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The Normal Distribution

Mary Lindstrom
(Adapted from notes provided by Professor Bret Larget)

February 10, 2004

Statistics 371 Last modified: February 11, 2004


The Normal Distribution
• The Normal Distribution (AKA Gaussian Distribution) is our
first distribution for continuous variables and is the most
commonly used distribution.

• The normal density curve is the famous symmetric, bell-


shaped curve.
Probability Density

0.4
0.2
0.0

Statistics 371 1
Central Limit Theorem
Why is it such an important distribution? Two related reasons:

1. The central limit theorem states that many statistics we


calculate from large random samples will have approximate
normal distributions (or distributions derived from normal
distributions), even if the distributions of the underlying
variables are not normally distributed.

2. Many measured variables nave approximately normal distri-


butions. This is true because most things we measure are
the sum of many smaller units and the central limit theorem
applies.

Statistics 371 2
Central Limit Theorem
These facts are the basis for most of the methods of statistical
inference we will study in the last half of the course.

• Chapter 4 introduces the normal distribution as a probability


distribution.

• Chapter 5 culminates in the central limit theorem, the


primary theoretical justification for most of the methods of
statistical inference in the remainder of the textbook.

Statistics 371 3
The Normal Density
Normal curves have the following bell-shaped, symmetric density.

y−µ 2
 
1 1
−2 σ
f (y) = √ e
σ 2π

Parameters: The parameters of a normal curve are the mean µ


and the standard deviation σ.

If Y is a normally distributed Random Variable with mean µ and


standard deviation σ, then we write:

Y ∼ N(µ, σ 2)

Statistics 371 4
Standard Shape
All normal curves have the same shape so that every normal
curve can be drawn in exactly the same manner, just by changing
labels on the axis (this is not true for the Binomial or Poisson
distributions).

Normal Distribution Normal Distribution


mu = 100 , sigma = 3 mu = 2 , sigma = 10
Probability Density

Probability Density
90 95 100 105 110 −40 −20 0 20 40

Normal Distribution Normal Distribution


mu = −20 , sigma = 5 mu = 0 , sigma = 1
Probability Density

Probability Density

−40 −30 −20 −10 0 −4 −2 0 2 4

Statistics 371 5
The 68–95–99.7 Rule
For every normal curve,

• 68% of the area is within one SD of the mean,


• 95% of the area is within two SDs of the mean,
• 99.7% of the area is within three SDs of the mean.

Normal Distribution Normal Distribution


Probability Density

mu = 0 , sigma = 1 mu = 0 , sigma = 1

Probability Density
P( −1 < X < 1 ) = 0.6827
P( X < −1 ) = 0.1587
P( X > 1 ) = 0.1587

−4 −2 0 2 4
−4 −2 0 2 4
−3 −2 −1 0 1 2 3

Normal Distribution Normal Distribution


mu = 0 , sigma = 1 mu = 0 , sigma = 1
Probability Density

Probability Density

P( −2 < X < 2 ) = 0.9545 P( −3 < X < 3 ) = 0.9973


P( X < −2 ) = 0.0228 P( X < −3 ) = 0.0013
P( X > 2 ) = 0.0228 P( X > 3 ) = 0.0013

−4 −2 0 2 4 −4 −2 0 2 4

Statistics 371 6
Standardization
If Y is a normally distributed Random Variable Y ∼ N(µ, σ 2)

And we define
Y −µ
Z=
σ

Then Z is a standard normal random variable

Z ∼ N(0, 1)

Every problem that asks for an area under a normal curve is


solved by first finding an equivalent problem for the standard
normal curve.

Statistics 371 7
Standardization
Normal Distribution Normal Distribution
mu = 0 , sigma = 1 mu = −1 , sigma = 2
Probability Density

Probability Density
P( −1 < X < 1 ) = 0.6827 P( −3 < X < 1 ) = 0.6827
P( X < −1 ) = 0.1587 P( X < −3 ) = 0.1587
P( X > 1 ) = 0.1587 P( X > 1 ) = 0.1587

−4 −2 0 2 4 −5 0 5

−3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3

Normal Distribution Normal Distribution


mu = 10 , sigma = 1 mu = 5 , sigma = 4
Probability Density

Probability Density
P( 9 < X < 11 ) = 0.6827 P( 1 < X < 9 ) = 0.6827
P( X < 9 ) = 0.1587 P( X < 1 ) = 0.1587
P( X > 11 ) = 0.1587 P( X > 9 ) = 0.1587

6 8 10 12 14 −10 −5 0 5 10 15 20

−3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3

Statistics 371 8
Example Calculation
Suppose that egg shell thickness is normally distributed with a
mean of 0.381 mm and a standard deviation of 0.031 mm.

Find the proportion of eggs with shell thickness less than 0.34
mm.

1. We define our random variable Y = egg shell thickness.


2. We know that
Y ∼ N(0.381, 0.0312)
3. We wish to know
Pr{Y < 0.34}

Statistics 371 9
Example Calculation
Here is a way to do it in R.

> source("prob.R")
> gnorm(0.381, 0.031, b = 0.34)
Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.34 ) = 0.093


P( X > 0.34 ) = 0.907

0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 10
Example Calculation
If you don’t have R handy, the way to do this is to transform it
into a question about a standard normal distribution.

Pr{Y < 0.34} = Pr{Y − 0.381 < 0.34 − 0.381}


= Pr{[Y − 0.381]/0.031 < [0.34 − 0.381]/0.031}
= Pr{Z < −1.322}

Where Z is a standard normal random variable: Z ∼ N(0, 1).

This is exactly the type probability tabulated in a standard normal


table

Statistics 371 11
Standard Normal table
• The standard normal table lists the area to the left of z under
the standard normal curve for each value from −3.49 to 3.49
by 0.01 increments.

• The normal table is on the inside front cover of your


textbook.

• Numbers in the margins represent z.

• Numbers in the middle of the table are areas to the left of z.

Statistics 371 12
Standard Normal table
Here is a portion of the table on the inside cover of your book:

0 .01 .02 .03


-1.4 0.0808 0.0793 0.0778 0.0764
-1.3 0.0968 0.0951 0.0934 0.0918
-1.2 0.1151 0.1131 0.1112 0.1093
-1.1 0.1357 0.1335 0.1314 0.1292
-1.0 0.1587 0.1562 0.1539 0.1515

We want the area to the left of −1.322

• we round to −1.32
• look up −1.3 in the row labels on the left
• look up .02 in the column labels
• to find P (Z < −1.32) = 0.0934.

Statistics 371 13
Standard Normal table
• R can do this for general values of z

• and R can do the standardization for you.

• Recall that our original question was given Y ∼ N(0.381, 0.0312)


what is Pr{Y < 0.34}.

Normal Distribution Normal Distribution


mu = 0 , sigma = 1 mu = 0.381 , sigma = 0.031
Probability Density

Probability Density

P( X < −1.322 ) = 0.0931 P( X < 0.34 ) = 0.093


P( X > −1.322 ) = 0.9069 P( X > 0.34 ) = 0.907

−4 −2 0 2 4 0.25 0.30 0.35 0.40 0.45 0.50


z = −1.322 x = 0.34

Statistics 371 14
Example Area Calculations: Area to the
left
Find the proportion of eggs with shell thickness less than 0.34
mm.
> pnorm(q = 0.34, mean = 0.381, sd = 0.031)
[1] 0.09298744
> gnorm(0.381, 0.031, b = 0.34, sigma.axis = F)
Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.34 ) = 0.093


P( X > 0.34 ) = 0.907

0.25 0.35 0.45

Pr{Y < 0.34} = Pr{[Y − 0.381]/0.031 < [0.34 − 0.381]/0.031}


= Pr{Z < −1.322} = 0.0934

Statistics 371 15
Example Area Calculations: Area to the
right
Find the proportion of eggs with shell thickness more than 0.4
mm.
> 1 - pnorm(q = 0.4, mean = 0.381, sd = 0.031)
[1] 0.2699702
> gnorm(0.381, 0.031, a = 0.4, sigma.axis = F)
Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.4 ) = 0.73


P( X > 0.4 ) = 0.27

0.25 0.35 0.45

Pr{Y > 0.4} = Pr{[Y − 0.381]/0.031 > [0.4 − 0.381]/0.031}


= Pr{Z > 0.613} = 1 − Pr{Z < 0.613} = 1 − 0.7291 = 0.2709

Statistics 371 16
Example Area Calculations: Area
between two values.
Find the proportion of eggs with shell thickness between 0.34
and 0.4 mm.

> gnorm(0.381, 0.031, a = 0.34, b = 0.4)


Normal Distribution
mu = 0.381 , sigma = 0.031

P( 0.34 < X < 0.4 ) = 0.637


Probability Density

P( X < 0.34 ) = 0.093


P( X > 0.4 ) = 0.27

0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 17
Example Area Calculations: Area
outside two values.
Find the proportion of eggs with shell thickness smaller than 0.32
mm or greater than 0.40 mm.

> gnorm(0.381, 0.031, a = 0.32, b = 0.4)


Normal Distribution
mu = 0.381 , sigma = 0.031

P( 0.32 < X < 0.4 ) = 0.7055


Probability Density

P( X < 0.32 ) = 0.0245


P( X > 0.4 ) = 0.27

0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 18
Example Area Calculations: Central
area.
Find the proportion of eggs with shell thickness within 0.05 mm
of the mean.

> gnorm(0.381, 0.031, a = 0.381 - 0.05, b = 0.381 + 0.05)


Normal Distribution
mu = 0.381 , sigma = 0.031

P( 0.331 < X < 0.431 ) = 0.8932


Probability Density

P( X < 0.331 ) = 0.0534


P( X > 0.431 ) = 0.0534

0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 19
Example Area Calculations: Two-tail
area.
Two-tail area. Find the proportion of eggs with shell thickness
more than 0.07 mm from the mean.

> gnorm(0.381, 0.031, a = 0.381 - 0.07, b = 0.381 + 0.07)


Normal Distribution
mu = 0.381 , sigma = 0.031

P( 0.311 < X < 0.451 ) = 0.9761


Probability Density

P( X < 0.311 ) = 0.012


P( X > 0.451 ) = 0.012

0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 20
Using R
We have seen how to use R and the new function gnorm
to graph normal distributions where the graphs include some
probability calculations. You can also make the same calculations
without graphs using the function pnorm (the “p” stands for
probability). The following lists the commands for all of the
previous computations.

Area to the left. Find the proportion of eggs with shell


thickness less than 0.34 mm.

> pnorm(0.34, 0.381, 0.031)


[1] 0.09298744

Area to the right. Find the proportion of eggs with shell


thickness more than 0.36 mm.

> 1 - pnorm(0.36, 0.381, 0.031)


[1] 0.75093
Statistics 371 21
Using R
Area between two values. Find the proportion of eggs with
shell thickness between 0.34 and 0.36 mm.
> pnorm(0.36, 0.381, 0.031) - pnorm(0.34, 0.381, 0.031)
[1] 0.1560825

Area outside two values. Find the proportion of eggs with


shell thickness smaller than 0.32 mm or greater than 0.40 mm.
> pnorm(0.32, 0.381, 0.031) + 1 - pnorm(0.4, 0.381, 0.031)
[1] 0.2945190

Central area. Find the proportion of eggs with shell thickness


within 0.05 mm of the mean.
> 1 - 2 * pnorm(0.381 - 0.05, 0.381, 0.031)
[1] 0.8932345

Two-tail area. Find the proportion of eggs with shell thickness


more than 0.07 mm from the mean.
> 2 * pnorm(0.381 - 0.07, 0.381, 0.031)
[1] 0.02394164
Statistics 371 21
Quantiles
Quantile calculations ask you to use the normal table backwards.
You know the area but need to find the point or points on the
horizontal axis.

Statistics 371 22
Example Quantile Calculations
Percentile. What is the 90th percentile of the egg shell
thickness distribution?

> source("prob.R")
> gnorm(0.381, 0.031, quantile = 0.9)
Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.4207 ) = 0.9

z = 1.28
0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 23
Example Quantile Calculations
Upper cut-off point. What value cuts off the top 15% of egg
shell thicknesses?

> gnorm(0.381, 0.031, quantile = 0.85)


Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.4131 ) = 0.85

z = 1.04
0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 23
Example Quantile Calculations
Central cut-off points. The middle 75% egg shells have
thicknesses between which two values?

> gnorm(0.381, 0.031, quantile = 0.875)


Normal Distribution
mu = 0.381 , sigma = 0.031
Probability Density

P( X < 0.4167 ) = 0.875

z = 1.15
0.25 0.30 0.35 0.40 0.45 0.50

−3 −2 −1 0 1 2 3

Statistics 371 23
Using R
You can also make the same calculations without graphs using
the function qnorm (the “q” stands for quantile). The following
lists the commands for all of the previous computations.

Percentile. What is the 90th percentile of the egg shell


thickness distribution?
> qnorm(0.9, 0.381, 0.031)
[1] 0.4207281

Upper cut-off point. What value cuts off the top 15% of egg
shell thicknesses?
> qnorm(0.85, 0.381, 0.031)
[1] 0.4131294

Central cut-off points. The middle 75% egg shells have


thicknesses between which two values?
> qnorm(c(0.25/2, 1 - 0.25/2), 0.381, 0.031)
[1] 0.3453392 0.4166608
Statistics 371 24
Approximation of Discrete distributions
using the Normal distribution
• The normal distribution can also be used to compute
approximate probabilities of discrete distributions.

• Approximations to the binomial


q distribution use a normal
curve with µ = np and σ = np(1 − p).

• Approximations to the Poisson distribution use a normal



curve with µ = µ and σ = µ.

• When approximating a binomial probability, the approxima-


tion is usually pretty good when np > 24 and n(1 − p) > 24.

• We will not be using the continuity correction described in


your book.

Statistics 371 25
Binomial Distributions: increasing n
Binomial Distribution Binomial Distribution Binomial Distribution
n = 2 , p = 0.2 n = 5 , p = 0.2 n = 10 , p = 0.2

0.30
0.4
0.0 0.1 0.2 0.3 0.4 0.5 0.6

0.3

0.20
Probability

Probability

Probability
0.2

0.10
0.1

0.00
0.0
0.0 0.5 1.0 1.5 2.0 0 1 2 3 4 5 0 2 4 6 8 10

Possible Values Possible Values Possible Values

Binomial Distribution Binomial Distribution Binomial Distribution


n = 15 , p = 0.2 n = 30 , p = 0.2 n = 50 , p = 0.2
0.25

0.12
0.15
0.20
0.15
Probability

Probability

Probability

0.08
0.10
0.10

0.04
0.05
0.05
0.00

0.00

0.00
0 2 4 6 8 0 5 10 15 0 5 10 15 20

Possible Values Possible Values Possible Values

Statistics 371 26
Poisson Distributions: increasing n
Poisson Distribution Poisson Distribution Poisson Distribution
mu = 1 mu = 2 mu = 5

0.15
0.3

0.20
Probability

Probability

Probability

0.10
0.2

0.10

0.05
0.1

0.00

0.00
0.0

0 1 2 3 4 5 0 2 4 6 8 0 2 4 6 8 10 12 14

Count Count Count

Poisson Distribution Poisson Distribution Poisson Distribution


mu = 10 mu = 15 mu = 25

0.08
0.00 0.02 0.04 0.06 0.08 0.10
0.12

0.06
0.08
Probability

Probability

Probability

0.04
0.04

0.02
0.00

0.00
0 5 10 15 20 0 5 10 15 20 25 30 0 10 20 30 40

Count Count Count

Statistics 371 27
Example: binomial
Assume Y has a binomial distribution with n = 150 and p = 0.4
and we want to compute Pr{Y ≤ 55}.

Exact:

> pbinom(55, 150, 0.4)


[1] 0.2274186

Normal approximation:

> mu = 150 * 0.4


> mu
[1] 60
> 150 * (1 - 0.4)
[1] 90
> sigma = sqrt(150 * 0.4 * 0.6)
> sigma
[1] 6
> pnorm(55, mu, sigma)
[1] 0.2023284

Statistics 371 28
Example: Poisson
If Y has a Poisson distribution with µ = 25 what is the probability
that Y is greater than or equal to 16?

Exact:

> 1 - ppois(15, 25)


[1] 0.977707

Normal approximation:

> mu = 25
> sigma = sqrt(25)
> sigma
[1] 5
> 1 - pnorm(15, mu, sigma)
[1] 0.9772499

With R, do the exact calculation. With a calculator or normal


table, use the normal approximation.
Statistics 371 29