P3

The Normal Distribution

The Normal Probability Distribution

The Standard Normal Distribution
The Transformation of Normal Random Variables
The Inverse Transformation
More Complex Problems
The Normal Distribution as an Approximation to
Other Probability Distributions
Using the Computer
Summary and Review of Terms

P3-1 Introduction
As n increases, the binomial distribution approaches a ...
n=6

n = 10
B ino m ial D is trib utio n: n= 1 0 , p =.5

B ino m ial D is trib utio n: n= 1 4 , p =.5

0.3

0.3

0.2

0.2

0.2

0.1

P(x)

0.3

P(x)

P(x)

B ino m ial D is trib utio n: n= 6 , p = .5

n = 14

0.1

0.0

0.1

0.0
0

0.0
0

10

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14

Normal Probability Density Function:

f ( x)

x
2
2
where e 2.7182818... and 314159265
.
...

0.4
0.3

f(x)

x 2

e 2 2 for

Normal Distribution: = 0, = 1

0.2
0.1
0.0
-5

P3-2 The Normal Probability

Distribution

The normal probability density function:

1

0.4

x 2

2 2

0.3

for

2 2
where e 2.7182818... and 314159265
.
...

f(x)

f ( x)

Normal Distribution: = 0, = 1

0.2
0.1
0.0
-5

The Normal Probability Distribution

The normal is a family of

Bell-shaped and symmetric distributions. because the

distribution is symmetric, one-half (.50 or 50%) lies

on either side of the mean.
Each is characterized by a different pair of mean, ,
and variance, . That is: [X~N()].
Each is asymptotic to the horizontal axis.
The area under any normal probability density
function within k of is the same for any normal
distribution, regardless of the mean and variance.
4

Normal Probability Distributions

All of these are normal probability density functions, though each has a different mean and variance.
Normal Distribution: =40, =1

Normal Distribution: =30, =5

0.4

Normal Distribution: =50, =3

0.2

0.2

0.2

f(y)

f(x)

f(w)

0.3
0.1

0.1

0.1
0.0

0.0
35

40

45

0.0
0

10

20

30

40

W~N(40,1)

X~N(30,25)

50

60

35

45

50

55

65

Y~N(50,9)

Normal Distribution: =0, =1

Consider:

0.4

f(z)

0.3
0.2
0.1
0.0
-5

Z~N(0,1)

P(39 W 41)
P(25 X 35)
P(47 Y 53)
P(-1 Z 1)

The probability in each

case is an area under a
normal probability density
function.

P3-3 The Standard Normal Distribution

The standard normal random variable, Z, is the normal random
variable with mean = 0 and standard deviation = 1: Z~N(0,12).
Standard Normal Distribution
0 .4

=1

f ( z)

0 .3

0 .2

0 .1

0 .0
-5

-4

-3

-2

-1

=0
Z

Finding Probabilities of the Standard

Normal Distribution: P(0 < Z < 1.56)
Standard Normal Probabilities
Standard Normal Distribution
0.4

f(z)

0.3
0.2

0.1

1.56

0.0
-5

-4

-3

-2

-1

Look in row labeled 1.5

and column labeled .06
to find
P(0 z 1.56) = .4406

z
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3.0

.00
0.0000
0.0398
0.0793
0.1179
0.1554
0.1915
0.2257
0.2580
0.2881
0.3159
0.3413
0.3643
0.3849
0.4032
0.4192
0.4332
0.4452
0.4554
0.4641
0.4713
0.4772
0.4821
0.4861
0.4893
0.4918
0.4938
0.4953
0.4965
0.4974
0.4981
0.4987

.01
0.0040
0.0438
0.0832
0.1217
0.1591
0.1950
0.2291
0.2611
0.2910
0.3186
0.3438
0.3665
0.3869
0.4049
0.4207
0.4345
0.4463
0.4564
0.4649
0.4719
0.4778
0.4826
0.4864
0.4896
0.4920
0.4940
0.4955
0.4966
0.4975
0.4982
0.4987

.02
0.0080
0.0478
0.0871
0.1255
0.1628
0.1985
0.2324
0.2642
0.2939
0.3212
0.3461
0.3686
0.3888
0.4066
0.4222
0.4357
0.4474
0.4573
0.4656
0.4726
0.4783
0.4830
0.4868
0.4898
0.4922
0.4941
0.4956
0.4967
0.4976
0.4982
0.4987

.03
0.0120
0.0517
0.0910
0.1293
0.1664
0.2019
0.2357
0.2673
0.2967
0.3238
0.3485
0.3708
0.3907
0.4082
0.4236
0.4370
0.4484
0.4582
0.4664
0.4732
0.4788
0.4834
0.4871
0.4901
0.4925
0.4943
0.4957
0.4968
0.4977
0.4983
0.4988

.04
0.0160
0.0557
0.0948
0.1331
0.1700
0.2054
0.2389
0.2704
0.2995
0.3264
0.3508
0.3729
0.3925
0.4099
0.4251
0.4382
0.4495
0.4591
0.4671
0.4738
0.4793
0.4838
0.4875
0.4904
0.4927
0.4945
0.4959
0.4969
0.4977
0.4984
0.4988

.05
0.0199
0.0596
0.0987
0.1368
0.1736
0.2088
0.2422
0.2734
0.3023
0.3289
0.3531
0.3749
0.3944
0.4115
0.4265
0.4394
0.4505
0.4599
0.4678
0.4744
0.4798
0.4842
0.4878
0.4906
0.4929
0.4946
0.4960
0.4970
0.4978
0.4984
0.4989

.06
0.0239
0.0636
0.1026
0.1406
0.1772
0.2123
0.2454
0.2764
0.3051
0.3315
0.3554
0.3770
0.3962
0.4131
0.4279
0.4406
0.4515
0.4608
0.4686
0.4750
0.4803
0.4846
0.4881
0.4909
0.4931
0.4948
0.4961
0.4971
0.4979
0.4985
0.4989

.07
0.0279
0.0675
0.1064
0.1443
0.1808
0.2157
0.2486
0.2794
0.3078
0.3340
0.3577
0.3790
0.3980
0.4147
0.4292
0.4418
0.4525
0.4616
0.4693
0.4756
0.4808
0.4850
0.4884
0.4911
0.4932
0.4949
0.4962
0.4972
0.4979
0.4985
0.4989

.08
0.0319
0.0714
0.1103
0.1480
0.1844
0.2190
0.2517
0.2823
0.3106
0.3365
0.3599
0.3810
0.3997
0.4162
0.4306
0.4429
0.4535
0.4625
0.4699
0.4761
0.4812
0.4854
0.4887
0.4913
0.4934
0.4951
0.4963
0.4973
0.4980
0.4986
0.4990

.09
0.0359
0.0753
0.1141
0.1517
0.1879
0.2224
0.2549
0.2852
0.3133
0.3389
0.3621
0.3830
0.4015
0.4177
0.4319
0.4441
0.4545
0.4633
0.4706
0.4767
0.4817
0.4857
0.4890
0.4916
0.4936
0.4952
0.4964
0.4974
0.4981
0.4986
0.4990

Finding Probabilities of the Standard

Normal Distribution: P(Z < -2.47)
To find P(Z<-2.47):
Find table area for 2.47
P(0 < Z < 2.47) = .4932

P(Z < -2.47) = .5 - P(0 < Z < 2.47)

= .5 - .4932 = 0.0068

z ...
.
.
.
2.3 ...
2.4 ...
2.5 ...
.
.
.

0.4909
0.4931
0.4948

.06
.
.
.
0.4911
0.4932
0.4949

.07
.
.
.
0.4913
0.4934
0.4951

.08
.
.
.

Standard Normal Distribution

Area to the left of -2.47

P(Z < -2.47) = .5 - 0.4932
= 0.0068

0.4

Table area for 2.47

P(0 < Z < 2.47) = 0.4932

f(z)

0.3

0.2

0.1

0.0
-5

-4

-3

-2

-1

10

Finding Probabilities of the Standard

Normal Distribution: P(1< Z < 2)
To find P(1 Z 2):
1. Find table area for 2.00
F(2) = P(Z 2.00) = .5 + .4772 =.9772
2. Find table area for 1.00
F(1) = P(Z 1.00) = .5 + .3413 = .8413
3. P(1 Z 2.00) = P(Z 2.00) - P(Z 1.00)

z
.
.
.
0.9
1.0
1.1
.
.
.
1.9
2.0
2.1
.
.
.

.00
.
.
.
0.3159
0.3413
0.3643
.
.
.
0.4713
0.4772
0.4821
.
.
.

...

...
...
...

...
...
...

= .9772 - .8413 = .1359

Standard Normal Distribution
0.4

Area between 1 and 2

P(1 Z 2) = .4772 - .8413 = 0.1359

f(z)

0.3

0.2

0.1

0.0
-5

-4

-3

-2

-1

11

P3-4 The Transformation of Normal

Random Variables
The area within k of the mean is the same for all normal random variables. So an area
under any normal distribution is equivalent to an area under the standard normal. In this
example: P(40 X P(-1 Z since 5 and
The transformation of X to Z:
X x
Z
x

Normal Distribution: =50, =10

0.07
0.06

Transformation
f(x)

(1) Subtraction: (X - x)

0.05
0.04
0.03
=10

0.02

Standard Normal Distribution

0.01
0.00

0.4

20

30

40

50

60

70

80

90 100

0.3

0.2

(2) Division by x)

f(z)

10

1.0

0.1

0.0
-5

-4

-3

-2

-1

The inverse transformation of Z to X:

X x Z x
12

Using the Normal Transformation

Highway 2000 has toll roads. In the USA, drivers can pay toll by
having a prepaid account which is debited when the toll plaza
detects a signal from an incoming car which has an electronic
device. Such cars do not stop. Suppose the time it takes the
electronic device in the car to respond to the signal from the toll
plaza is ~N(160, 302) microseconds. What is the probability the
device in the car will respond to a signal within 100 to 180
microseconds?
The concentration of impurities in a semiconductor used in the
production of microprocessors for computers is a normally
distributed random variable with mean 120 ppm and std dev
22. A semiconductor is acceptable only if the concentration is
below 150. What proportion of semiconductors is acceptable
13
for use? Parts per million = ppm.

Using the Normal Transformation

Example-1
X~N(160,30)

Example 2
X~N(127,22)

P (100 X 180)
100 X 180

100 160
180 160

P
Z

30
30
P 2 Z .6667
0.4772 0.2475 0.7247

P ( X 150)
X 150

150 127

P Z

22
P Z 1.045
0.5 0.3520 0.8520

14

Using the Normal Transformation - Example

Fluctuations in the price of precious metals like gold have been
shown to be well approximated by a normal distribution when
observed over short periods of time. In May 2005, the daily
price of gold (1 troy ounce) was found to be ~N($383, $12). A
broker wanted to find the probability that the price the next
day would be between $394 and $399)
Normal Dis tribution: = 383 , = 12
0.05

X~N(383,12)

0.04
0.03

399 383

12

P 0.9166 Z 1.333
0.4088 0.3203 0.0885

0.02
0.01
Standard Normal Distribution
0.00
340

0.4

390

440

X
0.3

f(z)

394 383
P
Z
12

f(X)

P ( 394 X 399)
394 X 399
P

0.2

0.1

0.0
-5

-4

-3

-2

-1

15

Using the Normal Transformation Excel Solution for Example P3-3

Do the same with X = 394 and subtract the two values to get 0.088447.
16

The Transformation of Normal Random

Variables
The transformation of X to Z:
Z

X x

The inverse transformation of Z to X:

X

Z
x

The transformation of X to Z, where a and b are numbers::

P( X a) P Z

P( X b) P Z

b
a
P(a X b) P
Z

17

Normal Probabilities

The probability that a normal

random variable will be within 1
standard deviation from its mean
(on either side) is 0.6826, or
approximately 0.68.
The probability that a normal
random variable will be within 2
standard deviations from its mean
is 0.9544, or approximately 0.95.
The probability that a normal
random variable will be within 3
standard deviation from its mean
is 0.9974.

0 .4

0 .3

f(z)

S t a n d a r d N o r m a l D i s t r i b u t io n

0 .2

0 .1

0 .0
-5

-4

-3

-2

-1

18

The Inverse Transformation

In the normal transformation, we are given a value

of the random variable (X) and we are asked to find
the probability.
Transform X to Z; maximum 2 decimal places.
Sketch a curve to show the required area (Ra)
We look at this Z value on the left and top margins
Read off the probability from the INSIDE of the table. The
table gives an area between 0 and Z (Ta)

But suppose we are given a probability and we want

to find the VALUE of the Random Variable?
19

The Inverse Transformation

But suppose we are given a probability and we want

to find the VALUE of the Random Variable?

Write down the question

Sketch the required area
Identify the table area from INSIDE the table
Read outside to find Z
Use the inverse transformation formula to find X

20

The Inverse Transformation

The area within k of the mean is the same for all normal random variables. To find a
probability associated with any interval of values for any normal random variable, all that
is needed is to express the interval in terms of numbers of standard deviations from the
mean. That is the purpose of the standard normal transformation. If X~N(50,102),
70 50
x 70

P( X 70) P

P Z
P( Z 2)

10

That is, P(X >70) can be found easily because 70 is 2 standard deviations above the mean
of X: 70 = + 2. P(X > 70) is equivalent to P(Z > 2), an area under the standard normal
distribution.
Normal Distribution: = 124, = 12

Example 4-4
X~N(124,122)
P(X > x) = 0.10 and P(Z > 1.28) 0.10
x = + z = 124 + (1.28)(12) = 139.36

0.04

.
.
.
...
...
...
.
.
.

.07
.
.
.
0.3790
0.3980
0.4147
.
.
.

.08
.
.
.
0.3810
0.3997
0.4162
.
.
.

.09
.
.
.
0.3830
0.4015
0.4177
.
.
.

f(x)

0.03
z
.
.
.
1.1
1.2
1.3
.
.
.

0.02

0.01

0.00
80

130

1 80

21

Finding Values of the Standard Normal

Random Variable: P(0 < Z < z) = 0.40
To find z such that
P(0 Z z) = .40:
1. Find a probability as close as
possible to .40 in the table of
standard normal probabilities.

z
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
.
.
.

.00
0.0000
0.0398
0.0793
0.1179
0.1554
0.1915
0.2257
0.2580
0.2881
0.3159
0.3413
0.3643
0.3849
0.4032
.
.
.

.01
0.0040
0.0438
0.0832
0.1217
0.1591
0.1950
0.2291
0.2611
0.2910
0.3186
0.3438
0.3665
0.3869
0.4049
.
.
.

2. Then determine the value of z

from the corresponding row
and column.
Area to the left of 0 = .50

Also, since P(Z 0) = .50

.03
0.0120
0.0517
0.0910
0.1293
0.1664
0.2019
0.2357
0.2673
0.2967
0.3238
0.3485
0.3708
0.3907
0.4082
.
.
.

.04
0.0160
0.0557
0.0948
0.1331
0.1700
0.2054
0.2389
0.2704
0.2995
0.3264
0.3508
0.3729
0.3925
0.4099
.
.
.

.05
0.0199
0.0596
0.0987
0.1368
0.1736
0.2088
0.2422
0.2734
0.3023
0.3289
0.3531
0.3749
0.3944
0.4115
.
.
.

.06
0.0239
0.0636
0.1026
0.1406
0.1772
0.2123
0.2454
0.2764
0.3051
0.3315
0.3554
0.3770
0.3962
0.4131
.
.
.

.07
0.0279
0.0675
0.1064
0.1443
0.1808
0.2157
0.2486
0.2794
0.3078
0.3340
0.3577
0.3790
0.3980
0.4147
.
.
.

.08
0.0319
0.0714
0.1103
0.1480
0.1844
0.2190
0.2517
0.2823
0.3106
0.3365
0.3599
0.3810
0.3997
0.4162
.
.
.

Standard Normal Distribution

0.4

P(z 0) = .50

Area = .40 (.3997)

0.3

f(z)

P(0 Z 1.28) .40

.02
0.0080
0.0478
0.0871
0.1255
0.1628
0.1985
0.2324
0.2642
0.2939
0.3212
0.3461
0.3686
0.3888
0.4066
.
.
.

0.2

0.1

0.0

P(Z 1.28) .90

-5

-4

-3

-2

-1

Z = 1.28
22

.09
0.0359
0.0753
0.1141
0.1517
0.1879
0.2224
0.2549
0.2852
0.3133
0.3389
0.3621
0.3830
0.4015
0.4177
.
.
.

Finding Values of a Normal Random

Variable, Given a Probability
No rm al Dis trib utio n: = 2 4 50 , = 4 0 0
0.0012

0.0010

f(x)

0.0008
0.0006
0.0004
0.0002
0.0000
1000

2000

3000

4000

S t a n d a r d N o r m a l D is t r ib u t io n
0 .4
0 .3

f(z)

1. Draw pictures of
the normal
distribution in
question and of the
standard normal
distribution.

0 .2
0 .1
0 .0
-5

-4

-3

-2

-1

23

Finding Values of a Normal Random

Variable, Given a Probability
No rm al Dis trib utio n: = 2 4 50 , = 4 0 0
0.0012

.4750

0.0010

.4750

0.0008

f(x)

1. Draw pictures of
the normal
distribution in
question and of the
standard normal
distribution.

0.0006
0.0004
0.0002

.9500

0.0000
1000

2000

3000

4000

S t a n d a r d N o r m a l D is t r ib u t io n
0 .4

.4750

.4750

0 .3

f(z)

2. Shade the area

corresponding to
the desired
probability.

0 .2
0 .1

.9500

0 .0
-5

-4

-3

-2

-1

24

Finding Values of a Normal Random

Variable, Given a Probability
No rm al Dis trib utio n: = 2 4 50 , = 4 0 0

3. From the table

of the standard
normal
distribution,
find the z value
or values.

0.0012

.4750

0.0010

.4750

0.0008

f(x)

1. Draw pictures of
the normal
distribution in
question and of the
standard normal
distribution.

0.0006
0.0004
0.0002

.9500

0.0000
1000

2000

3000

4000

2. Shade the area

corresponding
to the desired
probability.

S t a n d a r d N o r m a l D is t r ib u t io n
0 .4

.4750

f(z)
z
.
.
.
1.8
1.9
2.0
.
.

.
.
.
...
...
...
.
.

.05
.
.
.
0.4678
0.4744
0.4798
.
.

.06
.
.
.
0.4686
0.4750
0.4803
.
.

.4750

0 .3

.07
.
.
.
0.4693
0.4756
0.4808
.
.

0 .2
0 .1

.9500

0 .0
-5

-4

-3

-2

-1

-1.96

1.96

25

Finding Values of a Normal Random

Variable, Given a Probability
No rm al Dis trib utio n: = 2 4 50 , = 4 0 0

3. From the table

of the standard
normal
distribution,
find the z value
or values.

0.0012

.4750

0.0010

.4750

0.0008

f(x)

1. Draw pictures of
the normal
distribution in
question and of the
standard normal
distribution.

0.0006
0.0004
0.0002

.9500

0.0000
1000

2000

3000

4000

2. Shade the area

corresponding
to the desired
probability.

0 .4

.4750

.
.
.
...
...
...
.
.

.05
.
.
.
0.4678
0.4744
0.4798
.
.

.06
.
.
.
0.4686
0.4750
0.4803
.
.

.4750

0 .3

f(z)
z
.
.
.
1.8
1.9
2.0
.
.

4. Use the
transformation
from z to x to get
value(s) of the
original random
variable.

S t a n d a r d N o r m a l D is t r ib u t io n

.07
.
.
.
0.4693
0.4756
0.4808
.
.

0 .2
0 .1

.9500

0 .0
-5

-4

-3

-2

-1

-1.96

x = z = 2450 (1.96)(400)
= 2450 784=(1666,3234)

1.96

26

Finding Values of a Normal Random

Variable, Given a Probability
Using EXCEL to help solve Example P3-4.

27

99% Interval around the Mean:

P(-z.005< Z < z.005) = 0.99
To have .99 in the centre of the distribution, there
should be (1/2)(1-.99) = (1/2)(.01) = .005 in each
tail of the distribution, and (1/2)(.99) = .495 in
each half of the .99 interval. That is:
P(0 Z z.005) = .495

z
.
.
.
2.4 ...
2.5 ...
2.6 ...
.
.
.

.04
.
.
.
0.4927
0.4945
0.4959
.
.
.

.05
.
.
.
0.4929
0.4946
0.4960
.
.
.

Look to the table of standard normal probabilities

to find that:
Area in center left = .495

.06
.
.
.
0.4931
0.4948
0.4961
.
.
.

.07
.
.
.
0.4932
0.4949
0.4962
.
.
.

.08
.
.
.
0.4934
0.4951
0.4963
.
.
.

.09
.
.
.
0.4936
0.4952
0.4964
.
.
.

Area in center = .99

0.4

5 z.005 5
z.005 55

Area in center right = .495

f(z)

0.3

P(-.2575 Z 55) = .99

0.2

Area in right tail = .005

Area in left tail = .005

0.1

0.0
-5

-4

-3

-2

-z.005
-2.575

-1

z.005
2.575

28

P3-7 Using the Computer

In EXCEL, the command

NORMSDIST(number) will return

cumulative probability for a standard normal
random variable.
The command NORMDIST(number,
mean, standard deviation) will return the
cumulative probability for a general random
variable.
29

P3-7 Using the Computer

For example, NORMSDIST(1.0) = 0.8413.

NORMDIST(10.0, 5, 2) = 0.9938.
The inverse commands are

NORMSINV(number) and
NORMINV(number, mean, standard
deviation).
NORMSINV(0.975) = 1.96.
NORMINV(0.975, 20, 10) = 39.6.
30