18.
05 Lecture 21
April 1, 2005
Normal Distribution
Standard Normal Distribution, N(0, 1)
p.d.f.:
1 2
f (x) = ∩ e−x /2
2ψ
m.g.f.:
2
δ(t) = E(etX ) = et /2
Proof - Simplify integral by completing the square:
� �
1 2 1 2
δ(t) = etx ∩ e−x /2 dx = ∩ etx−x /2 dx =
2ψ 2ψ
� �
1 2 2 2 1 2 1 2
∩ et /2−t /2+tx−x /2 dx = ∩ et /2 e− 2 (t−x) dx
2ψ 2ψ
Then, perform the change of variables y = x - t:
� ∗ � ∗ �
1 2 1 2 2 1 1 2 2 2
= ∩ et /2 e− 2 y dy = et /2 ∩ e− 2 y dy = et /2 f (x)dx = et /2
2ψ −∗ 2ψ −∗
Use the m.g.f. to find expectation of X and X 2 and therefore Var(X):
2 2 2
E(X) = δ∅ (0) = tet /2
|t=0 = 0; E(X 2 ) = δ∅∅ (0) = et /2 2
t + et /2
|t=0 = 1; Var(X) = 1
Consider X ≈ N (0, 1), Y = θX + µ, find the distribution of Y:
� y−µ
y−µ � 1 2
P(Y ← y) = P(θX + µ ← y) = P(X ← )= ∩ e−x /2 dx
θ −∗ 2ψ
p.d.f. of Y:
�P(Y ← y) 1 (y−µ)2 1 1 (y−µ)2
f (y) = = ∩ e− 2�2 = ∩ e− 2�2 ↔ N (µ, θ)
�y 2ψ θ θ 2ψ
EY = E(θX + µ) = θ(0) + µ(1) = µ
− µ)2 = E(θX + µ − µ)2 = θ 2 E(X 2 ) = θ 2 - variance of N (µ, θ)
E(Y
θ = Var(X) - standard deviation
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To describe an altered standard normal distribution N(0, 1) to a normal distribution N (µ, θ),
The peak is located at the new mean µ, and the point of inflection occurs θ away from µ
Moment Generating Function of N (µ, θ );
Y = θX + µ
2 2
(π)2 /2
δ(t) = EetY = Eet(πX+µ) = Ee(tπ)X etµ = etµ Ee(tπ)X = etµ e(tπ) /2
= etµ+t
Note: X1 ≈ N (µ1 , θ1 ), ..., Xn ≈ N (µn , θn ) - independent.
Y = X1 + ... + Xn , distribution of Y:
Use moment generating function:
2 2 2 2
EetY = Eet(X1 +...+Xn ) = EetX1 ...etXn = EetX1 ...EetXn = eµ1 t+π1 t /2
× ... × eµn t+πn t /2
� ��
πi2 t2 /2
P P
µi t+
=e ≈ N( µi , θi2 )
The sum of different normal distributions is still normal!
This is not always true for other distributions (such as exponential)
Example:
X ≈ N (µ, θ), Y = cX, find that the distribution is still normal:
Y = c(θN (0, 1) + µ) = (cθ)N (0, 1) + (µc)
Y ≈ cN (µ, θ) = N (cµ, cθ)
Example:
Y ≈ N (µ, θ)
P(a ← Y ← b) = P(a ← θx + µ ← b) = P( a−µ b−µ
π ← X ← π )
This indicates the new limits for the standard normal.
Example:
Suppose that the heights of women: X ≈ N (65, 1) and men: Y ≈ N (68, 2)
P(randomly chosen woman taller than randomly chosen man)
P(X > Y ) = P(X − Y > 0)
∩
Z = X − Y ≈ N (65 − 68, 12 + 22 ) = N (−3,
(5))
P(Z > 0) = P( Z−(−3)
≥
5
> −(−3)
≥
5
) = P(standard normal > ≥35 = 1.342) = 0.09
Probability values tabulated in the back of the textbook.
Central Limit Theorem
Flip 100 coins, expect 50 tails, somewhere 45-50 is considered typical.
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Flip 10,000 coins, expect 5,000 tails, and the deviation can be larger,
perhaps 4,950-5,050 is typical.
Xi = {1(tail); 0(head)}
number of tails X1 + ... + Xn 1 1 1 1
= ↔ E(X1 ) = by LLN Var(X1 ) = (1 − ) =
n n 2 2 2 4
But, how do you describe the deviations?
X1 , X2 , ..., Xn are independent with some distribution P
n
1�
µ = EX1 , θ 2 = Var(X1 ); x = Xi ↔ EX1 = µ
n i=1
∩ ≥
x − µ on the order of n ↔
n(x−µ) π behaves like standard normal.
∩
n(x − µ)
is approximately standard normal N (0, 1) for large n
θ
∩
n(x − µ)
P( ← x) −n−↔−−↔
→ P(standard normal ← x) = N (0, 1)(−→, x)
θ
This is useful in terms of statistics to describe outcomes as likely or unlikely in an experiment.
P(number of tails ← 4900) = P(X1 + ... + X10,000 ← 4, 900) = P(x ← 0.49) =
∩ ∩
10, 000(x − 21 ) 10, 000(0.49 − 0.5) 100(0.01)
= P( 1 ← 1 ) � N (0, 1)(−→, − 1 = −2) = 0.0267
2 2 2
Tabulated values always give for positive X, area to the left.
In the table, look up -2 by finding the value for 2 and taking the complement.
** End of Lecture 21
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