Continuous RV

Probability Distributions
Normal Probability Distribution

The Normal Distribution

Is the most important probability distribution

Represents most phenomena that occur in

engineering industry and research
Is bell-shaped

f(x)

Any random variable that has a bell-shape

distribution is called a normal random variable
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Normal Distribution

Normal Random Variables

If a population of measurements follows a
normal curve, and if X is the measurement for a
randomly
selected
individual
from
that
population, then
X is said to be a normal random variable
X is also said to have a normal distribution
Any normal random variable can be completely
characterized by its mean, m, and standard
deviation, s.
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Normal Distribution

Examples of Processes that are likely to follow a

Normal Distribution
Weights of students in a class

GPAs of students in a school

Normal Distributions
There can be many different normal
distributions, with each one depending on 2
parameters:
the population mean and
population SD.
The standard normal distribution is a normal
probability distribution that has a mean = 0
and a SD = 1.0, and the total area under its
density curve = 1.0
5

Properties of a Normal Distribution

(i.e., what features of a given continuous distribution
qualify it to be a Normal Distribution?)
The median, mode, and the point on the horizontal axis
where the curve is a maximum, occurs at x = (mean)
The curve is symmetric about a vertical axis through
the mean,
The normal curve approaches the horizontal axis
asymptotically as it proceeds in either direction away
from the mean

Properties of a Normal Distribution

(i.e., what features of a given continuous distribution
qualify it to be a Normal Distribution?)
The curve is bell-shaped and symmetrical.
The highest frequency is in the middle of the curve.
The frequency gradually tapers off as the scores
approach the ends of the curve.

Properties of a Normal Distribution

(i.e., what features of a given continuous distribution
qualify it to be a Normal Distribution?)
The total area under the curve as any other probability
distribution is 1.
Probabilities for the normal random variable are given
by areas under the curve.
The statement that X is normally distributed with
parameters mean and variance 2 is often
abbreviated X ~ N(, 2).

The Empirical Rule

Normal Distribution

Normal Distribution
99.7% of data are within 3 standard deviations of the mean

95% within
2 standard deviations
68% within
1 standard deviation

34%

34%

2.4%

2.4%

0.1%

0.1%
13.5%

- 3

- 2

13.5%

x +

x + 2

x + 3
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Normal Distribution

Probability Density Function for the Normal

Distribution
If X is a normal random variable with parameters and
, then the probability density function of x is given by
the following equation:
xm

f ( x)

1
e
2s

0.5*(

)2

where all symbols have their usual meanings and values.

= 3.14159 and e= 2.71828
f(x)
f(x)

x
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Normal Distribution

How do the parameters (i.e., and ) affect the

shape of the Normal Distribution?

CE 835 - Probability and Statistics

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Normal Distribution

The Properties Explained

(1) The mode, the point on the horizontal axis where the
curve is a maximum, occurs at x =

12

Normal Distribution

(2) The curve is symmetric about a vertical axis through

the mean,

13

Normal Distribution

(3) The normal curve approaches the horizontal axis

asymptotically as it proceeds in either direction away
from the mean.

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Normal Distribution

Probability Computation using the Normal Probability Density

Function

Like
probability
distribution of a CRV
, we can use the Normal
Distribution equation to
find the probability that the normal random
variable takes on a certain range of values
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Normal Distribution

Calculation of the probability that RV is less or equal to some value

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Normal Distribution

Calculation of the probability that RV is more than or equal to some

value

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Normal Distribution

Calculation of the probability that RV is between some range of

values

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Example
The time (in hours) that NUST students spend studying
each week follows a Normal distribution with mean 20
hours and variance 16 hours. Find the probability that a
randomly selected student spends less than 25 hours for
study each week.

f ( x)

1
e
2s

25

25

p( X 25)

f ( x)dx

0.5*(

1
2 * 4

xm

)2

0.5*(

x 20 2
)
4

dx

but thats a difficult integral to calculate ?!?!

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Standard Normal Distribution

Its always difficult to integrate the Normal distribution

function because of the complexity of its functional form.

An easy and alternative option is to transform the

distribution function into Standard Normal Distribution
that will yield a single value each for and .

Normal
Distribution

Standard Normal
Distribution
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The Standard Normal Distribution

Has the same properties as those of Normal
Distribution:
- Is symmetrical about the line x =
- Mode = mean of the distribution
- Approaches the horizontal axis asymptotically
at both ends

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The Standard Normal Distribution

So why do we need to have a Standard Normal
Distribution?
(In other words, why do we have to standardize the
normal distribution?)
Because the ND density function is too complex to
integrate, and therefore its hard to use the equation
to compute probabilities for that distribution
Because we would need a pile of Standard Tables as
wed have to get a separate table for every
conceivable combination of and values, therefore
it would be impractical to use any Standard Tables to
compute probabilities for the ND distribution.
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Standard Normal Probability Distribution

23

Standard Normal Distribution

a normal probability distribution that has a
mean of 0 and a standard deviation of 1

-3

-2

-1

Score (z )

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STANDARD NORMAL CURVE AREAS

Cdf of Z is (Z) = P(Z z)
(Z)

(Z) = the area under the graph

of the standard normal pdf to the
left of z

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Notation
P(a < z < b)
denotes the probability that the z score is between a
and b

P(z > a)
denotes the probability that the z score is greater
than a

P (z < a)
denotes the probability that the z score is less
than a
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Standard Normal Probability Distribution - EXAMPLE

CE 835 - Probability and Statistics

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Standard Normal Curve Areas/Tables

0.8944

CE 835 - Probability and Statistics

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Standard Normal Probability Distribution - EXAMPLE

0.1056

0.8944

CE 835 - Probability and Statistics

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Standard Normal Probability Distribution - EXAMPLE

0.1056
Symmetry

-1.25

30

Standard Normal Curve Areas/Tables

0.1056

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Standard Normal Probability Distribution - EXAMPLE

32

Standard Normal Curve Areas/Tables

0.8944

CE 835 - Probability and Statistics

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Standard Normal Curve Areas/Tables

0.3520

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Standard Normal Probability Distribution - EXAMPLE

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Percentiles of the Standard Normal Distribution

For any p between 0 and 1, Appendix Table A.3
can be used to obtain the (100p)th percentile of
the standard normal distribution.
The 99th percentile of the standard normal
distribution is that value on the horizontal axis
such that the area under the curve to the left of
the value is .9900.

36

Percentiles of the Standard Normal Distribution

Now Appendix Table A.3 gives for fixed z the area
under the standard normal curve to the left of z,
whereas here we have the area and want the value of
z.
This is the inverse problem to P(Z z) ? so the table
is used in an inverse fashion:
Find in the middle of the table 0.9900; the row and
column in which it lies, identify the 99th z percentile.
Here 0.9901 lies in the row marked 2.3 and column
marked .03, so the 99th percentile is (approximately)
z = 2.33.

37

Standard Normal Curve Areas/Tables

2.33
0.9901

38

Percentiles of the Standard Normal Distribution

By symmetry, the first percentile is the negative of the
99th percentile, so equals - 2.33 (1% lies below the first
and above the 99th).

0.0099 ~ 0.01

39

Standard Normal Curve Areas/Tables

-2.33
0.0099 ~ 0.01

40

Z Notation
Z will denote the value on the measurement axis for
which area under the z curve lies to the right of Z
Z0.10 captures upper-tail area .10 and Z0.01 captures
upper-tail area .01

41

Z Notation
Since area under the standard normal curve lies to
the right of Z, 1- of the area lies to the left of Z.
Thus Z is the 100(1-)th percentile of the standard
normal distribution.
By symmetry the area under the standard normal curve
to the left of Z is also .
The Z s are usually referred to as z critical values.

42

Z - Example

43

Finding z Scores when Given Probabilities

95%

5%

5% or 0.05
0.45

0.50

( z score will be positive )

Finding the 95th Percentile
44

Finding z Scores when Given Probabilities

95%

5%

5% or 0.05
0.45

0.50
0

1.645
(z score will be positive)

Finding the 95th Percentile

45

Finding z Scores when Given Probabilities

90%

10%

Bottom 10%

0.10

0.40

(z score will be negative)

Finding the 10th Percentile
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Finding z Scores when Given Probabilities

90%

10%

Bottom 10%

0.10

0.40

-1.28

(z score will be negative)

Finding the 10th Percentile
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