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Normal Distribution
Normal Distribution
Note: A random variable X with mean and variance 2 and following the normal law can be
expressed by X ~ N ( , )
2
2 4
8. The mean deviation from mean is .
5
9. The total area bounded by the curve and horizontal axis is equal to 1.
1
10. The maximum ordinate occurs at x and its value is .
2
Q3 Q1
11. The quartile deviation is 0.6745
2
12. The first quartile Q1 = -0.6745 and third quartile Q3 = +0.6745
Q3 Q1
13. The co-efficient of quartile deviation 0.6745 .
Q3 Q1
14. A linear function a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n of n independent normal variables
X 1 , X 2 , X 3 ,............, X n with means 1 , 2 , 3 ,........, n and variances
1 2 , 2 2 , 3 2 ,.........., n 2 is also a normal variable with mean a1 1 a 2 2 a3 3 ........ a n n
and variance a1 1 a 2 2 a3 3 .......... a n n .
2 2 2 2 2 2 2 2
Proof:
Let Z= a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n
Now, E (Z ) = E a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n
= a1 E[ X 1 ] a 2 E[ X 2 ] a3 E[ X 3 ] ......... a n E[ X n ]
= a1 1 a 2 2 a3 3 ........ a n n
And V (Z ) V a1 X 1 a 2 X 2 a 3 X 3 ......... a n X n
2 2 2 2
= a1 V ( X 1 ) a 2 V ( X 2 ) a3 V ( X 3 ) .......... a n V ( X n )
= a1 1 a 2 2 a3 3 .......... a n n
2 2 2 2 2 2 2 2
15. If X is a normal variate with mean and standard deviation , then the distribution of
X
Z is also normal with mean 0 and variance 1. Here Z is called standard normal
variable.
X
Symbolically if X ~ N ( , ) then Z
2
~ N (0,1)
Proof:
X 1 1
E (Z ) E E( X ) 0
V (Z ) V
X
1 1
2 V ( X ) 2 2 1 .
Note: The probability density function of standard normal variable Z is
1
1 z2
f ( z / 0,1) N (0,1) e 2
, Z
2
Area under normal curve:
As the normal variable is a continuous random variable, the probability that the random variable X
assumes a value x x1 and x x 2 is represented by the area under the probability curve bounded by
the values x1 and x 2 can be defined as
2
x2 1 x
1
Pr ob( x1 x x 2 ) =
2
e dx
x1 2
Since the normal curve depends on two parameters and
2 , the area represented by Pr ob( x1 x x 2 ) is also dependent on
and 2 . Though theoretically this probability can be calculated
by using the method of integral calculus, normal integral tables are available for the use of practicing
statisticians. It is very voluminous work to compile tables for all possible values of and 2 . In fact
such tables would be infinitely many because , 0 .
To facilitate the preparation of tables, the normal variable is standardized or is transformed to
a new variable which is also normal, but having mean 0 and variance 1. Thus if X is normal variable
X
with mean and variance 2 , then Z is a standardized normal variable having mean 0 and
variance 1
x1 x x 2
And thus Pr ob( x1 x x 2 ) = Pr ob
= Pr ob( z1 z z 2 )
i.e.
2
x2 1 x
1
Pr ob( x1 x x 2 ) =
2
e dx
x1 2
z2 1
1 z2
= e2 dz = Pr ob( z1 z z 2 )
z1 2
Cumulative distribution
functions of Z:
The cumulative distribution function of Z is defined as
t 1
1 z2
t P(Z t ) = e2 dz
2
And
P ( Z t ) =1- P ( Z t )
Note: since the normal curve is symmetrical
P ( Z t ) = P ( Z t )