Arab Academy for Science, Technology & Maritime

Transport

Statistics & Probability

(BA329 – BA203)
Lecture 9 & 10
The Normal and Exponential Distributions
The Normal Approximation to the Binomial Distributions

Dr. Mohamed Fathy

Fall 2018 - 2019

Chapter 3 Random Variables

Chapter 3
Normal Distribution

The most important continuous probability distribution in the entire field of statistics is the normal
distribution. Its graph, called the normal curve, is the bell-shaped curve of the following figure, which
approximately describes many phenomena that occur in nature, industry, and research.

A continuous random variable 𝑋 having the bell-shaped distribution of the following figure is called a
normal random variable. The mathematical equation for the probability distribution of the normal variable
depends on the two parameters 𝜇 and 𝜎, its mean and standard deviation, respectively. Hence, we denote
the values of the density of 𝑋 by 𝑁(𝑥, 𝜇, 𝜎).

The density function of the normal random variable 𝑋 that gives the graph of the normal distribution,
with mean 𝜇 and variance 𝜎 2 , is

2
1 −1(𝑥−𝜇)
𝑓(𝑥) = 𝑒 2 𝜎 , −∞<𝑥 <∞
√2𝜋 𝜎

Basic Properties of the Normal Distribution

(i) 𝑓(𝑥) ≥ 0
(ii) The total area under the normal curve above 𝑥-axis is 1, where
∞
∫ 𝑓(𝑥)𝑑𝑥 = 1
−∞

(iii) The normal distribution is symmetrical about its mean

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Chapter 3 Random Variables

Since each normally distributed random variable has its own 𝜇 and 𝜎, therefore the shape and the location
of these curves will vary, i.e., there are infinitely many different normal distributions, and you would have
to have a table for areas “probabilities” under the curve of each variable. The following curves show how
the curve changes if one varies the parameters 𝜇 and 𝜎.

The Standard Normal Distribution “Z-Distribution”

We saw how the normal curve is dependent on the mean and the standard deviation of the distribution
under investigation. The area under the curve between any two ordinates must then also depend on the
values 𝜇 and 𝜎. There are many types of statistical software that can be used in calculating areas under the
normal curve.

The difficulty encountered in solving integrals of normal density functions necessitates the tabulation of
normal curve areas for quick reference. However, it would be a hopeless task to attempt to set up separate
tables for every conceivable value of 𝜇 and 𝜎. Fortunately, we are able to transform all the observations
of any normal random variable 𝑋 into a new set of observations of a normal random variable 𝑍 with
mean 𝜇 = 0 and variance 𝜎 = 1. This can be done by means of the transformation

𝑋−𝜇
𝑍=
𝜎
In this case, the normal distribution is called the standard normal distribution and is written in the form

1 −1𝑧2
𝑓(𝑧) = 𝑒 2 , −∞<𝑧 <∞
√2𝜋

where 𝑧 is seen to be a normal random variable with mean 0 and variance 1.

Basic Properties of the Normal Distribution

(i) 𝑓(𝑥) ≥ 0
(ii) The total area under the normal curve above 𝑥-axis is 1, where
∞
∫ 𝑓(𝑥)𝑑𝑥 = 1
−∞

(iii)The normal distribution is symmetrical about its mean

How to Use the Standard Normal Distribution Table

The most common form of standard normal distribution table that you see is a table similar to the one
below
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Chapter 3 Random Variables

The standard normal distribution table provides the probability that a normally distributed random variable
𝑍, with mean equal to 0 and variance equal to 1, is less than or equal to 𝑧. It does this for positive values
of 𝑧 only (i.e., 𝑧-values on the right-hand side of the mean). What this means in practice is that if someone
asks you to find the probability of a value being less than a specific, positive 𝑧-value, you can simply look
that value up in the table. We call this area 𝜙. Thus, for this table,

−1𝑧2
𝑎
1
𝑃(𝑍 < 𝑎) = ∫ 𝑒 2 𝑑𝑧 = 𝜙(𝑎)
−∞ √2𝜋
where 𝑎 is positive.
Diagrammatically, the probability of 𝑍 less than 𝑎 being 𝜙(𝑎), as determined from the standard normal
distribution table, is shown below:

How to do Normal Distributions Calculations

This guide will show you how to calculate the probability (area under the curve) of a standard normal
distribution. It will first show you how to interpret a Standard Normal Distribution Table.
It will then show you how to calculate:

(i) The probability less than a 𝒛-value “𝑷(𝒁 < −𝒂)”

As explained above, the standard normal distribution table only provides the probability for values less
than a positive 𝑧-value (i.e., 𝑧-values on the right-hand side of the mean). So how do we calculate the
probability below a negative z-value (as illustrated below)?

We start by remembering that the standard normal distribution has a total area (probability) equal to 1 and
it is also symmetrical about the mean. Thus, we can do the following to calculate negative 𝑧-values: we

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Chapter 3 Random Variables
need to appreciate that the area under the curve covered by 𝑃(𝑍 > 𝑎) is the same as the probability less
than −𝑎. 𝑃(𝑍 < −𝑎) as illustrated below:

Making this connection is very important because from the standard normal distribution table, we can
calculate the probability less than 𝑎, as 𝑎 is now a positive value. Imposing 𝑃(𝑍 < 𝑎) on the above graph
is illustrated below:
From the above illustration, and from our knowledge that the area under the standard normal distribution
is equal to 1, we can conclude that the two areas add up to 1. We can, therefore, make the following
statements:
∵ 𝜙(𝑎) + 𝜙(−𝑎) = 1 ⇒ ∴ 𝜙(−𝑎) = 1 − 𝜙(𝑎)

Thus, we know that to find a value less than a negative z-value we use the following equation:

𝜙(𝑎) + 𝜙(−𝑎) = 1 ⇒ e. g. ∴ 𝜙(−1.43) = 1 − 𝜙(1.43)

(ii) The probability greater than a z-value

(1) The probability of 𝑃(𝑍 > 𝑎) = 1 − 𝜙(𝑎). To understand the reasoning behind this look at the illustration
below:

You know 𝜙(𝑎) and you know that the total area under the standard normal curve is 1 so by
mathematical deduction: 𝑃(𝑍 > 𝑎) = 1 − 𝜙(𝑎)

(2) The probability of 𝑃(𝑍 > −𝑎) = 𝑃(𝑍 < 𝑎) which is 𝜙(𝑎). To understand this we need to appreciate the
symmetry of the standard normal distribution curve. We are trying to find out the area below:

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Chapter 3 Random Variables
But by reflecting the area around the center line (mean), this is the same size area as the area we are looking
for, only we already know this area, as we can get it straight from the standard normal distribution table: it
is 𝑃(𝑍 < 𝑎). Therefore, the 𝑃(𝑍 > −𝑎) is 𝑃(𝑍 < 𝑎), which is 𝜙(𝑎).

(iii) The probability between z-values “a < z < b”

we are wanting to solve the following:

The key requirement to solve the probability between 𝑧-values is to understand that the probability between
𝑧-values is the difference between the probability of the greatest 𝑧-value and the lowest 𝑧-value:
𝑃(𝑎 < 𝑍 < 𝑏) = 𝑃(𝑍 < 𝑏) − 𝑃(𝑍 < 𝑎) = 𝜙(𝑏) − 𝜙(𝑎).

How to Solve the Non-Standard Problem

If X be a normal random variable, the problem will call the non-standard problem. To solve this problem,

𝑋 −𝜇
1. Convert any non-standard to standard normal distribution using the transformation 𝑍 = .
𝜎
2. Sketch a normal curve, label the mean and the specific 𝑥 values, then shade the region representing
the desired probability.

3. For each relevant value 𝑥 that is a boundary for the shaded region, convert it to the equivalent 𝑧 value.
4. Use the standard normal distribution table to find the area of the shaded region. This area is the desired
probability.

Example 1 Given a standard normal distribution, find the area under the curve that lies
(a) to the right of z = 1.84 and
(b) between z = −1.97 and z = 0.86.

Solution.
(a) The area in above figure to the right of z = 1.84 is equal to 1 minus the area in z-table to the left of 𝑧 =
1.84, namely, 1 − 𝜙(1.84) = 0.9671 = 0.0329

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Chapter 3 Random Variables
(b) The area in above figure between 𝑧 = −1.97 and 𝑧 = 0.86 is equal to the area to the left of 𝑧 = 0.86 minus
the area to the left of 𝑧 = −1.97. From 𝑧-table, we find the desired area to be
𝜙(0.86) − 𝜙(−1.97) = 𝜙(0.86) − 1 + 𝜙(1.97) = 0.8051 − 0.0244 = 0.7807

Example 2 Given a standard normal distribution, find the value of k such that
1. 𝑷(𝒁 > 𝒌) = 𝟎. 𝟑𝟎𝟏𝟓.
2. 𝑷(𝒌 < 𝒁 < −𝟎. 𝟏𝟖) = 𝟎. 𝟒𝟏𝟗𝟕.
Solution.

1. In above left figure, we see that the 𝑘 value leaving an area of 0.3015 to the right must then leave an
area of 0.6985 to the left. From 𝑧-table, it follows that 𝑘 = 0.52.

2. From z-table we note that the total area to the left of −0.18 is equal to 0.4286. In above right figure, we
see that the area between 𝑘 and −0.18 is 0.4197, so the area to the left of 𝑘 must be 0.4286 − 0.4197 =
0.0089. Hence, from 𝑧-table, we have 𝑘 = −2.37.

Example 3 Given a random variable 𝑋 having a normal distribution with 𝝁 = 𝟓0 and 𝜎 = 10, find
the probability that 𝑋 assumes a value between 𝟒𝟓 and 𝟔𝟐

Solution.
The 𝑧 values corresponding to 𝑥1 = 45 and 𝑥2 = 62 are
𝑥1 −𝜇 45−50 𝑥2 −𝜇 52−50
𝑧1 = = = −0.5, 𝑧2 = = = 1.2
𝜎 10 𝜎 10

Therefore,
𝑃(45 < 𝑋 < 62) = 𝑃(−0.5 < 𝑍 < 1.2)
𝑃(−0.5 < 𝑍 < 1.2) is shown by the area to the left of the ordinate 𝑧 = −0.5 from the entire area to the
left of 𝑧 = 1.2. Using 𝑧-table, we have

𝑃(45 < 𝑋 < 62) = 𝑃(−0.5 < 𝑍 < 1.2) = 𝑃(𝑍 < 1.2) − 𝑃(𝑍 < −0.5)
= 𝜙(1.2) − 𝜙(−0.5) = 𝜙(1.2) − 1 + 𝜙(0.5)
= 0.8849 − 0.3085 = 0.5764

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Chapter 3 Random Variables

Example 4 Given that 𝑋 has a normal distribution with 𝜇 = 300 and 𝜎 = 50 find the probability
that 𝑋 assumes a value greater than 𝟑𝟔𝟐.

Solution.
To find 𝑃(𝑋 > 362), we need to evaluate the area under the normal curve to the right of 𝑥 = 362. This
can be done by transforming 𝑥 = 362 to the corresponding 𝑧 value, obtaining the area to the left of 𝑧 from
Z-table, and then subtracting this area from 1. We find that
𝑥 − 𝜇 362 − 300
𝑧 = = = 1.24
𝜎 50
Hence,
𝑃(𝑋 > 362) = 𝑃(𝑍 > 1.24) = 1 − 𝑃(𝑍 < 1.24) = 1 − 𝜙(1.24)
= 1 − 0.8925 = 0.1075.

Example 5 Each month, an American household generates an average of 143 pounds of newspaper
for garbage or recycling. Assume that standard deviation is 29 pounds. If a household is
selected at random. Find the probability
e if it generates
(i) Between 140 and 211 pounds per month.
(ii) More than 174.9 pounds per month.
Assume the variable is normally distributed.

Solution.
(a) Find the two 𝑍 values corresponding to the given two 𝑋 values:

𝑥1 − 𝜇 140 − 143 𝑥2 − 𝜇 211 − 143

𝑧1 = = = −0.1, 𝑧2 = = = 2.34
𝜎 29 𝜎 29
Hence,
𝑃(140 < 𝑋 < 211) = 𝑃(−0.1 < 𝑍 < 2.34) = 𝜙(2.34) − 𝜙(−0.1)
= 0.9904 − 0.4602 = 0.5302.

(b) Find the appropriate 𝑧 value

𝑥 − 𝜇 174.9 − 143
𝑧 = = = 1.1
𝜎 29
Thus,
𝑃(𝑋 > 174.9) = 𝑃(𝑍 > 1.1) = 1 − 𝑃(𝑍 < 1.1) = 1 − 𝜙(1.1)
= 1 − 0.8643 = 0.1357.

The Normal Approximation to the Binomial Distributions

In the section on the history of the normal distribution, we saw that the normal distribution can be used
to approximate the binomial distribution. This section shows how to compute these approximations.

Let’s begin with an example. Assume you have a fair coin and wish to know the probability that you
would get 8 heads out of 10 flips. The binomial distribution has a mean of 𝜇 = 𝑛𝑝 = (10)(0.5) = 5 and
a variance of 𝜎 2 = 𝑛𝑝(1 − 𝑝) = (10)(0.5)(0.5) = 2.5. The standard deviation is therefore 𝜎 =
8−5
1.5811. A total of 8 heads is 𝑧 = 1.5811 = 1.897. The question then is, “What is the probability of getting
a value exactly 1.897 standard deviations above the mean?” You may be surprised to learn that the answer
is 0: The probability of any one specific point is 0. The problem is that the binomial distribution is a discrete
probability distribution, whereas the normal distribution is a continuous distribution.
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