General Normal Probability Curve
The diagram shows a probabilities (y-axis) against values of X (x-axis)
for a normal random variable with mean μ and standard deviation σ.
Smaller standard deviation,
taller peak

Larger standard deviation,

lower peak

μ
The area under any normal curve is always equal to 1, since it
represents the total probability
If we increase the value of σ then the curve becomes wider but the
peak becomes lower
When we decrease the value of σ then the curve becomes narrower
and the peak becomes higher
 Standardising a Normal Variable
To standardise a normal curve we must first move it to the left so the
mean is at zero. To achieve this, we subtract μ from all values:
X→X–μ
Now our normal curve has its mean at 0.
The next step is to change the standard deviation from σ to 1. We
need
the distance from X = 0 to X = σ to be equal to 1,
the distance from X = 0 to X = 2σ to be 2, . . .
and so on
To achieve this, we divide each of the X – μ values by σ.
X 
Hence: Z

Our general normal variable has now been standardised.
To transform the other way, or to destandardise, notice that:
Z  X    X    Z
The Standard Normal Variable Z ~ N(0, 1)
We saw previously the standard normal variable, Z ~ N(0, 1), had
mean 0 and standard deviation 1.
We saw also how to use standard normal tables to calculate
probabilities for the standard normal variable:
Notice that changes
P(a < Z < b) = P(Z < b) – P(Z < a) always occur in pairs.
Perform two of:
For k > 0: reverse the inequality,
P(Z < k) = value from normal tables change to 1 – P(Z),
P(Z > k) = 1 – P(Z < k) change from k to –k.

For k < 0:
P(Z < k) = P(Z > –k) = 1 – P(Z < –k)
P(Z > k) = P(Z < –k)
The Standard Normal Variable Z ~ N(0, 1)
Example 1
The normal random variable X satisfies X ~ N(100, 52).
Calculate:
(a) P(X < 110) (b) P(X > 112)
(c) P(X > 95) (d) P(95 < X < 110)
Solution
• Clearly μ = 100 and σ = 5, so . . .

(a)
 110     110  100 
P ( X  110 )  P Z    P Z    P ( Z  2)
    5 
• Looking this value up in our standard normal tables we see that:
P ( X  110 )  P ( Z  2)  0.9772
  112  100 
(b) P( X  112 )  P Z    P( Z  2.4)
 5 

• Recall that P(Z > k) = 1 – P(Z < k)

• Hence: P( X  112 )  1  P( Z  2.4)  1  0.9918  0.0082

 95  100 
(c) P ( X  95)  P Z    P ( Z  1)
 5 
• P(Z > –1) = P(Z < 1)
• Hence:
P ( X  95)  P ( Z  1)  P ( Z  1)
P ( X  95)  0.8413
(d) P (95  X  110)  P ( X  110)  P ( X  95)

= –
95 110 110 95

 110  100   95  100 

• Hence P (95  X  110)  P Z    P Z  
 5   5 
P (95  X  110)  P ( Z  2)  P ( Z  1)
• We can get the values for these last two probabilities from our
answers to (a) and (c), so:
P (95  X  110 )  0.9772  1  0.8413  0.9772  0.1587

P(95  X  110 )  0.8185

Example 2
Given that X ~ N(80, 10),
(a) calculate P(X < 77)
(b) find the value of k if:
(i) P(X < k) = 0.6 (ii) P(X < k) = 0.25
Solution
• The mean, μ, is 80, but this time we know that the variance is 10, so
the standard deviation, σ, is √10
(a)  77  80 
P( X  77 )  P Z    P(Z  0.949)
 10 

P( X  77 )  P(Z  0.949)  P(Z  0.949)  1  P(Z  0.949)

=
• so P( X  77 )  1  P( Z  0.949)  1  0.8264  0.0023  0.1713

P( X  77 )  0.1713

(b) (i) We’re looking for a value of k so P(X < k) = 0.6

• From our standard normal tables, we see that:
P(Z < 0.253) = 0.5987 + 0.0012 = 0.5999

• We call the value 0.253 our z-value

X 
• We have seen that: Z so   Z  X

• Our z-value is 0.253, so:
k = 80 + (√10)x0.253 = 80.8

• ie P(X < 80.8) = 0.6

(b) (ii) We need k such that: P(X < k) = 0.25

• When we look in our standard probability tables we see that the

probability of 0.25 does not appear. Instead we look for the probability
of 0.75

• From our tables: P(Z < 0.674) = 0.7486 + 0.0013 = 0.7497

• Hence: P(Z < –0.674) = 1 – 0.7497 = 0.2503

• Our z-value is therefore z = –0.674

• So k = μ + σZ = 80 + (√10)(–0.674) = 77.9
Example 3
Given that X ~ N(10, 4), calculate:
(a) P(X < 12) (b) P(X > 14.5) (c) P(X > 8)
(d) P(X < 8.5) (e) P(9.5 < X < 11.5)
(f) the value of k if: (i) P(X < k) = 0.85 (ii) P(X > k) = 0.72
Solution
(a)
 12  10 
P ( X  12)  P Z    P ( Z  1)  0.8413
 2 

(b)  14.5  10 
P ( X  14.5)  P Z    P ( Z  2.25)
 2 
P ( X  14.5)  1  P ( Z  2.25)  1  0.9878  0.0122

(c)  8  10 
P ( X  8)  P Z    P ( Z  1)
 2 
P ( X  8)  P ( Z  1)  0.8413
(d)  8.5  10 
P ( X  8.5)  P Z    P ( Z  0.75)
 2 
P ( X  8.5)  P ( Z  0.75)  1  P ( Z  0.75)
P ( X  8.5)  1  0.7734  0.2266

(e)
= –
9.5 11.5 11.5 9.5

P (9.5  X  11 .5)  P ( X  11 .5)  P ( X  9.5)

 11.5  10   9.5  10 
P(9.5  X  11.5)  P Z    P Z  
 2   2 
Notice we’ve
P(9.5  X  11.5)  P( Z  0.75)  P( Z  0.25) made two
changes here

P(9.5  X  11 .5)  P ( Z  0.75)  1  P ( Z  0.25)  -0.25 to

+0.25 and
P(9.5  X  11 .5)  0.7734  1  0.5987  0.3721
p to (1 – p)
(f) (i) P(X < k) = 0.85

• From tables, P(Z < xxx) = 0.8499, and this is the closest probability to
0.85, so we take z = xxx as our z-value
• X = μ + σZ  k = 10 + 2 x xxx = 12.08

(f) (ii) P(X > k) = 0.72

• From tables, P(Z < 0.yy) = 0.7190, and this is the closest probability
to 0.72
• Remembering that changes to z-probabilities must occur in pairs we
can say that P(Z > –0.yy) = 0.7190
and our z-value is –0.58
• Hence, k = 10 + 2 x (–0.yy) = 8.84

(a) 0.8413 (b) 0.0122 (c) 0.8413

Answers
(d) 0.2266 (e) 0.7734 – 0.4013 = 0.3721
f(i) k = 12.08 f(ii) k = 8.84
 The Normal Distribution - Summary
The standard normal variable Z has mean 0 and standard deviation
1, and is written Z ~ N(0, 1)
Standard normal tables give P(Z < k) for the standard normal
variable, where k ≥ 0
For other values of k or for upper tail probabilities, use
P(Z < k) = P(Z > – k) and P(Z > k) = 1 – P(Z < k)
A general normal random variable X has mean μ and standard
deviation σ, and we write X ~ N(μ, σ2)
To find probabilities of a general normal random variable we must first
standardise it, using the formula X 
Z

This formula does not appear on the CIE list of formulas and must
be learned