Continuous Probability Distributions: Part 2

Maram Salem & Noha Youssef

The American University in Cairo

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Table of Contents

1 Normal Distribution

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Normal Distribution
The normal distribution is the most widely used continuous
probability distribution.
It has
It is the bell shape
a bell-shaped curve, symmetric around its mean, dividing probs. into 2 halves

Figure: Normal Distribution

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Normal Distribution

A random variable Y is said to have a normal probability distribution

if and only if, for σ > 0 and −∞ < µ < ∞, the density function of Y
is
1 (y−µ)2
f (y) = √ e− 2σ2 , −∞ < y < ∞.
σ 2π
If Y is a normally distributed random variable with parameters µ and
σ, then E(Y ) = µ and V (Y ) = σ 2 .
Areas under the normal density function corresponding to
P (a ≤ Y ≤ b) require evaluation of the integral
Z b (y−µ)2
1
√ e− 2σ2 dy.
a σ 2π
Unfortunately, a closed-form expression for this integral does not
exist; hence, its evaluation requires the use of numerical integration
techniques.
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Normal Distribution
Probabilities are obtained from the standard normal table that has a
mean of µ = 0 and standard deviation equals 1.
To standardize any normal variable we use the z-score transformation
Z = x−µ
σ .

Figure: Different normal curves with different means and different standard
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Example 1

Let Z denote a normal variable with mean 0 and standard deviation 1

(a) Find P (Z > 2) Directly form the table it is 0.0228
(b) Find P (−2 < Z < 2)

1 − 2 × P (Z > 2) = 1 − 2 × 0.0228 = 0.9544.

(c) Find P (0 < Z < 1.73)

0.5 − 0.0418 = 0.4582.

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Example 2

The achievement scores for a college entrance examination are normally

distributed with mean 75 and standard deviation 10. What fraction of the
scores lies between 80 and 90?
Sol:

80 − 75 90 − 75
P (80 < X < 90) = P ( <Z< )
10 10
= P (0.5 < Z < 1.5)
= P (Z > 0.5) − P (Z > 1.5) = .3085 − .0668 = .2417.

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Example 3

Find the value of z satisfying each of the following

(a) P (Z > z) = 0.5
z = 0.
(b) P (Z < z) = 0.8643
To get the value of z using our table, we get 1 − P (Z < z) = 0.1357,
then from the table z = 1.1.
(c) P (−z < Z < z) = 0.9
1.65+1.64
P (Z > z) = 0.5 − 0.45 = 0.05, this yields that z = 2 = 1.645.
(d) P (−z < Z < z) = 0.99
Left to the student
(e) P (0 < Z < z) = 0.33
Left to the student

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Example 4

Scores on an examination are assumed to be normally distributed with

mean 78 and variance 36.
1 What is the probability that a person taking the examination scores
higher than 72?
P (X > 72) = P (Z > 72−786 ) = P (Z > −1) = 1 − P (Z > 1) =
1 − 0.1587 = 0.8431.
2 Suppose that students scoring in the top 10% of this distribution are
to receive an A grade. What is the minimum score a student must
achieve to earn an A grade? P (X > A grade) = 0.1 this leads to
P (Z > grade−78
6 ) = P (Z > g) = 0.1, from the table
g= 1.28+1.29
2 = 1.285, then 1.285 = grade−78
6 , then grade = 85.71.

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Example 4

31 What must be the cutoff point for passing the examination if the
examiner wants only the top 72% of all scores to be passing?
P (X > pass) = 0.72, then this means that
P (Z > pass−78
6 ) = P (Z > pg) = 0.72, this implies that
P (Z > −pg) = 1 − 0.72 = 0.28, −pg = 0.58+0.59
2 = 0.585, then
pg = −0.585 = pass−78
6 , the pass grade is =74.49.
42 If it is known that a student’s score exceeds 72, what is the
probability that his or her score exceeds 84?
P (X > 84|X > 72) = P (X>84∩X>72)
P (X>72) = PP (X>84) P (Z>1)
(X>72) = P (Z>−1) =
0.1587
1−0.1587 = 0.1587/0.8431 = 0.1882.

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