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    5.26 Normal Probabilities

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    Alejandro Sanhueza
    This document discusses properties of the normal distribution, including: - The standard normal distribution has a mean of 0 and standard deviation of 1. - Common probabilities can be found using the normal CDF Φ(z). - The sample mean of normally distributed observations is also normally distributed, with mean equal to the population mean and variance equal to the population variance divided by the sample size. - As the sample size increases, the variance of the sample mean decreases, making it a good estimator of the true population mean.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    5.26 Normal Probabilities

    Uploaded by

    Alejandro Sanhueza
    26 views13 pages
    This document discusses properties of the normal distribution, including: - The standard normal distribution has a mean of 0 and standard deviation of 1. - Common probabilities can be found using the normal CDF Φ(z). - The sample mean of normally distributed observations is also normally distributed, with mean equal to the population mean and variance equal to the population variance divided by the sample size. - As the sample size increases, the variance of the sample mean decreases, making it a good estimator of the true population mean.

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    5-26-NormalProbs

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    This document discusses properties of the normal distribution, including: - The standard normal distribution has a mean of 0 and standard deviation of 1. - Common probabilities can be found using the normal CDF Φ(z). - The sample mean of normally distributed observations is also normally distributed, with mean equal to the population mean and variance equal to the population variance divided by the sample size. - As the sample size increases, the variance of the sample mean decreases, making it a good estimator of the true population mean.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    26 views13 pages

    5.26 Normal Probabilities

    Uploaded by

    Alejandro Sanhueza
    This document discusses properties of the normal distribution, including: - The standard normal distribution has a mean of 0 and standard deviation of 1. - Common probabilities can be found using the normal CDF Φ(z). - The sample mean of normally distributed observations is also normally distributed, with mean equal to the population mean and variance equal to the population variance divided by the sample size. - As the sample size increases, the variance of the sample mean decreases, making it a good estimator of the true population mean.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 13

    5.

    26 Normal Probabilities

    5.26 Normal Probabilities

    Standard Normal Distribution

    Examples

    Sample Mean of Normal Observations

    5.26 Normal Probabilities

    Denition: The Nor(0, 1) distrn is called the standard normal distribution. Notation: The Nor(0, 1) is often denoted by Z . The p.d.f. of the Nor(0, 1) is 1 z 2 /2 , (z ) e 2 The c.d.f. is (z )
    z

    (t) dt,

    .
    2

    5.26 Normal Probabilities

    Remarks: Pr(Z a) = (a) Pr(Z b) = 1 (b) Pr(a Z b) = (b) (a) (0) = 1/2 (b) = Pr(Z b) = Pr(Z b) = 1 (b) Pr(b Z b) = (b) (b) = 2(b) 1
    3

    5.26 Normal Probabilities

    Famous Nor(0, 1) table values. z (z ) = Pr(Z z ) 0.00 0.5000 1.00 0.8413 1.28 0.8997 0.90 1.645 0.9500 1.96 0.9750 2.33 0.9901 0.99 0.9987 3.00 4.00 1.0000

    5.26 Normal Probabilities

    Famous Inverse Nor(0, 1) table values. 1(p) is the value of z such that (z ) = p. p 1(p) 0.90 1.28 0.95 1.645 0.975 1.96 0.99 2.33 0.995 2.58

    5.26 Normal Probabilities

    Example: X Nor(21, 4). Find Pr(19 < X < 22.5). Standardizing, we get Pr(19 < X < 22.5) 19 X 22.5 = Pr < < 19 21 22.5 21 <Z< = Pr 2 2 = Pr(1 < Z < 0.75) = (0.75) (1) = (0.75) [1 (1)] = 0.7734 [1 0.8413] = 0.6147.
    6

    5.26 Normal Probabilities

    Example: Suppose that Heights of men are M Nor(68, 4) and Heights of women are W Nor(65, 1). Select a man and woman independently at random.

    Find the probability that the woman is taller than the man.

    5.26 Normal Probabilities

    Note that W M Nor(E[W M ], Var(W M )) Nor(65 68, 1 + 4) Nor(3, 5).

    Then Pr(W > M ) = Pr(W M > 0) 0+3 = Pr Z > 5 = 1 (3/ 5) 1 0.91 = 0.09.
    8

    5.26 Normal Probabilities

    Sample Mean of Normal Observations The sample mean of X1, . . . , Xn is X


    iid n i=1 Xi/n.

    Corollary (of old Theorem): X1, . . . , Xn Nor(, 2) Nor(, 2/n). X Proof: By previous work, as long as X1, . . . , Xn are ] = and Var(X ) = i.i.d. something, we have E[X is a linear combination of independent 2/n. Since X normals, its also normal. Done.
    9

    5.26 Normal Probabilities

    Remark: This result is very signicant! As the number ) gets smaller (while of observations increases, Var(X ] remains constant). E[X In the upcoming statistics portion of the course, well an excellent learn that this makes the sample mean X estimator for the mean , which is typically unknown in practice.

    10

    5.26 Normal Probabilities

    Example: Suppose that X1, . . . , Xn Nor(, 16). Find the sample size n such that | 1) 0.95. Pr(|X

    iid

    will How many observations should you take so that X have a good chance of being close to ? Nor(, 16/n). Then. . . Solution: Note that X
    11

    5.26 Normal Probabilities

    | 1) = Pr(1 X 1) Pr(|X 1 X 1 = Pr 4/ n 4/ n 4/ n n n Z = Pr 4 4 = 2( n/4) 1. Now we have to nd n such that this probability is at least 0.95. . . .
    12

    5.26 Normal Probabilities

    2( n/4) 1 0.95 i

    ( n/4) 0.975 i n 1(0.975) = 1.96 4

    i n 61.47 or 62. So if you take the average of 62 observations, then X has a 95% chance of being within 1 of .
    13

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