Examples of continuous
probability distributions:
The normal and standard
normal
The Normal Distribution
f(X) Changing μ shifts the
distribution left or
right.
Changing σ
increases or
σ decreases the
spread.
μ X
The Normal Distribution:
as mathematical function
(pdf)
1 x 2
1 (
)
f ( x) e 2
2
This is a bell shaped
Note constants: curve with different
=3.14159 centers and spreads
e=2.71828 depending on and
The Normal PDF
It’s a probability function, so no matter what the
values of and , must integrate to 1!
1 x 2
1 ( )
2
e 2 dx 1
Normal distribution is
defined by its mean and
standard dev.
1 x 2
E(X)= = 1 ( )
x
2
e 2 dx
1 x 2
1 ( )
Var(X)= =
2 (
x2
2
e 2 dx) 2
Standard Deviation(X)=
**The beauty of the normal curve:
No matter what and are, the area between - and
+ is about 68%; the area between -2 and +2 is
about 95%; and the area between -3 and +3 is
about 99.7%. Almost all values fall within 3 standard
deviations.
68-95-99.7 Rule
68% of
the data
95% of the data
99.7% of the data
How good is rule for real data?
Check some example data:
The mean of the weight of the women = 127.8
The standard deviation (SD) = 15.5
68% of 120 = .68x120 = ~ 82 runners
In fact, 79 runners fall within 1-SD (15.5 lbs) of the mean.
112.3 127.8 143.3
25
20
P
e 15
r
c
e
n 10
t
0
80 90 100 110 120 130 140 150 160
POUNDS
95% of 120 = .95 x 120 = ~ 114 runners
In fact, 115 runners fall within 2-SD’s of the mean.
96.8 127.8 158.8
25
20
P
e 15
r
c
e
n 10
t
0
80 90 100 110 120 130 140 150 160
POUNDS
99.7% of 120 = .997 x 120 = 119.6 runners
In fact, all 120 runners fall within 3-SD’s of the
mean.
81.3 127.8 174.3
25
20
P
e 15
r
c
e
n 10
t
0
80 90 100 110 120 130 140 150 160
POUNDS
Example
Suppose SAT scores roughly follows a normal
distribution in the U.S. population of college-
bound students (with range restricted to 200-
800), and the average math SAT is 500 with a
standard deviation of 50, then:
68% of students will have scores between 450 and
550
95% will be between 400 and 600
99.7% will be between 350 and 650
The Standard Normal (Z):
“Universal Currency”
The formula for the standardized normal
probability density function is
1 Z 0 2 1
1 ( ) 1 ( Z )2
p( Z ) e 2 1
e 2
(1) 2 2
The Standard Normal Distribution (Z)
All normal distributions can be converted into
the standard normal curve by subtracting the
mean and dividing by the standard deviation:
X
Z
Somebody calculated all the integrals for the standard
normal and put them in a table! So we never have to
integrate!
Even better, computers now do all the integration.
Comparing X and Z
units
100 200 X ( = 100, = 50)
0 2.0 Z ( = 0, = 1)
Example
For example: What’s the probability of getting a math SAT score of 575 or less, =500 and =50?
575 500
Z 1.5
50
i.e., A score of 575 is 1.5 standard deviations above the mean
Practice problem
If birth weights in a population are
normally distributed with a mean of 109
oz and a standard deviation of 13 oz,
a. What is the chance of obtaining a birth
weight of 141 oz or heavier when
sampling birth records at random?
b. What is the chance of obtaining a birth
weight of 120 or lighter?
Answer
a. What is the chance of obtaining a birth
weight of 141 oz or heavier when
sampling birth records at random?
141 109
Z 2.46
13
From the chart or SAS Z of 2.46 corresponds to a right tail (greater
than) area of: P(Z≥2.46) = 1-(.9931)= .0069 or .69 %
Answer
b. What is the chance of obtaining a birth
weight of 120 or lighter?
120 109
Z .85
13
From the chart or SAS Z of .85 corresponds to a left tail area of:
P(Z≤.85) = .8023= 80.23%
Looking up probabilities in
the standard normal table
What is the area to
the left of Z=1.51 in
a standard normal
curve?
Area is 93.45%
Z=1.51
Z=1.51
Are my data “normal”?
Not all continuous random
variables are normally distributed!!
It is important to evaluate how well
the data are approximated by a
normal distribution
Are my data normally
distributed?
1. Look at the histogram! Does it appear bell
shaped?
2. Compute descriptive summary measures—
are mean, median, and mode similar?
3. Do 2/3 of observations lie within 1 std dev of
the mean? Do 95% of observations lie within
2 std dev of the mean?
4. Look at a normal probability plot—is it
approximately linear?
5. Run tests of normality (such as Kolmogorov-
Smirnov). But, be cautious, highly influenced
by sample size!