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Normal Density
2
• Another special density that comes up a lot is e−t
• It looks like a Bell curve
• Gauss showed that ∞
Z
2 √
e−t /2
dt = 2π
−∞
• The integral can’t be worked out exactly but it is tabled in the back of the text.
1. Symmetric around 0, P{Z < t} = P{Z > −t}.
2. About 95% of the probability is between -2 and 2 (1.96 to be more accurate).
• Therefore Z ∞ ∞
2 2
xe−x /2
dx = −e−x /2
=1
0 0
• Likewise, Z 0 0
2 2
xe−x /2
dx = −e−x /2
= −1
−∞ −∞
• Thus,
Z ∞
1 2
E(Z) = z √ e−z /2 dz
−∞ 2π
Z 0 Z ∞
1 −z 2 /2 −z 2 /2
=√ ze dz + ze dz
2π −∞ 0
1
= √ [1 − 1] = 0
2π
• We could have deduced this from the symmetry of the distribution. Φ(x) = 1 − Φ(−x).
1
• To calculate the variance requires integration by parts.
Z ∞
1 2
2
Var(Z) = E(Z ) = z 2 √ e−z /2 dz
−∞ 2π
u=z du = dz
2 2
dv = ze−z v = −e−z /2
/2
1 2
∞ Z
1 2
=⇒ E(Z 2 ) = −z √ e−z /2 + √ e−z /2 dz
2π −∞ 2π
=1
• So the variance is 1.
X = σZ + µ
2
Example
• An IQ test is such that its mean is 100 and it standard deviation is 30. What is the probability of
scoring greater than 200?
•
X −µ 200 − 100
P{X > 200} = P > = P{Z > 10/3} = 0.00043
σ 30
• This is equal to
P{Z < −1/3} − P{Z < −5/6} = 0.3694 − 0.2023 = 0.1671.
3. Look up the standard normal probabilities in the table (using symmetry if necessary.)
Limit Theorems
There are two main important limit theorems in statistics. If we have n independent random variables,
n
!
1X
E Xi = E(X)
n i=1
n
!
1X Var(X)
Var Xi =
n i=1 n