continuous probability

distributions:
The normal and exponential
distribution

Prof. Jyotsna Singh

Normal Distribution
 The Normal Distribution

f(X) Changing μ shifts the

distribution left or right.

Changing σ increases or
decreases the spread.
σ

µ X
Parameters μ and σ
 Normal pdfs have two parameters
μ - expected value (mean “mu”)
σ - standard deviation (sigma)

μ controls location σ controls spread

7: Normal Probability Distributions 4

The Normal Distribution:
as mathematical function (pdf)

1 x 2
1  ( )
f ( x)  e 2 
 2
This is a bell shaped
Note constants: curve with different
=3.14159 centers and spreads
e=2.71828 depending on  and 
 The Normal PDF

It’s a probability function, so no matter what the

values of  and , must integrate to 1!

 1 x 2
1  ( )

 2
 e 2  dx 1
Integral of pdf is 1
Probability and the Normal Curve
 The normal distribution is a continuous
probability distribution. This has several
implications for probability.
 The total area under the normal curve
is equal to 1.
 The probability that a normal random
variable X equals any particular value is
0.
 The probability that X > a equals the
area under the normal curve bounded
by a and +∝ (non-shaded area in the
figure below).
 The probability that X < a equals the
area under the normal curve bounded
by a and -∝ (shaded area in the figure
below).
 Suppose scores on an IQ test are normally distributed. If the test has a
mean of 100 and a standard deviation of 10, what is the probability that a
person who takes the test will score between 90 and 110?

 Solution:
Here, we want to know the probability that the test score falls between 90 and
110. The "trick" to solving this problem is to realize the following:
P( 90 < X < 110 ) = P( X < 110 ) - P( X < 90 )

 To compute P( X < 110 ),

The value of the normal random variable is 110, the mean is 100, and the
standard deviation is 10. We find that P( X < 110 ) is 0.84.
 To compute P( X < 90 ),
The value of the normal random variable is 90, the mean is 100, and the
standard deviation is 10. We find that P( X < 90 ) is 0.16.
 P( 90 < X < 110 ) = P( X < 110 ) - P( X < 90 )
P( 90 < X < 110 ) = 0.84 - 0.16
P( 90 < X < 110 ) = 0.68
 Thus, about 68% of the test scores will fall between 90 and 110.
Normal distribution is defined
by its mean and standard dev.
 1 x 2
E(X)= =  x 1  ( )
e 2  dx

 2

 1 x 2
1  ( )
Var(X)=2 = ( 

x2
 2
e 2  dx)   2

Standard Deviation(X)=
**The beauty of the normal curve:

No matter what  and  are,

• the area between - and + is about 68%;

• the area between -2 and +2 is about 95%; and
• the area between -3 and +3 is about 99.7%.

Almost all values fall within 3 standard deviations.

68-95-99.7 Rule

68% of
the data

95% of the data

99.7% of the data

68-95-99.7 Rule
in Math terms…
  1 x 2
1  ( )

  
 2
 e 2  dx  .68

  2 1 x 2
1  ( )

  
2 2
 e 2  dx  .95

  3 1 x 2
1  ( )

  
3 2
e 2  dx  .997
 How good is rule for real data?

Check some example data:

The mean of the weight of the women = 127.8
The standard deviation (SD) = 15.5
 68% of 120 = .68x120 = ~ 82 runners
In fact, 79 runners fall within 1-SD (15.5 lbs) of the mean.

112.3 127.8 143.3

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
 95% of 120 = .95 x 120 = ~ 114 runners
In fact, 115 runners fall within 2-SD’s of the mean.

96.8 127.8 158.8

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
 99.7% of 120 = .997 x 120 = 119.6 runners
In fact, all 120 runners fall within 3-SD’s of the mean.

81.3 127.8 174.3

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
Example
 Suppose SAT scores roughly follows a normal
distribution in the U.S. population of college-
bound students (with range restricted to 200-800),
and the average math SAT is 500 with a standard
deviation of 50, then:
 68% of students will have scores between 450

and 550
 95% will be between 400 and 600

 99.7% will be between 350 and 650

 Example
 BUT…
 What if you wanted to know the math SAT
score corresponding to the 90th percentile
(=90% of students are lower)?
P(X≤Q) = .90  Q 1 x  500 2
 (
1 )
 (50) 2  e
200
2 50 dx  .90

Solve for Q!
 Determining Normal
Probabilities
When value do not fall directly on σ landmarks:
1. State the problem
2. Standardize the value(s) (z score)

3. Sketch, label, and shade the curve

4. Use Table B

7: Normal Probability Distributions 20

Step 1: State the Problem
 What percentage of gestations are less than
40 weeks?

 Let X ≡ gestational length

 We know from prior research:

X ~ N(39, 2) weeks

 Pr(X ≤ 40) = ?
7: Normal Probability Distributions 21
 Step 2: Standardize
Normal Probability Distributions

 Standard Normal variable

≡ Z ~ N(0,1)
 a Normal random variable with
μ = 0 and σ = 1

22
 The Standard Normal (Z):
“Universal Currency”

The formula for the standardized normal

probability density function is

1 Z 0 2 1
1  ( ) 1  ( Z )2
p( Z )  e 2 1
 e 2
(1) 2 2
Comparing X and Z units

100 200 X ( = 100,  = 50)

0 2.0 Z ( = 0,  = 1)
The Standard Normal Distribution (Z)
Q function
 The Standard Normal Distribution (Z)
All normal distributions can be converted into the standard normal
curve by subtracting the mean and dividing by the standard deviation:
X 
Z


z-score = no. of σ-units above (+z) or below (-z)

distribution mean μ
Somebody calculated all the integrals for the
standard normal and put them in a table! So we
never have to integrate!
Use Table to look up cumulative probabilities for Z
Example: A Z variable
of 1.96 has cumulative
probability 0.9750.

7: Normal Probability Distributions 33

 Step 2 (cont.)

Turn value into z score:

x
z

For example, the value 40 from X ~ N (39,2) has
40  39
z  0.5
2
34
 Steps 3 & 4: Sketch & Table B

3. Sketch
4. Use Table B to lookup Pr(Z ≤ 0.5) = 0.6915

7: Normal Probability Distributions 35

 Probabilities Between Points
a represents a lower boundary
b represents an upper boundary
Pr(a ≤ Z ≤ b) = Pr(Z ≤ b) − Pr(Z ≤ a)

7: Normal Probability Distributions 36

 Between Two Points

.6687 .6915 .0228

-2 0.5 0.5 -2

Pr(-2 ≤ Z ≤ 0.5) = Pr(Z ≤ 0.5) − Pr(Z ≤ -2)

.6687 = .6915 − .0228

7: Normal Probability Distributions 37

 exponential distribution
 The exponential distribution is a continuous
probability distribution used to model the time we
need to wait before a given event occurs.
e.g. How much time will elapse before an earthquake occurs in a given
region? How long do we need to wait until a customer enters our shop?

The time we need to wait before an event occurs has an exponential

distribution if the probability that the event occurs during a certain time
interval is proportional to the length of that time interval.
More precisely, has an exponential distribution if the conditional
probability
P(t< X≤ t+∆t|X>t) ∝ ∆t
 exponential distribution
We say that X has an exponential distribution with parameter λ if and only if
its probability density function is

The parameter λ is called rate parameter.

 exponential distribution
 The mean of the Exponential(λ) distribution is calculated
using integration by parts as
 The Memoryless Property:
 The following plot illustrates a key property of the
exponential distribution.
 The graph after the point s is an exact copy of the original function. The
important consequence of this is that the distribution of X conditioned
on {X > s} is again exponential.
The Memoryless Property:
 The Memoryless Property:

Note that this implies that the distribution of the remaining lifetime does not
depend on s.
 shows the cdf of the general uniform random variable
X.
 We see that is a non-decreasing continuous function
that grows from 0 to 1 as x ranges from its minimum
values to its maximum values.
Uniform Distribution
Uniform Distribution