The Normal Distribution
The normal distribution is the most important of all probability distributions1 since many practical random variables approximate to the normal distribution. The normal distribution is a continuous distribution and has the formula ( )
( )

where µ is the mean or expectation, is the variance and σ is the standard deviation. The standard normal distribution has µ=0 and σ=1; ( ) ( )

The following examples illustrate the normal distribution for three values of µ, σ. The standard normal distribution with µ=0, σ=1 (green), and then general normal distributions with µ=4, σ=1 (blue) and µ=8, σ=0.5 (brown).

The normal curve has a bell-shape, whatever the values of µ and σ. Note that changing µ simply translates the curve, decreasing σ reduces the spread of the distribution. This function or curve is also referred to as a Gaussian. As with all probability distributions ∫
( )

although the integration of this function cannot be carried out analytically using elementary integration methods, either over the full range ( ) or over a part of this range. The integration is normally carried out by first transforming the normal distribution to the standard normal curve, the integration of the standard normal curve can be found in tables2 or on computer, for example using the erf function as described below.
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Probability Distributions Eg Statistical Tables


All normal distributions can be transformed onto the standard normal distribution using the formula ( If ) ( ( ) ) ( ( ) )

is a variable from a normal distribution with mean µ and standard deviation σ then

Is a variable from the standard normal distribution. Cumulative Distribution The cumulative distribution for the standard normal distribution is defined as follows ( ) ∫ ( ) ∫

This can be written in terms of the error function ‘erf ( ) For the general normal distribution ( ( (



), the cumulative density function is ( ))

The cumulative density functions for the normal distributions considered earlier are illustrated in the following graphs. A spreadsheet that graphs the normal distribution and its cumulative density function is available.4

Cumulative Density Function for Normal Distribution
1.2 1 0.8 0.6 0.4 0.2 0 -15 -10 -5 -0.2 0 x 5 10 15

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The Error Function ‘Graphs’ sheet of Normal Distribution.xlsx


Probabilities and the form of the normal distribution It is useful to get a feel of how variable in a normal distribution cluster around the mean. The diagram below illustrates that approximately are within one standard deviation of the mean. of variables from the normal distributions




The diagram below illustrates that approximately of variables from the normal distributions are within two standard deviations of the mean.





The diagram below illustrates that approximately distributions are within three standard deviations of the mean.

of variables from the normal

µ-3σ Example.



The marks in an exam are normally distributed with mean 50 and standard deviation 10. What it the probability that a mark is (i) between 40 and 60, (ii) between 30 and 70 and (iii) between 30 and 80? Answer. From the discussion above the answers are (i) Normal random numbers Normal random numbers (or pseudo-random numbers since they are computer generated) can be generated using computer packages like Excel5 or on-line. The following diagram is a histogram6 that is generated from a random sample of 100 numbers on the spreadsheet. The ‘z’ value is computed the tranform the normal random numbers to standard normal random numbers and the histogram charts the frequency in each half standard deviation around the mean. , (ii) and (iii)

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‘Random Numbers’ Sheet of Normal Distribution.xlsx How to Present Information


Histogram of Normal Sample
25 20 15 10 5 0

The mean of the sample is 49.3 and the standard deviation is 9.6. Determining the probability of a normal random number lying within a range The probability of events in the normal distribution corresponds to the integration of the normal curve over a sub-range. The Gaussian function cannot be integrated using standard methods and hence this has to either be carried out on computer, or by using the traditional method of look-up tables. For example the probability of a normal random variable lying in a range is computed on the Excel spreadsheet7. In order to use statistical tables8, first the z-value(s) are calculated. Then find the probability for each z-value from the table and from these values the probability is determined. An example of this method is given below. Example The results for an exam are normally distributed with mean 50 and standard deviation 10. What is the probability of a student getting between 60 and 70. Answer The z-values are up to =1 is 0.8413 and the area up to 0.9772-0.8413=0.1359. . Looking at the statistical tables the area =2 is 0.9772. Hence the area between is

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‘Probabilty’ sheet of Normal Distribution.xlsx Eg pages 1 and 2 of Statistical Tables

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