1

3.3 The Normal Distribution

Normal Distribution Gaussian dish I used in natural andsocialsciences

Recall that the names of continuous distributions refer to the shapes of PDFs.
The shape of the normal distribution resembles the classic bell curve.
bell shaped

symmetric

higher in themidd
less in the extra

Example of things that tend to be approximately normal:

biological feature ex height weight etc
SAT scores
Job satisfaction
Statistic I ex sample mean y Central Limit Theorem

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Notation:
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Note: ! and "! are the mean and variance of #.
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Note: $(0, 1) is called the standard normal distribution. 2 distribution
z n N 10 I
MGF: x n In it My k exp Mt
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We will now show that * (#) = ! and ,-.(#) = " ! using the MGF:

Mean:
text de Mal
L exp Mt
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xp Mt FI Mt Ft
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exp o M
M

Variance: varix E x E x

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Properties: EX mn a change on the direction3

1) The normal distribution has inflection points at one standard deviation away
from the mean in both directions
2) No matter what the mean and standard deviation are, the amount of area within
k standard deviations of the mean is always the same.

X N N IM I ti 4 X N N Ma 10 I 2

0.68
Note: Since the normal distribution takes on values from −∞ to ∞, nothing in the
real world has exactly a normal distribution. However, the area in the tails
t beyond 4 or 5 standard deviations from the mean is negligible, so it can still
be a good model.

The Empirical Rule

68 95 99.7 rule
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ISD ISD 35D
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We can approximately find some probabilities of Normal distribution using the

Property 2). If observations are normally distributed, then

- Approximately 68% of the observations are within one standard deviation of

the mean

P I M TEX E Mtf I 0.68

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- Approximately 95% of the observations are within two standard deviations of
the mean

PIM TEX E M 120 I 0.95

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- Approximately 99.7% of the observations are within 3 standard deviations of
the mean

P IM TEX E M 130 I 0.997

Example: If IQ scores are normally distributed with a mean of 100 and a standard
deviation of 15,

1. About what percent of individuals have IQ scores in the interval [85,

115]?

XI IE stores N M 100 I 152

PC of EX 115 P 1100 15 E YE 100 15

M T Mtr

0.68

2. About what percent have IQ scores in the interval [100, 130]?

Note that it is symmetric

PC 100 E X E 130 I P 70 EX E 130

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0.475
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3. About what percent have IQ scores in the interval [85, 145]?

P 8T 4 145 p 85 EX 100 PCOO EX 145

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Example: Suppose the pulse rates of 200 college men are normally distributed with a
mean of 72 and a standard deviation of 6.
1. Find an interval centered at 72 that contains about 95% of the men’s
pulse rates.
x pulse rate N NC M 72 8 6
p IM 2T EX EM 2T 0.95

p 60 E X E 847 0.95

I 60.84

2. Find an interval centered at 72 that contains about 99.7% of the men’s

pulse rates.

P X 3T EX 13T 0.997
P 54 EXE 90 0.999

54 90
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Finding Exact Probabilities

If X is iontt r v p la ex b fab finds
However the normal pdf is difficult to integrate over

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We will use the standard normal distin NCO 1

to find exact prob for any normal dish

Percentiles of the Standard Normal Distribution

1" denotes 100(1 − 2)th percentile for the standard normal distribution, i.e.,
Suppose Z ~ N(0, 1). 1" is a number such that
3(4 ≥ 1" ) = 2 tail prob
right
P Z E Za th def of percentile

i a pize at a
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symmetry
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Example: Plot a standard normal PDF and locate z0.05 and z0.95.

P z z 20.05 0.05

FfjjxIXjygj.es p 12220.951 0.95

20.05 20.95
We can find exact probabilities of standard normal distributions using Z-tables (on
CANVAS). Different Z tables will give you different areas under the curve, and for
this reason almost every Z table has a picture drawn at the top that shows you what
is being tabled.

Example: Let Z ~ N(0, 1). Look up the following in the Z-Tables.

1. P(Z < 1.3)

2. P(0 < Z < 1.3)

3. P(0.37 < Z < 1.41)

4. P(Z > 0.7)