1

THE NORMAL DISTRIBUTION

The normal distribution is the most important continuous distribution in statistics. Many
measured quantities in the natural sciences follow a normal distribution, for example heights,
masses, random errors, diameters, lengths.

The probability density function [p.d.f.] f(x) of a continuous random variable, which follows a
normal distribution with mean µ and variance σ2, is of the form:
2
( x −µ)
−
1 2
f ( x) = e 2σ
where x∈R.
σ 2π

The graphical representation of the function f(x) is bell-shaped and symmetrical about x = µ.

f(µ)

x
0 µ

The Standard Normal Variable, Z

The standard normal variable, Z, is the normal variable with mean 0 and variance 1. The
probability density function [p.d.f.] ϕ(z) of the standard normal variable is of the form:

 z2 
ϕ (z) =
1
exp −  where z = ( x − m ) .
2π  2  σ
 
 2

Graphical Representation:

If a variable X follows a normal distribution with mean µ and variance σ2 , the variable
X−m
Z= follows the standard normal distribution with mean 0 and variance 1.
σ
Exercise:
Show that E(Z) = 0 and Var(Z) = 1.