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L4 Notes

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21 views

L4 Notes

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harishsepat0
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Continuous Normal Random Variable

The most important type of random variable is the normal random variable. The
probability density function of a normal random variable X is determined by two
parameters: the expected value and the standard deviation of X.

μ = E[X] and σ = SD(X)


The normal probability density function is a bell-shaped density curve that is
symmetric about the value μ. Its variability is measured by σ.

P{X < μ} = P{X > μ} = 1/2


The height of the curve
above point x on the abscissa is
Standard Continuous Normal Random Variable

A normal random variable having mean value 0 and standard deviation 1 is called

a standard normal random variable, and its density curve is called the standard
normal curve. Z is used to represent a standard normal random variable.

Z can be used to determine probabilities concerning an arbitrary normal random


variable by relating them to probabilities about the standard normal random variable.
Standard Continuous Normal Random Variable
Approximation Rule
A normal random variable with mean μ and standard deviation σ will be
Between μ − σ and μ + σ with approximate probability 0.68
Between μ − 2σ and μ + 2σ with approximate probability 0.95
Between μ − 3σ and μ + 3σ with approximate probability 0.997

P{−2 < Z < 2} is approximately =0.95


P{Z > 1} is approximately = 0.16

P{Z < 2} is approximately = 0.975


Normal Random Variables
Variable X is a normal random variable with standard deviation 3. If the
probability that X is less than 16 is 0.84, then the expected value of X is
approximately 13

Variable X is a normal random variable with expected value 100. If the


probability that X is greater than 90 is 0.84, then the standard deviation of X
is approximately 10
If X is normal with expected value 100 and standard deviation 2, and Y is normal
with expected value 100 and standard deviation 4, is X or is Y more likely
(probability) to
Exceed 104 Y
Exceed 96 X
Exceed 100 Both
P{Z < x}
P{Z < 1.22} = 0.8888

P{Z ≤ 2} + P{Z > 2} = 1

So P{Z>2} = 1- P{Z ≤2}


= 1 − 0.9772
= 0.0228
P{Z < −x} = P{Z > x}
= 1 − P{Z < x}
Standard Continuous Normal Random Variable
Standard Continuous Normal Random Variable
Standard Continuous Normal Random Variable

Prove P{−a < Z < a} = 2P{Z < a} − 1

P{−a < Z < a} = P{Z < a} - P{Z < -a}


= P{Z < a} – P{Z > a}
= P{Z < a} – [1-P{Z <a}]
= 2P{Z < a} − 1
Normal Random Variables
Conversion of Normal Probabilities to Standard Normal
Let X be a normal random variable with mean μ and standard deviation σ. We can
determine probabilities concerning X by using the fact that the variable Z defined by

That is, if we standardize a normal random variable by subtracting its mean and then
dividing by its standard deviation, the resulting variable has a standard normal distribution.

Sample Weight Normalized Shoe Size Normalized


A 10 -1.2 1 -1.2
B 20 -0.4 2 -0.4
C 30 0.4 3 0.4
D 40 1.2 4 1.2
Mean 25 0 2.5 0
SD 12.9 1 1.3 1
Normal Random Variables
Normal Random Variables

We can compute any probability statement about X by writing an


equivalent statement in terms of Z = (X − μ)/σ and then making use of
Table.

For instance, suppose we want to compute P{X < a}. Since X < a then
Normal Random Variables
IQ examination scores for sixth-graders are normally distributed with mean value 100 and
standard deviation 14.2.
(a) What is the probability a randomly chosen sixth-grader has a score greater than 130?
(b) What is the probability a randomly chosen sixth-grader has a score between 90 and 115?

= -0.7042 < Z < 1.056

P {90<X<115} = P{-0.7042 < Z < 1.056} = P{Z<1.056} – P{Z < -0.7042}

= 0.612
Normal Random Variables
Normal Random Variables
The fact that Z = (X − μ)/σ is a standard normal random variable follows from the fact that
if one either adds or multiplies a normal random variable by a constant, then the resulting
random variable remains normal.

The sum of independent normal random variables is also a normal random variable
Normal Random Variables
Percentile of Normal Random Variables

For any α between 0 and 1, we define zα to be that value for which

P{Z > zα} = α

In words, the probability that a standard normal random variable is greater than zα is equal
to α

P{Z > zα} = α


Normal Random Variables
We can determine the value of zα by using Table.
For instance, suppose we want to find z0.025. Since
P{Z < z0.025} = 1 − P{Z > z0.025} = 1-0.025 = 0.975

we search in Table for the entry 0.975, and then we find the value x that corresponds to this
entry. Since the value 0.975 is found in the row labelled 1.9 and the column labelled 0.06,
we see that
z0.025 = 1.96

That is, 2.5 percent of the time a standard normal random variable will exceed 1.96.

Since 97.5 percent of the time a standard normal random variable will be less than 1.96, we
say that 1.96 is the 97.5 percentile of the standard normal distribution.

In general, since 100(1 − α) percent of the time a standard normal random variable will be
less than zα, we call zα the 100(1 − α) percentile of the standard normal distribution.
Normal Random Variables
Suppose now that we want to find z0.05. If we search Table 6.1 for the value 0.95, we do not
find this exact value. Rather, we see that
P{Z < 1.64} = 0.9495
and
P{Z < 1.65} = 0.9505

Therefore, it would seem that z0.05 lies roughly halfway between 1.64 and 1.65, and so we
could approximate it by 1.645. In fact, it turns out that, to three decimal places, this is the
correct answer, and so
z0.05 = 1.645

For all other values of α, we can use Table to find zα by searching for the entry that is closest
to 1 − α.
z0.25 = 75th Percentile
Normal Random Variables
Find z0.80
z
P{Z > 0.80} = 0.80

Now the value of z0.80 will be negative (why is this?),

and so it is best to write the equivalent equation

P{Z < − z0.80} = 0.80 Because P{Z < −x} = P{Z > x}

− z0.80 ≈ 0.84
and so

z0.80 ≈ −0.84
P{Z < − z0.80} = 0.80
Normal Random Variables
We can easily obtain the percentiles of any normal random variable by converting to the
standard normal. For instance, suppose we want to find the value x for which

P{X < x} = 0.95

when X is normal with mean 40 and standard deviation 5. By writing the inequality X < x in
terms of the standardized variable Z = (X − 40)/5, we see that

P{Z < zα} = 1 − P{Z > zα}

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