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Normal Distribution

The document discusses the normal distribution and standard normal distribution, including their probability density functions and moment generating functions. It also covers how to alter a standard normal distribution to a normal distribution with a new mean and standard deviation, and how the sum of independent normal distributions is also normal.

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40 views3 pages

Normal Distribution

The document discusses the normal distribution and standard normal distribution, including their probability density functions and moment generating functions. It also covers how to alter a standard normal distribution to a normal distribution with a new mean and standard deviation, and how the sum of independent normal distributions is also normal.

Uploaded by

MalathiVelu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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18.

05 Lecture 21
April 1, 2005

Normal Distribution

Standard Normal Distribution, N(0, 1)


p.d.f.:
1 2
f (x) = ∩ e−x /2
2ψ
m.g.f.:
2
δ(t) = E(etX ) = et /2

Proof - Simplify integral by completing the square:


� �
1 2 1 2
δ(t) = etx ∩ e−x /2 dx = ∩ etx−x /2 dx =
2ψ 2ψ
� �
1 2 2 2 1 2 1 2
∩ et /2−t /2+tx−x /2 dx = ∩ et /2 e− 2 (t−x) dx
2ψ 2ψ
Then, perform the change of variables y = x - t:
� ∗ � ∗ �
1 2 1 2 2 1 1 2 2 2
= ∩ et /2 e− 2 y dy = et /2 ∩ e− 2 y dy = et /2 f (x)dx = et /2
2ψ −∗ 2ψ −∗

Use the m.g.f. to find expectation of X and X 2 and therefore Var(X):


2 2 2
E(X) = δ∅ (0) = tet /2
|t=0 = 0; E(X 2 ) = δ∅∅ (0) = et /2 2
t + et /2
|t=0 = 1; Var(X) = 1
Consider X ≈ N (0, 1), Y = θX + µ, find the distribution of Y:
� y−µ
y−µ � 1 2
P(Y ← y) = P(θX + µ ← y) = P(X ← )= ∩ e−x /2 dx
θ −∗ 2ψ
p.d.f. of Y:

�P(Y ← y) 1 (y−µ)2 1 1 (y−µ)2


f (y) = = ∩ e− 2�2 = ∩ e− 2�2 ↔ N (µ, θ)
�y 2ψ θ θ 2ψ
EY = E(θX + µ) = θ(0) + µ(1) = µ

− µ)2 = E(θX + µ − µ)2 = θ 2 E(X 2 ) = θ 2 - variance of N (µ, θ)

E(Y

θ = Var(X) - standard deviation

63
To describe an altered standard normal distribution N(0, 1) to a normal distribution N (µ, θ),
The peak is located at the new mean µ, and the point of inflection occurs θ away from µ

Moment Generating Function of N (µ, θ );


Y = θX + µ
2 2
(π)2 /2
δ(t) = EetY = Eet(πX+µ) = Ee(tπ)X etµ = etµ Ee(tπ)X = etµ e(tπ) /2
= etµ+t
Note: X1 ≈ N (µ1 , θ1 ), ..., Xn ≈ N (µn , θn ) - independent.

Y = X1 + ... + Xn , distribution of Y:

Use moment generating function:

2 2 2 2
EetY = Eet(X1 +...+Xn ) = EetX1 ...etXn = EetX1 ...EetXn = eµ1 t+π1 t /2
× ... × eµn t+πn t /2

� ��
πi2 t2 /2
P P
µi t+
=e ≈ N( µi , θi2 )
The sum of different normal distributions is still normal!

This is not always true for other distributions (such as exponential)

Example:

X ≈ N (µ, θ), Y = cX, find that the distribution is still normal:

Y = c(θN (0, 1) + µ) = (cθ)N (0, 1) + (µc)

Y ≈ cN (µ, θ) = N (cµ, cθ)

Example:

Y ≈ N (µ, θ)

P(a ← Y ← b) = P(a ← θx + µ ← b) = P( a−µ b−µ


π ← X ← π )

This indicates the new limits for the standard normal.

Example:

Suppose that the heights of women: X ≈ N (65, 1) and men: Y ≈ N (68, 2)

P(randomly chosen woman taller than randomly chosen man)

P(X > Y ) = P(X − Y > 0)


∩

Z = X − Y ≈ N (65 − 68, 12 + 22 ) = N (−3,


(5))
P(Z > 0) = P( Z−(−3)
≥
5
> −(−3)
≥
5
) = P(standard normal > ≥35 = 1.342) = 0.09
Probability values tabulated in the back of the textbook.

Central Limit Theorem


Flip 100 coins, expect 50 tails, somewhere 45-50 is considered typical.

64
Flip 10,000 coins, expect 5,000 tails, and the deviation can be larger,
perhaps 4,950-5,050 is typical.

Xi = {1(tail); 0(head)}
number of tails X1 + ... + Xn 1 1 1 1
= ↔ E(X1 ) = by LLN Var(X1 ) = (1 − ) =
n n 2 2 2 4
But, how do you describe the deviations?
X1 , X2 , ..., Xn are independent with some distribution P
n
1�
µ = EX1 , θ 2 = Var(X1 ); x = Xi ↔ EX1 = µ
n i=1
∩ ≥
x − µ on the order of n ↔
n(x−µ) π behaves like standard normal.
∩
n(x − µ)

is approximately standard normal N (0, 1) for large n


θ
∩
n(x − µ)
P( ← x) −n−↔−−↔
→ P(standard normal ← x) = N (0, 1)(−→, x)
θ
This is useful in terms of statistics to describe outcomes as likely or unlikely in an experiment.

P(number of tails ← 4900) = P(X1 + ... + X10,000 ← 4, 900) = P(x ← 0.49) =

∩ ∩
10, 000(x − 21 ) 10, 000(0.49 − 0.5) 100(0.01)
= P( 1 ← 1 ) � N (0, 1)(−→, − 1 = −2) = 0.0267
2 2 2

Tabulated values always give for positive X, area to the left.

In the table, look up -2 by finding the value for 2 and taking the complement.

** End of Lecture 21

65

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