Normal Distribution

Nagarajan Krishnamurthy
Introduction to Business Statistics for EPGP 2015-16 batch
Indian Institute of Management Indore

Thanks to Prof. Arun Kumar and Prof. Ravindra Gokhale,

co-instructors of QT1, AY 2012-13

Continuous Random Variable

Continuous random variable can take any value in an interval.

Probability Density Function

Probability distribution of a continuous random variable is

described by a probability density function.

Calculate Probability from Density Function

If X is a random variable with density function f (x) then

probability that X will take values between a and b is the
following:
Z
b

P(a X b) =

f (x) dx
a

Properties of Probability Density Function

f (x) 0.
f (a) 6= P(X = a).

Probability of a Continuous Random Variable at a

Point

Probability that a continuous random variable takes a

particular value is zero.

Example

A random variable X has a probability density function

f (x) = x 2 , 0 x 1
Is it a legitimate probability density function?

Example Continued

If f (x) = cx 2 , 0 x 1. Find a value of c so that f (x) is a

legitimate probability density function.

Mean of Continuous Random Variable, also known

as the first moment

x f (x) dx,

=
a

where
f (x) is the density function.
[a, b] is the domain of the random variable.

Higher Moments of Continuous Random Variable

E (X ) =

x n f (x) dx,

where
f (x) is the density function.
[a, b] is the domain of the random variable.
n is an integer.

Variance of Continuous Random Variable

(x )2 f (x) dx

, where
f (x) is the density function.
[a, b] is the domain of the random variable.

Normal Probability Distribution

Normal distribution is very important because

Outcomes of a large number of real life situations has a
bell shaped frequency distribution that can be modeled by
a normal distribution.
Central Limit Theorem.

Normal Probability Density Function

(x)2
1
f (x) = e 22 , < x <
2

Notation for a Normal Random Variable

N(, 2 )

Mean and Variance of Normal Random Variable

Mean =

Variance = 2 .

Probability Calculation for a Normal Random

Variable

(x)2
1
e 22 dx
a 2
Warning: Dont try to calculate this integral.

P(a x b) =

Standard Normal Random Variable

Normal random variable with mean 0 and standard deviation 1.

Notation: Z

Finding Probability for Standard Normal Random

Variable Using Z-table

Exercise 1

Calculate the area under the standard normal curve to the left
of these values:
a) z = 1.6

Exercise 1

b) z = 1.83

c) z = 0.90

Exercise 1

d) z = 4.18

Finding Probability for any Normal Random

Variable Using Z-Table

Lets say X has a normal distribution with mean and

standard deviation then P(X a) = P(Z a
).

Exercise 2

A normal random variable X has mean = 1.20 and standard

deviation = 0.15. Find the following probabilities.
a) P(X < 1.10)

Exercise 2

b) P(X > 1.38)

Exercise 2

c) P(1.35 < X < 1.50)

Finding Percentile of Standard Normal Random

Variable

Exercise 3

a)Find a z0 such that P(Z > z0 ) = 0.025.

Exercise 3

b)Find a z0 such that P(Z < z0 ) = 0.9251.

Exercise 3

Find a z0 such that P(z0 < Z < z0 ) = 0.8262.

Finding Percentile of any Normal Random Variable

Exercise 4

A normal random variable X has mean 35 and standard

deviation 10. Find a value X that has area 0.01 to its right.
This is the 99th percentile of this normal distribution.