Normal distribution

 Normal distribution is the limiting form of the binomial

distribution by increasing n, the number of trials, to a very
large number for a fixed value of p.
 It is considered cornerstone of the modern statistical
theory and was discovered by ‘ABRAHAM DE MOIVRE”.
 It is also called “GUASSIAN DISTRIBUTION” and “BELL
CURVE”.
 A normal distribution is defined by the p.d.f :
2
( x− μ)
1 −[
2σ
2
]
for -∞<x<∞
f ( x )= e
σ √2 π

Where:
 μ is mean
 σ is standard deviation

 π = 3.1416

 e = 2.7183

 μ , σ , π ∧e ,all are constants.

  Two important parameters of this p.d.f are μ :mean and
σ : standard deviation .
 f (x) is proper probability density function because
∞

∫ f ( x ) . dx=1
−∞

 Normal distribution is denoted by :

N ( μ , σ 2)
if it consists of μ∧¿ σ 2 .i.e. mean and variance.
Graph:
 The graph of normal distribution is “Bell-shaped curve”.
Also called “Normal curve”.
 μ and σ determines the position and spread of the curve
(horizontally), respectively.

Distribution function:
x ( x−μ ) 2
1 −[
2σ
2
]
F ( x )=P( X < x)= ∫ e
σ √ 2 π −∞
Standardized normal
distribution
 The normal probability distribution of Z which has zero
mean and unit variance, is called “standardized normal
distribution” or “unit normal distribution”.
 It is denoted by N (0,1).
 The parameters of standardized normal distribution are
μ∧σ 2.

 Let a random variable Z :

X−μ
Z= σ

Then, the p.d.f of Z, denoted by ∅ ( z ) becomes :

2
−z
1 2
∅ ( z )= e
√2π
 Here : μ=0∧σ 2=1

Distribution function of standardized normal

distribution :
2
z −t
1 2
. dt
∅ ( z )=P( Z< z )= ∫e
σ √ 2 π −∞

 For negative values of z, we use identity

∅ (−z )=1−∅( z )
x−μ
 F(x)=∅ ( σ )
 For any ‘a’ and ‘b’ (positive or negative)
P(a<Z<b)=∅ ( b )−∅ (a)

Examples
Example 9.3: If the p.d.f of r.v X is
2
−( x+7 )
1 32
−∞< x<∞
f ( x )= e
√ 32 π
find its mean, variance and moment generating function:

The function f(x) may be written as

2
− ( x−(−7 ))
1 2 (4 )
2

f ( x )= e
4 √2 π

Comparing with the general form of the normal

distribution, we find that µ = -7 and σ = 16. Hence X is N(-7,16). 2

Substituting the values of mean and variance in the relation

1 2
−7 t + ( 16 ) t 2

m . g . f =e 2
=e−7 t +8 t .

Example 9.4: Let X = N(0,1) mean that X has a normal

distribution with zero mean and unit variance. Ehat will be the
7
distribution of 2 X−3 ; X + 5∧4 X ?
3

Given that E(X) = 0 and Var(X) = 1.

Let Y = 2X – 3. Then E(Y) = E(2X – 3) = 2E(X) – 3 = -3, and
Var(Y) = Var(2X – 3) = 22 Var(X) = 4(1) =4.
Hence the distribution of 2X – 3 is N(-3,4).
7 49
Similarly, we find that 8
X +5 is N (5 , 64 ) is 4X is N ( 0,16 ) .
Example 9.5: If X is N ( 0,1 ), then find the distribution of X2.
The distribution of X is
1 −x /2 2

dF= e . dx ,−∞ < x <∞

√ 2π
1
Let y=x2 so that x=√ y and dx= 2 √ y dy. Then the distribution of Y is
1 − y/ 2 dy
dF= e . ,0 ≤ y <∞
√2 π √y
1 − y /2 −1/ 2
¿ e . y dy
√2 π
1
¿
Γ ¿¿
, where m= 2y ∧0 ≤ m< ∞.
1
This is a gamma variable with parameter .
2