Normal distribution

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Normal distribution
Prerequisites and complementary topics: Random variables and univariate probability distributions, Expected value, Variance.

Introduction
The normal distribution is one of the cornerstones of probability theory and statistics, because of the role it plays in the Central Limit Theorem, because of its analytical tractability and because many real-world phenomena involve random quantities that are approximately normal (e.g. errors in scientific measurement). In this lecture, we first deal with the normal distribution having zero mean and unit variance, which is called the standard normal distribution. We then deal with the normal distribution in general (i.e. the normal distribution having any mean and any variance ).

The standard normal distribution

The standard normal distribution is a special case of the normal distribution. By first explaining this special case, the exposition of the more general case is greatly facilitated.

The standard normal distribution Definition

The standard normal distribution is characterized as follows:

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Definition_ Let be an absolutely continuous random variable. Let its support be the set of real numbers :

We say that

has a standard normal is a standard

distribution (or that density function is:

normal random variable) if its probability

The following is a proof that probability density function: Proof

is indeed a legitimate

To better understand the standard normal distribution, you can have a look at its density plots.

The standard normal distribution Expected value

The expected value of a standard normal random variable is:

Proof

The standard normal distribution Variance

The variance of a standard normal random variable is:

Proof

The standard normal distribution Moment generating function

The moment generating function of a standard normal

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random variable

is defined for any

Proof

The standard normal distribution Characteristic function

The characteristic function of a standard normal random variable is:

Proof

The normal distribution in general

While in the previous section we restricted our attention to the normal distribution with zero mean and unit variance, we now deal with the general case.

The normal distribution - Definition

The normal distribution with mean characterized as follows: and variance is

Definition_ Let be an absolutely continuous random variable. Let its support be the set of real numbers :

Let

and

. We say that

has

a normal distribution (or that it is a normal random variable, or that it is normally distributed) with mean and variance is: ,

if its probability density function

We

indicate

that

has

normal

distribution with mean

and variance

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by:

To better understand the normal distribution, you can have a look at its density plots.

The normal distribution - Relation between standard and general

A random variable which has a normal distribution with mean and variance is just a linear function of a standard normal random variable: Proposition_ If with mean has a normal distribution , then:

and variance

where is a random variable having a standard normal distribution. This can be easily proved using the formula for the density of a function of an absolutely continuous variable ( function of , since is a strictly increasing is strictly positive):

Obviously, then, a standard normal distribution is just a normal distribution with mean . and variance

The normal distribution - Expected value

The expected value of a normal random variable is:

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Proof It is an immediate consequence of the fact that (where has a standard normal distribution) and the linearity of the expected value:

The normal distribution - Variance

The variance of a normal random variable is:

Proof It can be derived using the formula for the variance of affine transformations on standard normal distribution): (where has a

The normal distribution - Moment generating function

The moment generating function of a normal random variable is defined for any :

Proof Recall that (where has a standard normal distribution) and that the moment generating function of a standard normal random variable is:

We can use the formula for the moment generating function of a linear transformation:

The integral above is well-defined and finite for any

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. Thus, the moment generating function of a normal random variable exists for any .

The normal distribution Characteristic function

The characteristic function of a normal random variable is:

Proof Recall that (where has a standard normal distribution) and that the characteristic function of a standard normal random variable is:

We can use the formula for the characteristic function of a linear transformation:

The normal distribution - More details

The lecture entitled Normal distribution values explains how to numerically compute the values of the normal density function and of the normal distribution function. About | Contacts | Copyright | Disclaimer | RSS | Sitemap

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