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Understanding Normal Random Variables

The document discusses properties and theorems related to normal random variables, including the distribution of sums of independent normal variables and the Central Limit Theorem. It presents exercises involving the calculation of probabilities for specific scenarios involving normal distributions. Additionally, it introduces critical values and quantiles for standard normal variables.

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gsatkrr
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6 views8 pages

Understanding Normal Random Variables

The document discusses properties and theorems related to normal random variables, including the distribution of sums of independent normal variables and the Central Limit Theorem. It presents exercises involving the calculation of probabilities for specific scenarios involving normal distributions. Additionally, it introduces critical values and quantiles for standard normal variables.

Uploaded by

gsatkrr
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

Normal Random Variable

Sums of 1 normal Sums of 2 normal

0.4

0.20
0.3
Density

Density
0.2

0.10
0.1

0.00
0.0

−3 −1 0 1 2 3 −4 −2 0 2 4

u1 u2

Sums of 5 normal Sums of 25 normal

0.08
0.00 0.05 0.10 0.15
Density

Density

0.04
0.00

−5 0 5 −15 −5 0 5 10 20

u5 u25
Normal Random Variable

Theorem (Normal Transforms)


Let X and Y be two independent random variables. For any
constant a and b, let aX + bY be a weighted sum of X and Y . If

X ∼ N (µ1 , σ12 )
Y ∼ N (µ2 , σ22 ),

Then, aX + bY ∼ N aµ1 + bµ2 , a2 σ12 + b 2 σ22 .




Remark
Thanks to this result, the following hold:
(
X + Y ∼ N µ1 + µ2 , σ12 + σ22


X − Y ∼ N µ1 − µ2 , σ12 + σ22 .

Normal Random Variable

Exercise
Let X and Y be the weights in grams of two porcelain cups
manufactured in Markham and Mississauga, respectively. Assume
that X ∼ N (30, 16) and Y ∼ N (14, 9). What is the probability
that the total weight of these two cups is at least 50?
Normal Random Variable

Theorem
Let X1 , X2 , ..., Xn ∼ N (µ, σ 2 ). If the population variance σ 2 is
known, then the sample mean X̄ has the following distribution:
n
σ2
 
1X
X̄ = Xi ∼ N µ,
n n
i=1
X̄ − µ
⇔Z = √ ∼ N (0, 1).
σ/ n
Normal Random Variable
The Normal Variable

Theorem (Central Limit Theorem (C.L.T))


Let X1 , X2 , . . . , Xn be a sequence of n independent and
identically distributed (i.i.d) random variables such that
(
E (X1 ) = E (X2 ) = · · · = E (Xn ) = µ
V (X1 ) = V (X2 ) = · · · = V (Xn ) = σ 2 .

are finite. If n is large (n ⩾ 30), then


n
σ2
 
1X X̄n − µ
X̄n = Xi ≈ N µ, ⇔Z = √ ≈ N (0, 1)
n n σ/ n
i=1
n
X S̃n − nµ
Xi ≈ N nµ, nσ 2 ⇔ Z =

S̃n = √ ≈ N (0, 1).
σ n
i=1
Normal Variable

Exercise
A cosmetic company would like to study the distribution of the
body mass index (BMI) for women whose age is between 25 and
35 years. Suppose that women in this age group have an average
BMI of 26.8 with a standard deviation of 7.42. A random sample
of 50 women in this age group is drawn from a population.
1. What is the probability that the average BMI for these 50
women is greater than 29?
2. What is the probability that the total BMI for these 50 women
is between 1200 and 1350?
Normal Variable

Lemma
Commonly called critical values, quantiles of order α and α/2
of Z ∼ N (0, 1) are the real numbers zα and zα/2 that satisfy
respectively the following equations:

P(Z > zα ) = α and P(Z ⩽ zα ) = 1 − α


P(Z > zα/2 ) = α/2 and P(Z ⩽ zα/2 ) = 1 − α/2.

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