Topic 2: Normal distribution

* Random variables

Definitions, Notation
Probability Distributions
Application of Probability Rules
Mean and s.d. of Random Variables; Rules

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Definitions, Notation

example (Class students’ height, weight, …) 2

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Example:

Consider the experiment of throwing a dice once, so that

S={1,2,3,4,5,6}
Suppose we gamble on the outcome of the experiment so
that the profit is:
-1 if the outcome is 1,2,3
0 if the outcome is 4
2 if the outcome is 5,6
This is an example of discrete random variable X(ω)
where X(1)=X(2)=X(3)=-1,
X(4)=0,
X(5)=X(6)=2

countable (i.e. there is a unique mapping to some subset of

the integers)

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Cumulative distribution function (c.d.f.)

The c.d.f. of a random variable X, FX(x) is defined by
FX(x) = PX(X≤ x).
Example
Suppose that we know the relation between points in the sample space
and the random variable is as follows

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Average, mean value

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spread of the probability distribution

Proof?
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 E(X) = np, var(X) = npq
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The Poisson distribution is a widely applied discrete distribution and can serve
as a model for a number of different types of experiments. Examples include
phenomena where we wait for the occurence of an event, eg. waiting times for
a bus, or the time it takes for a component to fail. The Poisson distribution is
uniquely specified by its rate or mean λ. A random variable X with = {0, 1, 2, 3,
. . .} has a Poisson distribution Poisson(λ) if

PMF x = 0, 1, 2, 3, . . .

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c.d.f and p.d.f

integration

diravitive

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 c.d.f

p.d.f

This is used to describe the time elapsing between unpredictable

events, such as earthquakes, telephone calls, arrivals of buses, etc.

The mean of the exponential is given by

(use )
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 Normal (Gaussian) distribution
Everyday examples of Normal Distribution

There are numerous things that display the same characteristic including
body temperature, shoe size, IQ score, students’ marks and diameter of
trees to name but a few.
e.g. when a histogram was plotted of the chest sizes of Scottish soldiers,
the graph had the appearance:

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Drawing the Curve (bell shape)

e is the number 2.71828

π Is the number 3.14159

(Gaussian integral)

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 General expression

Properties of Normal Distribution Curves

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Calculations Using Normal Distribution

To transform the data for a particular example into values appropriate to

the standard Normal curve requires the use of a formula. This produces
what are sometimes called
z-scores.

same way as temperatures can be

converted from Celsius to Fahrenheit
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Calculations Using Normal Distribution Probability

Probability of finding a
result greater than
0.57?

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Upper and Lower Bounds

Sometimes it is useful to START with a probability and then work out
related z or x values. To do this, the statistical tables can be used in
reverse to give upper and lower bounds of x or z

Now, the area between the two bounded values is known, but it is the
corresponding x values that are not

Example: Take the example of the IQ scores just given and use a 95%
interval.

Since the area to the right of x2 is 0.025, statistical tables

can be used in reverse to find the appropriate z value of
the standardised normal distribution:
z=1.96(~2)
x2 is therefore 100 + 2X15 = 130
Similarly x1 =100 - 2 X15 = 70

Thus it is expected that 95% of the population will have IQ

values between 70 and 130

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In general, for a Normally distributed data set, an empirical rule states
that 68% of the data elements are within one standard deviation of the
mean, 95% are within two standard deviations, and 99.7% are within
three standard deviations. This rule is often stated simply as 68-95-99.7

This type of reasoning can be extended to other distributions that do not

have the familiar Normal shape (Russian mathematician Chebyshev):

proportion of any set of data within K standard deviations of the mean is

always at least 1-1/K2, where K may be any number greater than 1.
K=2: at least 75%
K=3: at least 89%
…
Example: A machine is designed to fill packets with sugar and the mean
value over a long period of time has been found to be 1kg. The standard
deviation has also been measured and this is given as 0.02kg. What are
the upper and lower limits that it would be expected 95% of the bags would
lie between? Assume the distribution to be Normal.
z~2
Upper limit: (X2-1)/0.02=2, x2=1.04 kg
Lower limit: (X1-1)/0.02=-2, x1=0.96 kg 31

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