(Lesson 21: Normal Distributions) 21.

01

LESSON 21: NORMAL DISTRIBUTIONS

What if a Normal Isn’t Standard?
PART A: STANDARDIZING NORMAL SCORES TO FIND PROBABILITIES

Assume that X has a normal distribution with mean µ and standard deviation
(
(SD) σ . That is, X ~ N µ , σ . )
• µ and σ could have any units: points, inches, feet, pounds, etc.
Make sure µ and σ are written using the same units, however.

• Z is assumed to have a standard normal distribution, so

( )
Z ~ N µ = 0, σ = 1 . z scores have no units.

To find probabilities for values of X, we need to transform (convert) x scores

into z scores using our usual formula for z scores:

Formula for z Scores

x − mean x−µ
z = = (We usually round off to two decimal places.)
SD σ

Then, we find probabilities for the corresponding values of Z.

 (Lesson 21: Normal Distributions) 21.02

Example 1 (Standardizing Normal Scores)

Let X be the height of a random American woman.
(
Then, X ~ N µ = 65 inches, σ = 3.5 inches . )
(Source: http://www.usablestats.com/lessons/normal)

Use these hints regarding the Z distribution:

( ) ( )
• a) Find P X < 60 inches , which is the same as P X < 5 feet . First write
the corresponding probability expression for Z. Show work by using the
Formula for z Scores.

( ) ( )
• b) Find P X > 60 inches , which is the same as P X > 5 feet . First write
the corresponding probability expression for Z .

( )
• c) Find P 60 inches < X < 72 inches , which is the same as
P (5 feet < X < 6 feet ) . First write the corresponding probability
expression for Z . Use the Formula for z Scores when showing work.
§ Solution

( )
• a) Find P X < 60 inches . First take the boundary x score, 60 inches, and
transform it into a z score by using the Formula for z Scores:
x−µ 60 − 65
x = 60 inches ⇒ z = = ≈ − 1.43
σ 3.5
Write the corresponding probability expression for Z ; from the figure on
the left, we see that this probability is about 0.0764:

P ( X < 60 inches ) ≈ P ( Z < −1.43) ≈ 0.0764

 (Lesson 21: Normal Distributions) 21.03

( )
• b) Find P X > 60 inches . We want the complementary probability;
remember that the total area under the density curve is 1:

P ( X > 60 inches ) ≈ P ( Z > −1.43)

≈ 1− P ( Z < −1.43)
≈ 1− 0.0764
≈ 0.9236

( )
• c) Find P 60 inches < X < 72 inches . First take the boundary x scores,
60 inches and 72 inches, and transform them into z scores by using the
Formula for z Scores:
x−µ 60 − 65
x = 60 inches ⇒ z =
σ
=
3.5
≈ − 1.43 ( found in a))
x−µ 72 − 65
x = 72 inches ⇒ z = = ≈ 2.00
σ 3.5
Write the corresponding probability expression for Z ; use the given
probabilities in the figures:

P ( 60 inches < X < 72 inches ) ≈ P ( −1.43 < Z < 2.00 )

≈ 0.9772 − 0.0764
≈ 0.9008

§
 (Lesson 21: Normal Distributions) 21.04

PART B: PERCENTILES OF NORMAL DISTRIBUTIONS

In Part A, we transformed x scores into z scores (by expressing z as a function of

x). Here, we will transform z scores back into x scores (by expressing x as a
function of z).

Formula for Transforming z Scores Into x Scores

x = µ + zσ

Proof
Solve for x:
x−µ
z=
σ
Multiply both sides by σ :
zσ = x − µ
Add µ to both sides:
µ + zσ = x
x = µ + zσ

Example 2 (Percentiles of Normal Distributions)

Let X be the height of a random American woman.
(
Then, X ~ N µ = 65 inches, σ = 3.5 inches . )
Find the 85th percentile of the distribution of heights of American women
and round it off to the nearest tenth of an inch. Also write the corresponding
probability statement for X and interpret it.
Hint: In Lesson 20, Example 3, we saw that the 85th percentile of the Z
distribution is about 1.04.
 (Lesson 21: Normal Distributions) 21.05.

§ Solution

Transform the given z score into an x score:

z ≈ 1.04 ⇒
x = µ + zσ
≈ 65 + (1.04 ) ( 3.5)
≈ 68.6 inches

( )
The desired probability statement for X is: P X < 68.6 inches ≈ 0.85 .
That is, about 85% of American women are shorter than 68.6 inches.
§
 (Lesson 22: The Central Limit Theorem (CLT)) 22.01

LESSON 22: THE CENTRAL LIMIT THEOREM (CLT)

How Do We Analyze Averages (Means)?
PART A: ROLL ONE DIE

We will roll one standard six-sided die.

Let X = the result of the die.

(
X has the following probability distribution, which we will call D X ~ D ; )
we saw this in Lesson 15, Example 1.

Value Probability
(x) P (x)
1 1/6
2 1/6
3 1/6
4 1/6
5 1/6
6 1/6

This is a discrete uniform distribution, but the ideas of this lesson will apply to all
discrete and continuous distributions with a finite standard deviation (which we
will assume).

Using the formulas from Lesson 16, we can find that D has:

mean, µ = 3.5
SD, σ ≈ 1.7078

• When in doubt, round off to at least five significant figures.

 (Lesson 22: The Central Limit Theorem (CLT)) 22.02

As an alternative to a histogram, we can use a spike plot:

For one die, it is convenient that the die result, the sum, and the mean are all
the same. For example, if the die comes up a “3,” then the sum is 3, and the mean
is 3.

PART B: ROLL TWO DICE

We roll two standard six-sided dice, one red and one green.

We consider this to be a sample of size n = 2 from the original distribution D for

one die.

Let X 1 = the result of the red die.

Let X 2 = the result of the green die.

We will consider:

∑X = X 1 + X 2 = the sample sum (or total) of the dice

X1 + X 2
X = = the sample mean (or average) of the dice
2

Table of Sums (∑ X ) ( )
Table of Means X
 (Lesson 22: The Central Limit Theorem (CLT)) 22.03

The spike plot below describes two sampling distributions: the distribution of
sums (∑ X ) as well as the distribution of means ( X ) , although they use
different scales. Possible sums are between 2 and 12, while possible means are
still between 1 and 6, with a mean of 3.5 (as for one die).

3.5

We can say that “the mean of the means” (denoted by µ X ) is 3.5.

That is, the mean of the sampling distribution for the sample means is 3.5.

X~D

↙ ↘
Sample: X1 X2
↘ ↙
Sample Mean: X

X has the triangular distribution at the top

of the page, using the bottom (blue) scale.

Imagine 1000 people, each rolling a pair of dice. Each person takes a sample of
size n = 2 from D, the original, uniform distribution. Each person finds the sample
mean of the two dice; these are values of X . For example:

X1 X2 X
Sample #1 2 3 2.5
Sample #2 6 2 4.0
! ! ! !
Sample #1000 1 5 3.0
 (Lesson 22: The Central Limit Theorem (CLT)) 22.04

The relative frequency histogram (or spike plot) for the values of X should
resemble the triangular distribution. This is because of the Law of Large
Numbers (LLN).

n=2

The sampling distribution for X has:

mean, µ X = µ = 3.5
σ 1.7078
SD or SE, σ X = ≈ ≈ 1.2076
n 2

σ X is also called the standard error (SE) of the mean.

• As the sample size n increases, σ X decreases. Notice that the probability

mass for the triangular distribution is more tightly clustered around x = 3.5
here for n = 2 than for n = 1. Here, the average of the dice is more likely to
be close to 3.5, the mean of the original distribution.

Think About It: As n, the number of dice in a sample, increases, what will the
shape of the sampling distribution for X begin to resemble? See the next page ….
 (Lesson 22: The Central Limit Theorem (CLT)) 22.05
D = Uniform Standard Die Distribution; µ = 3.5 ; σ ≈ 1.7078
x P( x)
1 1/6 ≈ 0.16667
2 1/6 ≈ 0.16667
3 1/6 ≈ 0.16667
4 1/6 ≈ 0.16667
5 1/6 ≈ 0.16667
6 1/6 ≈ 0.16667
In the figures below, n dice are to be rolled. “N” means “Normal,” not population size.
n =1 n=2

n=4 n=8

n = 16 n = 32

CLT for Sums:

32 approx. ⎛ mean = nµ = 112, ⎞
∑ i X ∼ N ⎜ ⎟
⎝ SD = σ n ≈ 9.6608⎠
i=1

CLT for Means (or Averages):

approx.
⎛ mean = µ = 3.5, ⎞
X ∼ N⎜ σ ⎟
⎜ SD = ≈ 0.30190⎟
⎝ n ⎠
 (Lesson 22: The Central Limit Theorem (CLT)) 22.06

PART C: ROLL 32 DICE

The Central Limit Theorem (CLT) applies when the sample size is large
enough; usually n > 30 is the standard.

It also applies when the original distribution D is approximately normal,

regardless of sample size.

( )
According to the CLT for Means, if a machine rolls 32 dice n = 32 , then the
sampling distribution for X , is approximately normal:

n = 32

The sampling distribution for X has:

mean, µ X = µ = 3.5
σ 1.7078
SD or SE, σ X = ≈ ≈ 0.30190
n 32
Therefore:

( )
approx.
X ∼ N µ X = 3.5, σ X ≈ 0.30190

We expect the sample mean to be very close to 3.5, since we expect high and low
numbers to have a strong tendency to balance each other out. The standard
error (SE) is about 0.3, much smaller than the 1.7 or so that we started with for σ .
 (Lesson 22: The Central Limit Theorem (CLT)) 22.07

( )
In Lesson 9, we saw the “Two SD” 2σ Rule for Usual Values.

( )
We can extend this to the following “Two SE” 2σ X Rule for Usual Values of a
Sample Mean.

( )
The "Two SE" 2σ X Rule for Usual Values of a Sample Mean

An appropriate interval of usual values for a sample mean is given by

( µ − 2σ X )
, µ + 2σ X .

Example 1 (Interval of Usual Values for a Sample Mean: 32 Dice)

A machine rolls 32 standard six-sided dice. What is the interval of usual
values of the sample mean X , based on the “Two SE” Rule?

Use the following distribution for X ; round off the value of σ X to 0.3.

( )
approx.
X ∼ N µ X = 3.5, σ X ≈ 0.3

§ Solution

µ − 2σ X ≈ 3.5 − 2 ( 0.3) ≈ 3.5 − 0.6 ≈ 2.9

µ + 2σ X ≈ 3.5 + 2 ( 0.3) ≈ 3.5 + 0.6 ≈ 4.1

The interval of usual values of the sample mean is given by:

( µ − 2σ X )
, µ + 2σ X , which is ( 2.9, 4.1) here.

• Since X has an approximately normal distribution, the “68-95-99.7%”

Empirical Rule applies, and we can say that the probability that the sample
mean will be between 2.9 and 4.1 is about 95%, or 0.95.
§
 (Lesson 22: The Central Limit Theorem (CLT)) 22.08

( )
When finding probabilities for the sample mean X , we need to adapt our
Formula for z Scores:

Formula for z Scores for Sample Means

x − mean x−µX x−µ

z = = , or (Round off to two decimal places.)
SE σX σ
n

Example 2 (Probabilities for a Sample Mean: 32 Dice)

A machine rolls 32 standard six-sided dice.
The distribution for X , the result on one die, has:
mean, µ = 3.5
SD, σ ≈ 1.7078

( )
Find the probability that the average of the 32 dice X will be between 3.0

( )
and 4.0. That is, find P 3.0 < X < 4.0 .

Use these hints regarding the Z distribution:

 (Lesson 22: The Central Limit Theorem (CLT)) 22.09

§ Solution

The sampling distribution for X has:

mean, µ X = µ = 3.5
σ 1.7078
SD or SE, σ X = ≈ ≈ 0.30190
n 32

The sample size n = 32 . Since n > 30 , the CLT applies, so we use the
following distribution for X :

( )
approx.
X ∼ N µ X = 3.5, σ X ≈ 0.30190

( )
We want to find P 3.0 < X < 4.0 . Take the boundary x scores, 3.0 and
4.0, and transform them into z scores by using the Formula for z Scores for
Sample Means:
x−µX 3.0 − 3.5
x = 3.0 ⇒ z = ≈ ≈ − 1.66
σX 0.30190

x−µX 4.0 − 3.5

x = 4.0 ⇒ z = ≈ ≈ 1.66
σX 0.30190
(can use symmetry about the mean, 3.5)

Write the corresponding probability expression for Z ; use the given

probabilities in the figures:

P ( 3.0 < X < 4.0 ) ≈ P ( −1.66 < Z < 1.66 )

≈ 0.9515 − 0.0485
≈ 0.9030
 (Lesson 22: The Central Limit Theorem (CLT)) 22.10

• Note: If we are more interested in the sum (or total) of the dice, observe
( ) ( )
that: P 3.0 < X < 4.0 = P 96 < ∑ X < 128 . Here, a sum is 32 times an
average. The CLT for Sums implies that:
32 ⎛ mean = nµ = 112,
approx. ⎞
∑ i X ∼ N ⎜ ⎟
⎝ SD = σ n ≈ 9.6608⎠
i=1

PART D: THE CENTRAL LIMIT THEOREM (CLT) FOR MEANS

The Central Limit Theorem (CLT) for Means

Assume X ~ D with mean µ and finite SD σ .

Let X be the sample mean of n iid (independent and identically

distributed) results from D.

( )
If the sample size n is large n > 30 , or if D is approximately normal, then
approx.
⎛ σ ⎞
X ∼ N ⎜ mean = µ X = µ , SD or SE = σ X = ⎟
⎝ n⎠

• Note: The CLT works best when D is symmetric and does not have thick
tails.

An asymmetric distribution D is analyzed in the table on the next page. For small
values of n, the asymmetry is still evident, but it becomes less of an issue by the
n = 32 case.
 (Lesson 22: The Central Limit Theorem (CLT)) 22.11.

D = Biased Die Distribution; µ ≈ 1.6667 ; σ ≈ 0.74536

(Three faces are “1”s. Two faces are “2”s. One face is a “3.”)

x P x()
1 1/2 = 0.5
2 1/3 ≈ 0.33333
3 1/6 ≈ 0.16667
In the figures below, n dice are to be rolled. “N” means “Normal,” not population size.
n =1 n=2

n=4 n=8

n = 16 n = 32

CLT for Sums:

32 approx. ⎛ mean = nµ ≈ 53.333, ⎞
∑ i ∼ N ⎜⎝ SD = σ n ≈ 4.2164⎟⎠
X
i=1

CLT for Means (or Averages):

approx.
⎛ mean = µ ≈ 1.6667, ⎞
X ∼ N⎜ σ ⎟
⎜ SD = ≈ 0.13176⎟
⎝ n ⎠
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.01

LESSON 23: NORMAL APPROXIMATIONS TO BINOMIAL

DISTRIBUTIONS
How Can Normal Distributions Help Us Analyze Binomial
Distributions?
PART A: WHEN CAN A NORMAL DISTRIBUTION APPROXIMATE A
BINOMIAL DISTRIBUTION?

See the gallery of 50 binomial histograms on the next page.

Think About It: Which of these histograms looks closest to normal?

⎛ 1 ⎞
In fact, Bin ⎜ n = 10, p = or 0.5⎟ is the most basic binomial distribution that can
⎝ 2 ⎠
be approximated by a normal distribution.

Normal approximations to binomial distributions are more appropriate if:

• The sample size n is large, and

• p and q are not close to 0 or 1.

1
p= is ideal.
2
Remember that p is the success probability on a trial and that
q is the complementary failure probability; q = 1− p .

Conditions for Using Normal Approximations to Binomial Distributions

We will use normal approximations to binomial distributions
if and only if the following conditions apply:
• np ≥ 5 , and
• nq ≥ 5
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.02

GALLERY OF BINOMIAL HISTOGRAMS

p = 1/8 p = 1/4 p = 1/2 p = 3/4 p = 7/8

n=1

n=2

n=3

n=4

n=5

n=6

n=7

n=8

n=9

n = 10
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.03

PART B: PARAMETERS FOR BINOMIAL DISTRIBUTIONS AND THEIR

NORMAL APPROXIMATIONS

Mean and SD of a Binomial Distribution

( )
If X ∼ Bin n, p , then:
mean, µ = np
SD, σ = npq

If a normal approximation is appropriate, then it makes sense to use these values

of µ and σ for the normal distribution that we use to approximate the binomial
distribution.

Using Normal Approximations to Binomial Distributions

( )
Let X ∼ Bin n, p . If np ≥ 5 and nq ≥ 5 , then:

( )
approx.
X ∼ N mean = µ = np, SD = σ = npq
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.04

PART C: CONTINUITY CORRECTIONS

We use continuity corrections to adjust for the fact that we are using a continuous
distribution (a normal distribution) to approximate a discrete distribution
(a binomial distribution).

⎛ 1⎞
( )
Let’s say we want to find P 45 ≤ X ≤ 55 , where X ∼ Bin ⎜ n = 100, p = ⎟ .
⎝ 2⎠
Since the distribution is discrete, it may matter whether we use “<” or “< .”

• We associate the integer value a in the binomial distribution with the interval
( )
a − 0.5, a + 0.5 in the approximating normal distribution. Think: “rounding.”

• We associate the integer value “45” in the binomial distribution with the interval
( )
44.5, 45.5 in the approximating normal distribution.

• We associate the integer value “55” in the binomial distribution with the interval
( )
54.5, 55.5 in the approximating normal distribution.

( )
To approximate P 45 ≤ X ≤ 55 for the binomial random variable X ,
(
we will use continuity corrections and find P 44.5 ≤ X c ≤ 55.5 )
for the normal random variable X c . Think: “corrected X.”

( )
• X c is continuous, so we may consider P 44.5 < X c < 55.5 instead.
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.05

PART D: COIN EXAMPLES

Example 1 (Normal Approximation to a Binomial Distribution: Coins)

We will flip a fair coin 100 times.
Let X = the number of heads in the 100 flips.

( )
Approximate P 45 ≤ X ≤ 55 by following these steps:

• a) Describe the distribution of X.

• b) Verify that a normal approximation to the distribution of X would be
appropriate.
• c) Describe the normal distribution that can be used to approximate the
distribution of X.

( )
• d) Apply continuity corrections and rewrite P 45 ≤ X ≤ 55 in terms of
Xc .

• e) Find the z scores for the boundary values of xc using the Formula for
z Scores.
• f) Write the corresponding probability expression for Z .

( )
• g) Approximate P 45 ≤ X ≤ 55 . Use these hints regarding the Z
distribution:
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.06

§ Solution
• a) Describe the distribution of X.

⎛ 1⎞
X ∼ Bin ⎜ n = 100, p = ⎟
⎝ 2⎠

• b) Verify that a normal approximation to the distribution of X would be

appropriate.
⎛ 1⎞
( )
np = 100 ⎜ ⎟ = 50 ≥ 5
⎝ 2⎠
⎛ 1⎞ ⎡ 1 1⎤
nq = (100 ) ⎜ ⎟ = 50 ≥ 5 ⎢ q = 1− p = 1− =
⎝ 2⎠ ⎣ 2 2 ⎥⎦

µ or E ( X ) = np = 50 , the “expected number of successes (heads).”

nq = 50 , the “expected number of failures (tails).”

• c) Describe the normal distribution that can be used to approximate the

distribution of X.
The parameters for both binomial and normal distributions are:
⎛ 1⎞
mean, µ = np = (100 ) ⎜ ⎟ = 50 ⎡⎣ heads ⎤⎦
⎝ 2⎠

SD, σ = npq = (100) ⎛⎜⎝ 12 ⎞⎟⎠ ⎛⎜⎝ 12 ⎞⎟⎠ = 5 ⎡⎣ heads ⎤⎦

approx.
(
Therefore, X ∼ N µ = 50, σ = 5 )
(
• d) Apply continuity corrections and rewrite P 45 ≤ X ≤ 55 in terms of )
Xc .
( )
From Part C, we found that: P 45 ≤ X ≤ 55 ≈ P 44.5 < X c < 55.5 . ( )
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.07

• e) Find the z scores for the boundary values of xc using the Formula for
z Scores.
x−µ 44.5 − 50
xc = x = 44.5 ⇒ z = = ≈ − 1.10
σ 5
x−µ 55.5 − 50
xc = x = 55.5 ⇒ z = = ≈ 1.10
σ 5
• f) Write the corresponding probability expression for Z .

P ( 44.5 < X c < 55.5) ≈ P ( −1.10 < Z < 1.10 )

(
• g) Approximate P 45 ≤ X ≤ 55 . )
P ( −1.10 < Z < 1.10 ) ≈ 0.8643− 0.1357
≈ 0.7286

• Software may be able to use the Binomial Probability Formula

⎛ n ⎞ x n−x
P ( x ) = n Cx p x q n−x , or ⎜ ⎟pq
⎝ x ⎠

( ) ( ) ( )
and calculate P 45 + P 46 + ...+ P 55 to get a more precise result.

• The actual probability to six decimal places is 0.728747, so our answer of

0.7286 was quite good!

• If we had not applied the continuity corrections, our answer would have
been about 0.6826.
§
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.08

Example 2 (Continuity Corrections: Coins)

Apply continuity corrections and rewrite the following in terms of X c .

( )
• a) The probability of at most 45 heads, P X ≤ 45 .

(
• b) The probability of more than 55 heads, P X > 55 . )
§ Solution
• a)

P ( X ≤ 45) ≈ P ( X c < 45.5)

• b)

P ( X > 55) ≈ P ( X c > 55.5)

§
 (Lesson 23: Normal Approximations to Binomial Distributions) 23.09.

PART E: WHY ARE NORMAL DISTRIBUTIONS USEFUL?

• They are often seen in practice. This is why the “68-95-97%” Rule for
normal distributions is called the Empirical Rule.

• According to the Central Limit Theorem (CLT), averages of iid

(independent and identically distributed) random variables have
approximately normal distributions under robust conditions (the CLT applies
in a great many situations).

• Binomial distributions can often be approximated by normal

distributions.

PART F: WHY DO THESE NORMAL APPROXIMATIONS TO BINOMIAL

DISTRIBUTIONS WORK? (OPTIONAL)

The Central Limit Theorem (CLT) can be applied to a sum of many indicator
variables. In our coin examples, we consider the sum of 100 indicator variables: