Chap 2 Normal - Distribution - Final

Normal Distribution
Chapter 2
Mrs. Madiha EL AZIZ

S5 - 2015/2016
Faculté d’Ingénieur de Djibouti
1 ME_ND
M. EL AZIZ – ND
Schedule
1 : Introduction
2 : The distribution and its characteristics

2.1 : Definition
2.2 Characteristics of a Normal Curve
3 : Finding Normal Probabilities

3.1: Central Limit Theorem
3.2: Normal distribution tables
3.3 : Using Normal Probabilities to Find X
4: Normal propreties
4.1: Reminder
4.2: Applications
5 : Distributions related to the normal distribution

5.1: X2n Chi-square distribution,
5.2: t distribution
5.3 : F distribution 2
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1 : Introduction
 In this lesson, we'll investigate one of the most

prevalent probability distributions in the natural
world, namely the normal distribution.
 Just as we have for other probability
distributions, we'll explore the normal
distribution's properties, as well as learn how to
calculate normal probabilities.
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2.1 : Definition
The normal distribution is a continuous distribution of data that has the shape of a
symmetrical bell curve. It is also called the Gaussian Distribution, after Carl Gauss who
created a mathematical formula for the curve,
The continuous random variable X follows a normal distribution if its probability density
function is defined as:
= exp(− 2)
√( )
for −∞ < x < ∞,

−∞ < μ < ∞,
and 0 < σ < ∞.
The mean of X is μ and the variance of X is σ2, We say X ~ N(μ, σ2).

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2 : The distribution and its characteristics M. EL AZIZ – ND
2.1 : Definition
Example
Let X denote the IQ (Intelligence Quotient Test) of a randomly
selected American. It has long been known that X follows a normal
distribution with mean 100 and standard deviation of 16.
That is, X ~ N(100, 162).
Draw a picture of the normal curve, that is, the distribution, of X.
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1) All normal curves are bell-shaped with points of inflection at μ ± σ,

2) All normal curves are symmetric about the mean μ,
3) The area under an entire normal curve is 1 or 100%,
4) All normal curves are positive for all x. That is, f(x) > 0 for all x,
5) The limit of f(x) as x goes to infinity is 0, and the limit of f(x) as x goes to negative infinity is 0,
That is: lim = 0 lim =0
→ →
6) The height of any normal curve is maximized at x = µ,

7) The shape of any normal curve depends on its mean μ and standard deviation σ,
8) The 'mean = median = mode.' This is because the shape of the data is symmetrical with one peak.
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PROOFS
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 Example
Let X equal the IQ of a randomly selected American. Assume X ~ N(100, 162).

What is the probability that a randomly selected American has an IQ below 90?
As is the case with all continuous distributions, finding the probability involves finding the area under
the curve and to the left of the line x = 90:
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Theorem:
X−μ
If X ~ N(μ, σ2), then: Z= follows the N(0,1) distribution, which is called
σ
the standardized (or standard) normal distribution.
Characteristic : Φ (-x) = 1-Φ(x)
PROOF :
We need to show that the random variable Z follows a N(0,1) distribution
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3 : Finding Normal Probabilities M. EL AZIZ – ND
The theorem leads us to the following strategy for finding probabilities P(a < X< b)
when a and b are constants, and X is a normal random variable with mean μ
and standard deviation σ:
1) Specify the desired probability in terms of X.
X−μ
2) Transform X, a, and b, by: Z=
σ
3) Use the standard normal N(0,1) table, typically referred to as the Z-table,
to find the desired probability
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Find probabilities of P(Z ≤ 0.01), P(Z > 0.12)
Estimates probabilitie of P(Z ≤-1) 12

Let X equal the IQ of a randomly selected American. Assume X ~ N(100, 162
1. What is the probability that a randomly selected American has an IQ below 90?
2. What is the probability that a randomly selected American has an IQ above 140?
3. What is the probability that a randomly selected American has an IQ between 92

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3.3 : Using Normal Probabilities to Find X or Using
the Normal Curve in Reverse
We learned how to use the standard normal curve N(0, 1) to find
probabilities concerning a normal random variable X with mean μ and
standard deviation σ.
What happens if it's not the probability that we want to find, but
rather the value of X ???
Let's start with an example.
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3.3 : Using Normal Probabilities to Find X Using the Normal Curve in Reverse
The instructor now wants to give 10% of

Suppose X, the grade on a midterm exam, is the class an A−. What cutoff should the
normally distributed with mean 70 and standard instructor use to determine who gets an
deviation 10. The instructor wants to give 15% of the A−?
class an A. What cutoff should the instructor use to
determine who gets an A?
In summary, in order to use a normal probability to find the value of a

normal random variable X:
(1) Find the z value associated with the normal probability,
(2) Use the transformation x = μ + zσ to find the value of x. 15
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4 : Normal propreties
4.1 : Reminder
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4 : Normal propreties M. EL AZIZ – ND
4.1 : Reminder
Proposition :If a moment-generating function exists for a random variable X, then:
(1) The mean of X can be found by evaluating the first derivative of the moment-
generating function at t = 0. That is:
μ=E(X)=M′(0)
(2) The variance of X can be found by evaluating the first and second derivatives of the
moment-generating function at t = 0. That is:
σ2=E(X2)−[E(X)]2=M′′(0)−[M′(0)]2
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4 : Normal propreties
4.2 : applications
Knowing whats we know, proof that :
The moment generating function of a normal random variable X is
The mean and variance of a normal random variable X are respectively µ and σ2
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Although the normal distribution can be used to solve many problems in engineering and
science, there are still numerous situations that require different types of
density functions.
In this part we will just give the most important of them, and giving their important properties
Three important distributions:
• X2n Chi-square distribution,

• t distribution (loi de student), All density functions depends on gamma
• F distribution (loi de Fisher). distribution T
Before we discuss the X2n ,t, and F distributions here are few important things about the
gamma distribution. The gamma distribution is useful in modeling skewed distributions
for variables that are not negative.
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5.1 : Gamma distribution
A brief note on the gamma function:
The quantity is known as the gamma function and it is equal to:
A random variable X is said to have a gamma distribution with parameters α,β if its
probability density function is given by
Useful result :
Moment generating function of the random variable:

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5.1 : Gamma distribution
The gamma density for α = 1; 2; 3; 4 and β = 1.
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5.2 : X2n Chi-square distribution
Another very important special case of the gamma distribution is obtained by
letting α=v/2and β= 2, where v is a positive integer. The result is called the chi-squared
distribution. The distribution has a single parameter, v, called the degrees of freedom.
The continuous random variable X has a chi-squared distribution, with v degrees of freedom, if
its density function is given by
The mean and variance of the chi-squared distribution are μ=v and σ2=2v
Then the Moment generating function of Y 22

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5.3 : t or student’s distribution
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5.3 : t or student’s distribution
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5.4 : F distribution
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5.4 : F distribution
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Chap 2 Normal - Distribution - Final

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Normal Distribution

Mrs. Madiha EL AZIZ

2 : The distribution and its characteristics

3 : Finding Normal Probabilities

5 : Distributions related to the normal distribution

 In this lesson, we'll investigate one of the most

for −∞ < x < ∞,

The mean of X is μ and the variance of X is σ2, We say X ~ N(μ, σ2).

1) All normal curves are bell-shaped with points of inflection at μ ± σ,

6) The height of any normal curve is maximized at x = µ,

Let X equal the IQ of a randomly selected American. Assume X ~ N(100, 162).

Characteristic : Φ (-x) = 1-Φ(x)

1) Specify the desired probability in terms of X.

Estimates probabilitie of P(Z ≤-1) 12

Let X equal the IQ of a randomly selected American. Assume X ~ N(100, 162

3. What is the probability that a randomly selected American has an IQ between 92

Let's start with an example.

The instructor now wants to give 10% of

In summary, in order to use a normal probability to find the value of a

Proposition :If a moment-generating function exists for a random variable X, then:

Knowing whats we know, proof that :

The moment generating function of a normal random variable X is

Three important distributions:

• X2n Chi-square distribution,

The quantity is known as the gamma function and it is equal to:

Moment generating function of the random variable:

The gamma density for α = 1; 2; 3; 4 and β = 1.

Then the Moment generating function of Y 22

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