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 the  HELM  Project  

HELM   (Helping   Engineers   Learn   Mathematics)   materials   were   the   outcome   of   a   three-­‐year   curriculum  
development  project  undertaken  by  a  consortium  of  five  English  universities  led  by  Loughborough  University,  
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and  Learning  for  the  period  October  2002  –  September  2005,  with  additional  transferability  funding  October  
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HELM  Workbooks  List  

1   Basic  Algebra   26   Functions  of  a  Complex  Variable  
2   Basic  Functions   27   Multiple  Integration  
3   Equations,  Inequalities  &  Partial  Fractions   28   Differential  Vector  Calculus  
4   Trigonometry   29   Integral  Vector  Calculus  
5   Functions  and  Modelling   30   Introduction  to  Numerical  Methods  
6   Exponential  and  Logarithmic  Functions   31   Numerical  Methods  of  Approximation  
7   Matrices   32   Numerical  Initial  Value  Problems  
8   Matrix  Solution  of  Equations   33   Numerical  Boundary  Value  Problems  
9   Vectors   34   Modelling  Motion  
10   Complex  Numbers   35   Sets  and  Probability  
11   Differentiation   36   Descriptive  Statistics  
12   Applications  of  Differentiation   37   Discrete  Probability  Distributions  
13   Integration   38   Continuous  Probability  Distributions  
14   Applications  of  Integration  1   39   The  Normal  Distribution  
15   Applications  of  Integration  2   40   Sampling  Distributions  and  Estimation  
16   Sequences  and  Series   41   Hypothesis  Testing  
17   Conics  and  Polar  Coordinates   42   Goodness  of  Fit  and  Contingency  Tables  
18   Functions  of  Several  Variables   43   Regression  and  Correlation  
19   Differential  Equations   44   Analysis  of  Variance  
20   Laplace  Transforms   45   Non-­‐parametric  Statistics  
21   z-­‐Transforms   46   Reliability  and  Quality  Control  
22   Eigenvalues  and  Eigenvectors   47   Mathematics  and  Physics  Miscellany  
23   Fourier  Series   48   Engineering  Case  Study  
24   Fourier  Transforms   49   Student’s  Guide  
25   Partial  Differential  Equations   50   Tutor’s  Guide  
 
©  Copyright    Loughborough  University,  2015
 
 
 
Production  of  this  2015  edition,  containing  corrections  and  minor  
revisions  of  the  2008  edition,  was  funded  by  the  sigma  Network.    

 
 
 
Contents 39
The Normal Distribution

39.1 The Normal Distribution 2

39.2 The Normal Approximation to the Binomial Distribution 26
39.3 Sums and Differences of Random Variables 34

Learning outcomes
In a previous Workbook you learned what a continuous random variable was. Here you
will examine the most important example of a continuous random variable: the normal
distribution. The probabilities of the normal distribution have to be determined numerically.
Tables of such probabilities, which refer to a simplified normal distribution called the
standard normal distribution, which has mean 0 and variance 1, will be used to determine
probabilities of the general normal distribution. Finally you will learn how to deal with
combinations of random variables which is an important statistical tool applicable to many
engineering situations.
The Normal  

Distribution 39.1 

Introduction
Mass-produced items should conform to a specification. Usually, a mean is aimed for but due to
random errors in the production process a tolerance is set on deviations from the mean. For example
if we produce piston rings which have a target mean internal diameter of 45 mm then realistically
we expect the diameter to deviate only slightly from this value. The deviations from the mean value
are often modelled very well by the normal distribution. Suppose we decide that diameters in the
range 44.95 mm to 45.05 mm are acceptable, then what proportion of the output is satisfactory? In
this Section we shall see how to use the normal distribution to answer questions like this.

 
• be familiar with the basic properties of
Prerequisites probability
Before starting this Section you should . . . • be familiar with continuous random variables

' 
$
• recognise the shape of the frequency curve
for the normal distribution and the standard
normal distribution
Learning Outcomes
• calculate probabilities using the standard
On completion you should be able to . . . normal distribution

• recognise key areas under the frequency curve

& %

2 HELM (2015):
Workbook 39: The Normal Distribution
 ®

1. The normal distribution

The normal distribution is the most widely used model for the distribution of a random variable. There
is a very good reason for this. Practical experiments involve measurements and measurements involve
errors. However you go about measuring a quantity, inaccuracies of all sorts can make themselves
felt. For example, if you are measuring a length using a device as crude as a ruler, you may find
errors arising due to:
• the calibration of the ruler itself;
• parallax errors due to the relative positions of the object being measured, the ruler and your eye;
• rounding errors;
• ‘guesstimation’ errors if a measurement is between two marked lengths on the ruler.

• mistakes.
If you use a meter with a digital readout, you will avoid some of the above errors but others, often
present in the design of the electronics controlling the meter, will be present. Errors are unavoidable
and are usually the sum of several factors. The behaviour of variables which are the sum of several
other variables is described by a very important and powerful result called the Central Limit Theorem
which we will study later in this Workbook. For now we will quote the result so that the importance
of the normal distribution will be appreciated.

The central limit theorem

Let X be the sum of n independent random variables Xi , i = 1, 2, . . . n each having a distribution
with mean µi and variance σi2 (σi2 < ∞), respectively, then the distribution of X has expectation
and variance given by the expressions
n
X n
X
E(X) = µi and V(X) = σi2
i=1 i=1

and becomes normal as n → ∞.

Essentially we are saying that a quantity which represents the combined effect of a number of variables
will be approximately normal no matter what the original distributions are provided that σ 2 < ∞.
This statement is true for the vast majority of distributions you are likely to meet in practice. This
is why the normal distribution is crucially important to engineers. A quotation attributed to Prof.
G. Lippmann, (1845-1921, winner of the Nobel prize for Physics in 1908) ‘Everybody believes on
the law of errors, experimenters because they think it is a mathematical theorem andmathematicians
because they think it is an experimental fact.’
You may think that anything you measure follows an approximate normal distribution. Unfortunately
this is not the case. While the heights of human beings follow a normal distribution, weights do
not. Heights are the result of the interaction of many factors (outside one’s control) while weights
principally depend on lifestyle (including how much and what you eat and drink!) In practice, it is
found that weight is skewed to the right but that the square root of human weights is approximately
normal.

HELM (2015): 3
Section 39.1: The Normal Distribution
The probability density function of a normal distribution with mean µ and variance σ 2 is given by
the formula
1 2 2
f (x) = √ e−(x−µ) /2σ
σ 2π
This curve is always bell-shaped with the centre of the bell located at the value of µ. See Figure
1. The height of the bell is controlled by the value of σ. As with all normal distribution curves it is
symmetrical about the centre and decays as x → ±∞. As with any probability density function the
area under the curve is equal to 1.

y 1 (x−μ)2
y = √ e− 2σ2
σ 2π

μ x

Figure 1
A normal distribution is completely defined by specifying its mean (the value of µ) and its variance
(the value of σ 2 .) The normal distribution with mean µ and variance σ 2 is written N (µ, σ 2 ). Hence
the distribution N (20, 25) has a mean of 20 and a standard deviation of 5; remember that the second
parameter is the variance which is the square of the standard deviation.

Key Point 1
A normal distribution has mean µ and variance σ 2 . A random variable X following this distribution
is usually denoted by N (µ, σ 2 ) and we often write

X ∼ N (µ, σ 2 )

Clearly, since µ and σ 2 can both vary, there are infinitely many normal distributions and it is impossible
to give tabulated information concerning them all.
For example, if we produce piston rings which have a target mean internal diameter of 45 mm then
we may realistically expect the actual diameter to deviate from this value. Such deviations are well-
modelled by the normal distribution. Suppose we decide that diameters in the range 44.95 mm to
45.05 mm are acceptable, we may then ask the question ‘What proportion of our manufactured
output is satisfactory?’
Without tabulated data concerning the appropriate normal distribution we cannot easily answer this
question (because the integral used to calculate areas under the normal curve is intractable.)
Since tabulated data allow us to apply the distribution to a wide variety of statistical situations, and
we cannot tabulate all normal distributions, we tabulate only one - the standard normal distribution
- and convert all problems involving the normal distribution into problems involving the standard
normal distribution.

4 HELM (2015):
Workbook 39: The Normal Distribution
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2. The standard normal distribution

At this stage we shall, for simplicity, consider what is known as a standard normal distribution which
is obtained by choosing particularly simple values for µ and σ.

Key Point 2
The standard normal distribution has a mean of zero and a variance of one.

In Figure 2 we show the graph of the standard normal distribution which has probability density
1 2
function y = √ e−x /2
2π
y
1 2
y=√ e−x /2
2π

0 x
Figure 2: The standard normal distribution curve

The result which makes the standard normal distribution so important is as follows:

Key Point 3
If the behaviour of a continuous random variable X is described by the distribution N (µ, σ 2 ) then
X −µ
the behaviour of the random variable Z = is described by the standard normal distribution
σ
N (0, 1).
We call Z the standardised normal variable and we write
Z ∼ N (0, 1)

HELM (2015): 5
Section 39.1: The Normal Distribution
 Example 1
If the random variable X is described by the distribution N (45, 0.000625) then
what is the transformation required to obtain the standardised normal variable?

Solution
Here, µ = 45 and σ 2 = 0.000625 so that σ = 0.025. Hence Z = (X − 45)/0.025 is the required
transformation.

Example 2
When the random variable X ∼ N (45, 0.000625) takes values between 44.95 and
45.05, between which values does the random variable Z lie?

Solution
45.05 − 45
When X = 45.05, Z = =2
0.025
44.95 − 45
When X = 44.95, Z = = −2
0.025
Hence Z lies between −2 and 2.

Task
The random variable X follows a normal distribution with mean 1000 and variance
100. When X takes values between 1005 and 1010, between which values does
the standardised normal variable Z lie?

Your solution

Answer
X − 1000
The transformation is Z = .
10
5
When X = 1005, Z = = 0.5
10
10
When X = 1010, Z = = 1.
10
Hence Z lies between 0.5 and 1.

6 HELM (2015):
Workbook 39: The Normal Distribution
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3. Probabilities and the standard normal distribution

Since the standard normal distribution is used so frequently a table of values has been produced to
help us calculate probabilities - located at the end of the Workbook. It is based upon the following
diagram:

0 z1

Figure 3

Since the total area under the curve is equal to 1 it follows from the symmetry in the curve that
the area under the curve in the region Z > 0 is equal to 0.5. In Figure 3 the shaded area is the
probability that Z takes values between 0 and z1 . When we ‘look-up’ a value in the table we obtain
the value of the shaded area.

Example 3
What is the probability that Z takes values between 0 and 1.9? (Refer to the table
of normal probabilities at the end of the Workbook.)

Solution
The row beginning ‘1.9’ and the column headed ‘0’ is the appropriate choice and its entry is 4713.
This is to be read as 0.4713 (we omitted the ‘0.’ in each entry for clarity.) The interpretation is
that the probability that Z takes values between 0 and 1.9 is 0.4713.

Example 4
What is the probability that Z takes values between 0 and 1.96?

Solution
This time we want the row beginning 1.9 and the column headed ‘6’.
The entry is 4750 so that the required probability is 0.4750.

HELM (2015): 7
Section 39.1: The Normal Distribution
 Example 5
What is the probability that Z takes values between 0 and 1.965?

Solution
There is no entry corresponding to 1.965 so we take the average of the values for 1.96 and 1.97.
(This linear interpolation is not strictly correct but is acceptable.)
The two values are 4750 and 4756 with an average of 4753. Hence the required probability is 0.4753.

Task
What are the probabilities that Z takes values between
(a) 0 and 2 (b) 0 and 2.3 (c) 0 and 2.33 (d) 0 and 2.333?

Your solution

Answer
(a) The entry is 4772; the probability is 0.4772.
(b) The entry is 4893; the probability is 0.4893.
(c) The entry is 4901; the probability is 0.4901.
(d) The entry for 2.33 is 4901, that for 2.34 is 4904.
Linear interpolation gives a value of 4901 + 0.3(4904 − 4901) i.e. about 4902; the
probability is 0.4902.

Note from Table 1 that as Z increases from 0 the entries increase, rapidly at first and then more
slowly, toward 5000 i.e. a probability of 0.5. This is consistent with the shape of the curve.
After Z = 3 the increase is quite slow so that we tabulate entries for values of Z rising by increments
of 0.1 instead of 0.01 as in the rest of Table 1.

8 HELM (2015):
Workbook 39: The Normal Distribution
 ®

4. Calculating other probabilities

In this Section we see how to calculate probabilities represented by areas other than those of the type
shown in Figure 3.

Case 1
Figure 4 illustrates what we do if both Z values are positive. By using the properties of the standard
normal distribution we can organise matters so that any required area is always of ‘standard form’.

Here the shaded region can be represented

by the difference between two shaded areas.

0 z1 z2

0 z2 0 z1

Figure 4

Example 6
Find the probability that Z takes values between 1 and 2.

Solution
Using Table 1:
P(0 < Z < z2 ) i.e. P(0 < Z < 2) = 0.4772
P(0 < Z < z1 ) i.e. P(0 < Z < 1) = 0.3413.
Hence P(1 < Z < 2) = 0.4772 − 0.3413 = 0.1359
Remember that with a continuous distribution, P(Z = 1) is meaningless (will have zero probability)
so that P(1 ≤ Z ≤ 2) is interpreted as P(1 < Z < 2).

HELM (2015): 9
Section 39.1: The Normal Distribution
Case 2
The following diagram illustrates the procedure to be followed when finding probabilities of the form
P(Z > z1 ).

This time the shaded area is the difference

between the right-hand half of the total
area and an area which can be read off
from Table 1.
0 z1

area 0.5

0 0 z1

Figure 5

Example 7
What is the probability that Z > 2?

Solution
P(0 < Z < 2) = 0.4772 (from Table 1). Hence the probability is 0.5 − 0.4772 = 0.0228.

Case 3
Here we consider the procedure to be followed when calculating probabilities of the form P(Z < z1 ).
Here the shaded area is the sum of the left-hand half of the total area and a ‘standard’ area.

0 z1
area 0.5

0 0 z1

Figure 6

10 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Example 8
What is the probability that Z < 2?

Solution
P(Z < 2) = 0.5 + 0.4772 = 0.9772.

Case 4
Here we consider what needs to be done when calculating probabilities of the form
P(−z1 < Z < 0) where z1 is positive. This time we make use of the symmetry in the standard
normal distribution curve.

−z1 0

By symmetry this shaded area is equal in value

to the one above.
0 z1

Figure 7

Example 9
What is the probability that −2 < Z < 0?

Solution
The area is equal to that corresponding to P(0 < Z < 2) = 0.4772.

HELM (2015): 11
Section 39.1: The Normal Distribution
Case 5
Finally we consider probabilities of the form P(−z1 < Z < z2 ). Here we use the sum property and
the symmetry property.

−z2 0 z1

0 z2 0 z1

Figure 8

Example 10
What is the probability that −1 < Z < 2?

Solution
P(−1 < Z < 0) = P(0 < Z < 1) = 0.3413
P(0 < Z < 2) = 0.4772

Hence the required probability P(−1 < Z < 2) is 0.8185.

Other cases can be handed by a combination of the ideas already used.

12 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Task
Find the following probabilities.
(a) P(0 < Z < 1.5) (b) P(Z > 1.8)
(c) P(1.5 < Z < 1.8) (d) P(Z < 1.8)
(e) P(−1.5 < Z < 0) (f) P(Z < −1.5)
(g) P(−1.8 < Z < −1.5) (h) P(−1.5 < Z < 1.8)
(A simple sketch of the standard normal curve will help.)

Your solution

Answer
(a) 0.4332 (direct from Table 1)
(b) 0.5 − 0.4641 = 0.0359
(c) P(0 < Z < 1.8) − P(0 < Z < 1.5) = 0.4641 − 0.4332 = 0.0309
(d) 0.5 + 0.4641 = 0.9641
(e) P(−1.5 < Z < 0) = P(0 < Z < 1.5) = 0.4332
(f) P(Z < −1.5) = P(Z > 1.5) = 0.5 − 0.4332 = 0.0668
(g) P(−1.8 < Z < −1.5) = P(1.5 < Z < 1.8) = 0.0309
(h) P(0 < Z < 1.5) + P(0 < Z < 1.8) = 0.8973

HELM (2015): 13
Section 39.1: The Normal Distribution
5. The cumulative distribution function
We know that the normal probability density function f (x) is given by the formula
1 2 2
f (x) = √ e−(x−µ) /2σ
σ 2π
and so the cumulative distribution function F (x) is given by the formula
Z x
1 2 2
F (x) = √ e−(u−µ) /2σ du
σ 2π −∞
In the case of the cumulative distribution for the standard normal curve, we use the special notation
Φ(z) and, substituting 0 and 1 for µ and σ 2 , we obtain
Z z
1 2
Φ(z) = √ e−u /2 du
2π −∞
The shape of the curve is essentially ‘S’ -shaped as shown in Figure 9. Note that the curve runs
from −∞ to +∞ . As you can see, the curve approaches the value 1 asymptotically.

Φ(z)
1

−2 −1 0 1 2 z

Figure 9
Comparing the integrals
Z x z
1 1
Z
2 2 2 /2
F (x) = √ e−(u−µ) /2σ du and Φ(z) = √ e−v dv
σ 2π −∞ 2π −∞

shows that
u−µ du
v= and so dv =
σ σ
and F (x) may be written as
Z (x−µ)/σ
1 2
F (x) = √ e−v /2 σdv
σ 2π −∞
Z (x−µ)/σ
1 2 x−µ
=√ e−v /2 dv = Φ( )
2π −∞ σ
We already know, from the basic definition of a cumulative distribution function, that
P(a < X < b) = F (b) − F (a)
so that we may write the probability statement above in terms of Φ(z) as
b−µ a−µ
P(a < X < b) = F (b) − F (a) = Φ( ) − Φ( ).
σ σ

14 HELM (2015):
Workbook 39: The Normal Distribution
 ®

The value of Φ(z) is measured from z = −∞ to any ordinate z = z1 and represents the probability
P(Z < z1 ).
The values of Φ(z) start as shown below:
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 .5000 5040 5080 5120 5160 5199 5239 5279 5319 5359
0.1 .5398 5438 5478 5517 5577 5596 5636 5675 5714 5753
0.2 .5793 5832 5871 5909 5948 5987 6026 6064 6103 6141
You should compare the values given here with the values given for the normal probability integral
(Table 1 at the end of the Workbook). Simply adding 0.5 to the values in the latter table gives the
values of Φ(z). You should also note that the diagrams shown at the top of each set of tabulated
values tells you whether you are looking at the values of Φ(z) or the values of the normal probability
integral.

Exercises
1. If a random variable X has a standard normal distribution find the probability that it assumes
a value:
(a) less than 2.00

(b) greater than 2.58

(c) between 0 and 1.00

(d) between −1.65 and −0.84

2. If X has a standard normal distribution find k in each of the following cases:

(a) P(X < k) = 0.4

(b) P(X < k) = 0.95

(c) P(0 < X < k) = 0.1

Answers
1 (a) 0.9772 (b) 0.0049 (c) 0.3413 (d) 0.1510
2 (a) −0.2533 (b) 1.6450 (c) 0.2533

HELM (2015): 15
Section 39.1: The Normal Distribution
6. Applications of the normal distribution
We have, in the previous subsection, noted that the probability density function of a normal distri-
bution X is
1 −(x−µ)2
y = √ e 2σ2
σ 2π
This curve is always ‘bell-shaped’ with the centre of the bell located at the value of µ. The height
of the bell is controlled by the value of σ. See Figure 10.

y 1 (x−μ)2
y = √ e− 2σ2
σ 2π

μ x

Figure 10
We now show, by example, how probabilities relating to a general normal distribution X are deter-
mined. We will see that being able to calculate the probabilities of a standard normal distribution Z
is crucial in this respect.

Example 11
Given that the variate X follows the normal distribution X ∼ N (151, 152 ), calcu-
late:
(a) P(120 ≤ X ≤ 155); (b) P(X ≥ 185)

Solution
X −µ X − 151
The transformation used in this problem is Z = =
σ 15
(a)
120 − 151 155 − 151
P(120 ≤ X ≤ 155) = P( ≤Z≤ )
15 15
= P(−2.07 ≤ Z ≤ 0.27)
= 0.4808 + 0.1064 = 0.5872

(b) 185 − 151

P(X ≥ 185) = P(Z ≥ )
15
= P(Z ≥ 2.27)
= 0.5 − 0.4884 = 0.0116

We note that, as for any continuous random variable, we can only calculate the probability that
• X lies between two given values;
• X is greater than a given value;
• X is less that a given value.
rather than for individual values.

16 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Task
A worn, poorly set-up machine is observed to produce components whose length
X follows a normal distribution with mean 20 cm and variance 2.56 cm Calculate:
(a) the probability that a component is at least 24 cm long;
(b) the probability that the length of a component lies between 19 and 21 cm.

Your solution

Answer
X − 20
The transformation used is Z = giving
1.6
24 − 20
P(X ≥ 24) = P(Z ≥ ) = P(Z ≥ 2.5) = 0.5 − 0.4938 = 0.0062
1.6
and
19 − 20 21 − 20
P(19 < X < 21) = P( <Z< ) = P(−0.625 < Z < 0.625) = 0.4681
1.6 1.6

HELM (2015): 17
Section 39.1: The Normal Distribution
 Example 12
Piston rings are mass-produced. The target internal diameter is 45 mm
but records show that the diameters are normally distributed with mean 45
mm and standard deviation 0.05 mm. An acceptable diameter is one within
the range 44.95 mm to 45.05 mm. What proportion of the output is unacceptable?

Solution
There are many words in the statement of the problem; we must read them carefully to extract the
necessary information. If X is the diameter of a piston ring then X ∼ N (45, (0.05)2 ).
X −µ X − 45
The transformation is Z = = .
σ 0.05
The upper limit of acceptability is x2 = 45.05 so that z2 = (45.05 − 45)/0.05 = 1.
The lower limit of acceptability is x1 = 44.95 so that z1 = (44.95 − 45)/0.05 = −1.
The range of ‘acceptable’ Z values is therefore −1 to 1. Figure 11 below.

−1 0 +1 z

Figure 11
Using the symmetry of the curves P(−1 < Z < 1) = 2 × P(0 < Z < 1) = 2 × 0.3413 = 0.6826.
Thus the proportion of unacceptable items is 1 − 0.6826 = 0.3174, or 31.74%.

18 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Example 13
If the standard deviation is halved by improved production practices what is now
the proportion of unacceptable items?

Solution
Now σ = 0.025 so that:
45.05 − 45
z2 = =2 and z1 = −2
0.025
Then P(−2 < Z < 2) = 2 × P(0 < Z < 2) = 2 × 0.4772 = 0.9544. Hence the proportion of
unacceptable items is reduced to 1 − 0.9544 = 0.0456 or 4.56%.
We observe that less of the area under the curve now lies outside the interval (44.95, 45.05).

−2 2

Figure 12

Task
The resistance of a strain gauge is normally distributed with a mean of 100 ohms
and a standard deviation of 0.2 ohms. To meet the specification, the resistance
must be within the range 100 ± 0.5 ohms.
(a) What percentage of gauges are unacceptable?

First, state the upper and lower limits of acceptable resistance and find the Z−values which corre-
spond:
Your solution

Answer
X − 100
(0.2)2 = 0.04

x1 = 99.5, x2 = 100.5 Z= so that z1 = −2.5 and z2 = 2.5
0.2

HELM (2015): 19
Section 39.1: The Normal Distribution
Now, using a suitable sketch, calculate the probability that z1 < Z < z2 :

Your solution

Answer

Here the shaded region can be represented

by the difference between two shaded areas.

0 z1 z2

0 z2 0 z1

The shaded area (see diagram) is 0.4938 (from the table of values on page 15). Using symmetry,

P(−2.5 < Z < 2.5) = 2 × 0.4938

= 0.9876.

Hence the proportion of acceptable gauges is 98.76%.

Therefore the proportion of unacceptable gauges is 1.24%.

(b) To what value must the standard deviation be reduced if the proportion of unacceptable gauges
is to be no more than 0.2%?

First sketch the standard normal curve marking on it the lower and upper values z1 and z2 and
appropriate areas:

20 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Your solution

Answer

This time the shaded area is the difference

between the right-hand half of the total
area and an area which can be read off
from Table 1.
0 z1

area 0.5

0 0 z1

Now use the Table to find z2 , and hence write down the value of z1 :
Your solution

Answer
z2 = 3.1 so that z1 = −3.1

X −µ
Finally, rewrite Z = to make σ the subject. Put in values for z2 , x2 and µ hence evaluate σ:
σ
Your solution

Answer
X −µ 100.5 − 100
σ= = = 0.16 (2 d.p.)
Z 3.1

HELM (2015): 21
Section 39.1: The Normal Distribution
7. Probability intervals - standard normal distribution
We use probability models to make predictions in situations where there is not sufficient data available
to make a definite statement. Any statement based on these models carries with it a risk of being
proved incorrect by events. Notice that the normal probability curve extends to infinity in both
directions. Theoretically any value of the normal random variable is possible, although, of course,
values far from the mean position (zero) are very unlikely.
Consider the diagram in Figure 13:

95%

−1.96 0 1.96

Figure 13
The shaded area is 95% of the total area. If we look at the entry in Table 1 (at the end of the
Workbook) corresponding to Z = 1.96 we see the value 4750. This means that the probability of
Z taking a value between 0 and 1.96 is 0.475. By symmetry, the probability that Z takes a value
between −1.96 and 0 is also 0.475. Combining these results we see that
P(−1.96 < Z < 1.96) = 0.95 or 95%
We say that the 95% probability interval for Z (about its mean of 0) is (−1.96, 1.96). It follows that
there is a 5% chance that Z lies outside this interval.

Task
Find the 99% probability interval for Z about its mean, i.e. the value of z1 in the
diagram:

99%
−z1 0 z1

The shaded area is 99% of the total area

First, note that 99% corresponds to a probability of 0.99. Find z1 such that
1
P(0 < Z < z1 ) = × 0.99 = 0.495 :
2
Your solution

22 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Answer
We look for a table value of 4950. The nearest we get is 4949 and 4951 corresponding to Z = 2.57
and Z = 2.58 respectively. We choose Z = 2.58.

Now quote the 99% probability interval:

Your solution

Answer
(−2.58, 2.58) or −2.58 < Z < 2.58.

Notice that the risk of Z lying outside this wider interval is reduced to 1%.

Task
Find the value of Z
(a) which is exceeded on 5% of occasions
(b) which is exceeded on 99% of occasions.

Your solution

Answer
(a) The value is z1 , where P(Z > z1 ) = 0.05. Hence P(0 < Z < z1 ) = 0.5 − 0.05 = 0.45 This
corresponds to a table entry of 4500. The nearest values are 4495 (Z = 1.64) and 4505 (Z = 1.65).
Hence the required value is Z1 = 1.65.
(b) Values less than z1 occur on 1% of occasions. By symmetry values greater than (−z1 ) occur
on 1% of occasions so that P(0 < z < −z1 ) = 0.49. The nearest table corresponding to 4900 is
4901 (Z = 2.33).
Hence the required value is z1 = −2.33.

HELM (2015): 23
Section 39.1: The Normal Distribution
8. Probability intervals - general normal distribution
We saw in subsection 3 that 95% of the area under the standard normal curve lay between z1 = −1.96
X −µ
and z2 = 1.96. Using the formula Z = in the re-arrangement X = µ + Zσ. We can see that
σ
95% of the area under the general normal curve lies between x1 = µ − 1.96σ and x2 = µ + 1.96σ.

95%

μ −1.96σ μ μ +1.96σ

Figure 14

Example 14
Suppose that the internal diameters of mass-produced pipes are normally dis-
tributed with mean 50 mm and standard deviation 2 mm. What are the 95%
probability limits on the internal diameter of a single pipe?

Solution
Here µ = 50 σ = 2 so that the 95% probability limits are
50 ± 1.96 × 2 = 50 ± 3.92mm
i.e. 46.08 mm and 53.92 mm.
The probability interval is (46.08, 53.92).

Task
What is the 99% probability interval for the lifetime of a bulb when the lifetimes
of such bulbs are normally distributed with a mean of 2000 hours and standard
deviation of 40 hours?

First sketch the standard normal curve marking the values z1 , z2 between which 99% of the area
under the curve is located:
Your solution

24 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Answer

−z1 0

By symmetry this shaded area is equal in value

to the one above.
0 z1

Now deduce the corresponding values x1 , x2 for the general normal distribution:
Your solution

Answer
x1 = µ − 2.58σ, x2 = µ + 2.58σ

Next, find the values for x1 and x2 for the given problem:
Your solution

Answer
x1 = 2000 − 2.58 × 40 = 1896.8 hours
x2 = 2000 + 2.58 × 40 = 2103.2 hours

Finally, write down the 99% probability interval for the lifetimes:
Your solution

Answer
(1896.8 hours, 2103.2 hours).

HELM (2015): 25
Section 39.1: The Normal Distribution
The Normal
Approximation to the  

Binomial Distribution 39.2 

Introduction
We have already seen that the Poisson distribution can be used to approximate the binomial distri-
bution for large values of n and small values of p provided that the correct conditions exist. The
approximation is only of practical use if just a few terms of the Poisson distribution need be calcu-
lated. In cases where many - sometimes several hundred - terms need to be calculated the arithmetic
involved becomes very tedious indeed and we turn to the normal distribution for help. It is possible,
of course, to use high-speed computers to do the arithmetic but the normal approximation to the
binomial distribution negates the necessity of this in a fairly elegant way. In the problem situations
which follow this introduction the normal distribution is used to avoid very tedious arithmetic while
at the same time giving a very good approximate solution.

#
• be familiar with the normal distribution and
the standard normal distribution
Prerequisites
Before starting this Section you should . . . • be able to calculate probabilities using the
standard normal distribution
"
' !
$
• recognise when it is appropriate to use the
normal approximation to the binomial
distribution

Learning Outcomes • solve problems using the normal

approximation to the binomial distribution.
On completion you should be able to . . .
• interpret the answer obtained using the
normal approximation in terms of the original
problem
& %

26 HELM (2015):
Workbook 39: The Normal Distribution
 ®

1. The normal approximation to the binomial distribution

A typical problem
An engineering professional body estimates that 75% of the students taking undergraduate engineer-
ing courses are in favour of studying of statistics as part of their studies. If this estimate is correct,
what is the probability that more than 780 undergraduate engineers out of a random sample of 1000
will be in favour of studying statistics?

Discussion
The problem involves a binomial distribution with a large value of n and so very tedious arithmetic
may be expected. This can be avoided by using the normal distribution to approximate the binomial
distribution underpinning the problem.
If X represents the number of engineering students in favour of studying statistics, then
X ∼ B(1000, 0.75)
Essentially we are asked to find the probability that X is greater than 780, that is P(X > 780).
The calculation is represented by the following statement
P(X > 780) = P(X = 781) + P(X = 782) + P(X = 783) + · · · + P(X = 1000)
In order to complete this calculation we have to find all 220 terms on the right-hand side of the
expression. To get some idea of just how big a task this is when the binomial distribution is used,
imagine applying the formula
n(n − 1)(n − 2) . . . (n − r + 1)pr (1 − p)n−r
P(X = r) =
r(r − 1)(r − 2) . . . 3.2.1
220 times! You would have to take n = 1000, p = 0.75 and vary r from 781 to 1000. Clearly, the
task is enormous.
Fortunately, we can approximate the answer very closely by using the normal distribution with the
same mean and standard deviation as X ∼ B(1000, 0.75). Applying the usual formulae for µ and σ
we obtain the values µ = 750 and σ = 13.7 from the binomial distribution.
We now have two distributions, X ∼ B(1000, 0.75) and (say) Y ∼ N (750, 13.72 ). Remember
that the second parameter represents the variance. By doing the appropriate calculations, (this is
extremely tedious even for one term!) it can be shown that
P(X = 781) ≈ P(780.5 ≤ Y ≤ 781.5)
This statement means that the probability that X = 781 calculated from the binomial distribution
X ∼ B(1000, 0.75) can be very closely approximated by the area under the normal curve Y ∼
N (750, 13.72 ) between 780.5 and 781.5. This relationship is then applied to all 220 terms involved
in the calculation.

HELM (2015): 27
Section 39.2: The Normal Approximation to the Binomial Distribution
The result is summarised below:

P(X = 781) ≈ P(780.5 ≤ Y ≤ 781.5)

P(X = 782) ≈ P(781.5 ≤ Y ≤ 782.5)
..
.
P(X = 999) ≈ P(998.5 ≤ Y ≤ 999.5)
P(X = 1000) ≈ P(999.5 ≤ Y ≤ 1000.5)

By adding these probabilities together we get

P(X > 780) = P(X = 781) + P(X = 782) + · · · + P(X = 1000)
≈ P(780.5 ≤ Y ≤ 1000.5)
To complete the calculation we need only to find the area under the curve Y ∼ N (750, 13.72 ) between
the values 780.5 and 1000.5. This is far easier than completing the 220 calculations suggested by
the use of the binomial distribution.
Finding the area under the curve Y ∼ N (750, 13.72 ) between the values 780.5 and 1000.5 is easily
done by following the procedure used previously. The calculation, using the tables on page 15 and
working to three decimal places, is
780.5 − 750 1000.5 − 750
P(X > 780) ≈ P( ≤Z≤ )
13.7 13.7
= P(2.23 ≤ Z ≤ 18.28)
= P(Z ≥ 2.23)
= 0.013

Notes:

1. Since values as high as 18.28 effectively tell us to find the area to the right of 2.33 (the area
to the right of 18.28 is so close to zero as to make no difference) we have

P(Z ≥ 2.23) = 0.0129 ≈ 0.013

2. The solution given assumes that the original binomial distribution can be approximated by a
normal distribution. This is not always the case and you must always check that the following
conditions are satisfied before you apply a normal approximation. The conditions are:

• np > 5
• n(1 − p) > 5

You can see that these conditions are satisfied here.

28 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Task
A particular production process used to manufacture ferrite magnets used to op-
erate reed switches in electronic meters is known to give 10% defective magnets
on average. If 200 magnets are randomly selected, what is the probability that the
number of defective magnets is between 24 and 30?

Your solution

Answer
If X is the number of defective magnets then X ∼ B(200, 0.1) and we require
P(24 < X < 30) = P(25 ≤ X ≤ 29)
Now,
p √
µ = np = 200 × 0.1 = 20 and σ = np(1 − p) = 200 × 0.1 × 0.9 = 4.24
Note that np > 5 and n(1 − p) > 5 so that approximating X ∼ B(200, 0.1) by Y ∼ N (20, 4.242 )
is acceptable. We can approximate X ∼ B(200, 0.1) by the normal distribution Y ∼ N (20, 4.242 )
and use the transformation
Y − 20
Z= ∼ N (0, 1)
4.24
so that

P(25 ≤ X ≤ 29) ≈ P(24.5 ≤ Y ≤ 29.5)

24.5 − 20 29.5 − 20
= P( ≤Z≤ )
4.24 4.24
= P(1.06 ≤ Z ≤ 2.24)
= 0.4875 − 0.3554 = 0.1321

HELM (2015): 29
Section 39.2: The Normal Approximation to the Binomial Distribution
 Example 15
Overbooking of passengers on intercontinental flights is a common practice among
airlines. Aircraft which are capable of carrying 300 passengers are booked to carry
320 passengers. If on average 10% of passengers who have a booking fail to turn
up for their flights, what is the probability that at least one passenger who has a
booking will end up without a seat on a particular flight?

Solution
Let p = P(a passenger with a booking, fails to turn up) = 0.10.
Then: q = P(a passenger with a booking, turns up) = 1 − p = 1 − 0.10 = 0.9
Let X = number of passengers with a booking who turn up.
As there are 320 bookings, we are dealing with the terms of the binomial expansion of
320 × 319 318 2
(q + p)320 = q 320 + 320q 319 p + q p + · · · + p320
2!
Using this approach is too long to calculate by finding the values term by term. It is easier to switch
to the corresponding normal distribution, i.e. that which has the same mean and variance as the
binomial distribution above.
Mean = µ = 320 × 0.9 = 288
√
Variance = 320 × 0.9 × 0.1 = 28.8 so σ = 28.8 = 5.37
Hence, the corresponding normal distribution is given by Y ∼ N (288, 28.8)
300.5 − 288
So that, P(X > 300) ≈ P(Y ≥ 300.5) = P(Z ≥ ) = P(Z ≥ 2.33)
5.37
From Z-tables P(Z ≥ 2.33) = 0.0099.
NB. Continuity correction is needed when changing from the binomial, a discrete distribution, to
the normal, a continuous distribution.

30 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Exercises
1. The diameter of an electric cable is normally distributed with mean 0.8 cm and variance 0.0004
cm2 .

(a) What is the probability that the diameter will exceed 0.81 cm?
(b) The cable is considered defective if the diameter differs from the mean by more than
0.025 cm. What is the probability of obtaining a defective cable?

2. A machine packs sugar in what are nominally 2 cm kg bags. However there is a variation in
the actual weight which is described by the normal distribution.

(a) Previous records indicate that the standard deviation of the distribution is 0.02 cm kg
and the probability that the bag is underweight is 0.01. Find the mean value of the
distribution.
(b) It is hoped that an improvement to the machine will reduce the standard deviation while
allowing it to operate with the same mean value. What value standard deviation is needed
to ensure that the probability that a bag is underweight is 0.001?

3. Rods are made to a nominal length of 4 cm but in fact the length is a normally distributed
random variable with mean 4.01 cm and standard deviation 0.03. Each rod costs 6p to make
and may be used immediately if its length lies between 3.98 cm and 4.02 cm. If its length is
less than 3.98 cm the rod cannot be used but has a scrap value of 1p. If the length exceeds
4.02 cm it can be shortened and used at a further cost of 2p. Find the average cost per usable
rod.

4. A supermarket chain sells its ‘own-brand’ label instant coffee in packets containing 200 gm of
coffee granules. The packets are filled by a machine which is set to dispense fills of 200 gm If
fills are normally distributed, about a mean of 200 gm and with a standard deviation of 7 gm,
find the number of packets out of a consignment of 1,000 packets that:

(a) contain more than 215 gm

(b) contain less than 195 gm
(c) contain between 190 to 210 gm

The supermarket chain decides to withdraw all packets with less than a certain weight of coffee.
As a result, 40 packets which were in the consignment of 1,000 packets are withdrawn. What
is the weight at which the ‘line has been drawn’ ?

5. The time taken by a team to complete the assembly of an electrical component is found to
be normally distributed, about a mean of 110 minutes, and with a standard deviation of 10
minutes.

(a) Out of a group of 20 teams, how many will complete the assembly:

(i) within 95 minutes. (ii) in more than 2 hours.

(b) If the management decides to set a ‘cut off’ time such that 95% of the teams will have
completed the assembly on time, what time limit should be set?

HELM (2015): 31
Section 39.2: The Normal Approximation to the Binomial Distribution
Answers
1. X ∼ N (0.8, 0.0004)
 
0.81 − 0.8
(a) P(X > 0.81) = P Z >
0.02
= P(Z > 0.5) = 0.5 − P(0 < Z < 0.5) = 0.5 − 0.1915 = 0.3085
(b) P[(X > 0.825) ∪ (X < 0.785)] = 2P(X > 0.825)
 
0.025
= 2P Z > = 2P(Z > 1.25)
0.02

= 2[−P(0 < Z < 1.25) + 0.5] = 2[−0.3944 + 0.5] = 0.2112

 
2−µ
2. (a) σ = 0.02, P(X < 2) = 0.01 We need to find µ from P Z < = 0.01.
0.02
 
µ−2 µ−2
∴ 0.05 − P 0 < Z < = 0.01 ∴ = 2.33 ∴ µ = 2.0466
0.02 0.02
(b) Now we require σ such that P(X < 2) = 0.001 with µ = 2.0466
 
0.0466
i.e. 0.5 − P 0 < Z < = 0.001
σ
 
0.0466 0.0466
∴ P 0<Z< = 0.499 ∴ = 3.1 ∴ σ = 0.015
σ σ
3. L ∼ N (4.01, (0.03)2 )
Cost has 2 possible values per usable rod: 6p, 8p.
   
4.01 − 3.98 4.02 − 4.01
P(C = 6) = P(3.98 < L < 4.02) = P 0 < Z < +P 0<Z <
0.03 0.03
= P(0 < Z < 1) + P(0 < Z < 0.333) = 0.3413 + 0.1305 = 0.4718
P(C = 8) = P(L > 4.02) = P(Z > 0.333) = 0.5 − P(0 < Z < 0.333) = 0.3695
For every 100 rods produced:
Total
36.95 are usable after shortening costing 8p each 295.6
47.18 are immediately usable costing 6p each 283.08
15.87 are scrap costing 5p each 79.35
283.08 + 295.6 + 79.35
Average cost per usable rod = = 7.82
84.13

32 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Answers
4. Let X = the amount of coffee in a fill; then X ∼ N (200, 7)
215.0 − 200.0
(a) P(X > 215) = P(Z > ) = P(Z > 2.14) = 0.016 from Z-tables.
7.0
Hence, from a consignment of 1000 packets, the number containing more than

215 gm = 1000 × 0.016 = 16

195.0 − 200.0
(b) P(X < 195) = P(Z < = P(Z < −0.714) = 0.2389 from Z-tables.
7.0
Hence, from a consignment of 1000 packets, the number containing less than

195 gm = 1000 × 0.2389 = 238.9

(c)
190.0 − 200.0 210.0 − 200.0
P(190.0 < X < 210.0) = P( <Z< )
7.0 7
= P(−1.43 < Z < 1.43) = 0.8472 from Z-tables.

Hence, from a consignment of 1000 packets, the number containing between

190 gm and 210 gm = 1000 × 0.8472 = 847

40
If 40 out of the 1000 packets are withdrawn, then P(sub-standard packet) = = 0.04.
1000
Let k be the limit below which packets are sub-standard, then P(X < k) = 0.04
From Z-tables, Z = −1.75 as we are dealing with ‘less than’ i.e. the ‘left-hand’ part of the
standard normal distribution curve.
k − 200.0
Hence, = −1.75 i.e. k = −1.75(7) + 200.0 = 187.75
7
‘Line drawn’ at 188 gm; any packet below this value to be withdrawn.
5. Let X be the time taken to assemble the component; then X ∼ N (110, 10)
95.0 − 110.0
(a) P(X < 95) = P(Z < ) = P(Z < −1.5) = 1 − 0.9332 = 0.0668 from
10.0
Z-tables

Hence, from a group of 20 teams, the number completing the assembly within

95 minutes = 20 × 0.0668 = 1.336 so the number of teams is 1.

120.0 − 110.0
(b) P(X > 120) = P(Z > ) = P(Z > 1.0) = 0.1587 from Z-tables
10.0
Hence, from a group of 20 teams, the number completing the assembly in more than

2 hours = 20 × 0.1587 = 3.174 so the number of teams is 3.

If 95% of teams are to complete the assembly ‘on time’, then 5% take longer than the set time,
k, and P(X > k) = 0.05 hence, Z = 1.64
k − 110.0
Therefore, = 1.64 or, k = 10(1.64) + 110.0 = 126.4 minutes.
10.0
HELM (2015): 33
Section 39.2: The Normal Approximation to the Binomial Distribution
Sums and
Differences of  

Random Variables 39.3 

Introduction
In some situations, it is possible to easily describe a problem in terms of sums and differences of
random variables. Consider a typical situation in which shafts are fitted to cylindrical sleeves. One
random variable is used to describe the variability of the diameter of the shaft, and one is used to
describe the variability of the sleeves. Clearly, we need to know how the total variability involved
affects the fitting of shafts and sleeves. In this Section, we will confine ourselves to cases where the
random variables are normally distributed and independent.

 
• be familiar with the results and concepts met
Prerequisites in the study of probability
Before starting this Section you should . . . • be familiar with the normal distribution

' 
$
• describe a variety of problems in terms of
sums and differences of normal random
Learning Outcomes variables
On completion you should be able to . . . • solve problems described in terms of sums
and differences of normal random variables
& %

34 HELM (2015):
Workbook 39: The Normal Distribution
 ®

1. Sums and differences of random variables

In some situations, we can specify a problem in terms of sums and differences of random variables.
Here we confine ourselves to cases where the random variables are normally distributed. Typical
situations may be understood by considering the following problems.

Problem 1
In a certain mass-produced assembly, a 3 cm shaft must slide into a cylindrical sleeve. Shafts are man-
ufactured whose diameter S follows a normal distribution S ∼ N (3, 0.0042 ) and cylindrical sleeves
are manufactured whose internal diameter C follows a normal distribution C ∼ N (3.010, 0.0032 ).
Assembly is performed by selecting a shaft and a cylindrical sleeve at random. In what proportion of
cases will it be impossible to fit the selected shaft and cylindrical sleeve together?

Discussion
Clearly, the shaft and cylindrical sleeve will fit together only if the diameter of the shaft is smaller than
the internal diameter of the cylindrical sleeve. We need the difference of the two random variables
C and S to be greater than zero. We can take the difference C − S and find its distribution. Once
we do this we can then ask the question ”What is the probability that the inside diameter of the
cylindrical sleeve is greater than the outside diameter of the shaft, i.e. what is P(C − S > 0)?”
Essentially we are trying to ensure that the internal diameter of the cylindrical sleeve is larger than
the external diameter of the shaft.

Problem 2
A manufacturer produces boxes of woodscrews containing a variety of sizes for a local DIY store. The
weight W (in kilograms) of boxes of woodscrews manufactured is a normal random variable following
the distribution W ∼ N (1.01, 0.004). Note that 0.004 is the variance. Find the probability that a
customer who selects two boxes of screws at random finds that their combined weight is greater than
2.03 kilograms.

Discussion
In this problem we are looking at the effects of adding two random variables together. Since all
boxes are assumed to have weights W which follow the distribution W ∼ N (1.01, 0.004), we are
considering the effect of adding the random variable W to itself. In general, there is no reason why
we cannot combine variables W1 ∼ N (µ1 , σ12 ) and W2 ∼ N (µ2 , σ22 ). This might happen if the DIY
store bought in two similar products from two different manufacturers.

Before we can solve such problems, we need to obtain some results concerning the behaviour of
random variables.

Functions of several random variables

Note that we shall quote results only for the continuous case. The results for the discrete case
are similar with integration replaced by summation. We will omit the mathematics leading to these
results.

HELM (2015): 35
Section 39.3: Sums and Differences of Random Variables
 Key Point 4

• If X1 , X2 , · · · + Xn are n random variables then

E(X1 + X2 + · · · + Xn ) = E(X1 ) + E(X2 ) + . . . E(Xn )
• If X1 , X2 , . . . Xn are n independent random variables then
V(X1 + X2 + · · · + Xn ) = V(X1 ) + V(X2 ) + · · · + V(Xn )
and more generally
V(X1 ± X2 ± · · · ± Xn ) = V(X1 ) + V(X2 ) + · · · + V(Xn )

Example 16
Solve Problem 1 from the previous page. You may assume that the sum and
difference of two normal random variables are themselves normal.

Solution
Consider the random variable C − S. Using the results above we know that
C − S ∼ N (3.010 − 3.0, 0.0042 + 0.0032 ) i.e, C − S ∼ N (0.01, 0.0052 )
0 − 0.01
Hence P(C − S > 0) = P(Z > = −2) = 0.9772
0.005
This result implies that in 2.28% of cases it will be impossible to fit the shaft to the sleeve.

Task
Solve Problem 2 from the previous page. You may assume that the sum and
difference of two normal random variables are themselves normal.

Your solution

36 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Answer
If W12 is the random variable representing the combined weight of the two boxes then
W12 ∼ N (2.02, 0.008)
Hence
2.03 − 2.02
P(W12 > 2.03) = P(Z > √ = 0.1118) = 0.5 − 0.0445 = 0.4555
0.008
The result implies that the customer has about a 46% chance of finding that the weight of the two
boxes combined is greater than 2.03 kilograms.

Exercises
1. Batteries of type A have mean voltage 6.0 (volts) and variance 0.0225 (volts2 ). Type B
batteries have mean voltage 12.0 and variance 0.04. If we form a series connection containing
one of each type what is the probability that the combined voltage exceeds 17.4?

2. Nuts and bolts are made separately and paired at random. The nuts’ diameters, in mm, are
independently N (10, 0.02) and the bolts’ diameters, in mm, are independently N (9.5, 0.02).
Find the probability that a bolt is too large for its nut.

3. Certain cutting tools have lifetimes, in hours, which are independent and normally distributed
with mean 300 and variance 10000.

(a) Find the probability that

(i) the total life of three tools is more than 1000 hours.
(ii) the total life of four tools is more than 1000 hours.
(b) In a factory each tool is replaced when it fails. Find the probability that exactly four tools
are needed to accumulate 1000 hours of use.
(c) Explain why the first sentence in this question can only be approximately, not exactly,
true.

4. A firm produces articles whose length, X, in cm, is normally distributed with nominal mean
µ = 4 and variance σ 2 = 0.1. From time to time a check is made to see whether the value
of µ has changed. A sample of ten articles is taken, the lengths are measured, the sample
mean length X̄ is calculated, and the process is adjusted if X̄ lies outside the range (3.9, 4.1).
Determine the probability, α, that the process is adjusted as a result of a sample taken when
µ = 4. Find the smallest sample size n which would make α ≤ 0.05.

HELM (2015): 37
Section 39.3: Sums and Differences of Random Variables
Answers

1. XA ∼ N (6, 0.0225) XB ∼ N (12, 0.04)

Series X = XA + XB ∼ N (18, 0.0625) as variances always add
   
−0.6 0.6
P (X > 17.4) = P Z > = 0.5 + P 0 < Z <
0.25 0.25

= 0.5 + P(0 < Z < 2.4) = 0.5 + 0.4918 = 0.9918

2. Let the diameter of a nut be N. Let the diameter of a bolt be B. A bolt is too large for its
nut if N − B < 0.

E(N − B) = 10 − 9.5 = 0.5

V(N − B) = 0.02 + 0.02 = 0.04
N − B ∼ N (0.5, 0.04)
 
N − B − 0.5 0 − 0.5
P(N − B < 0) = P < = P(Z < −2.5)
0.2 0.2
= Φ(−2.5) = 1 − Φ(2.5) = 1 − 0.99379
= 0.00621.

The probability that a bolt is too large for its nut is 0.00621.

3. (a) Let the lifetime of tool i be Ti .

(i) E(T1 + T2 + T3 ) = 900

V(T1 + T2 + T3 ) = 30000
(T1 + T2 + T3 ) ∼ N (900, 30000)
 
T1 + T2 + T3 − 900
P(T1 + T2 + T3 > 1000) = P √ = P(Z > 0.57735)
30000
= 1 − Φ(0.57735) = 1 − 0.7181 = 0.2819

(ii) E(T1 + T2 + T3 + T4 ) = 1200

V(T1 + T2 + T3 + T4 ) = 40000
(T1 + T2 + T3 + T4 ) ∼ N (1200, 40000)
 
T1 + T2 + T3 + T4 − 1200 1000 − 1200
P(T1 + T2 + T3 + T4 > 1000) = P √ > √
40000 40000
= P(Z > −1)
= 1 − Φ(−1) = Φ(1) = 0.8413

38 HELM (2015):
Workbook 39: The Normal Distribution
 ®

Answers
(b) Let the number of tools needed be N.

P(N ≤ 3) = P(N = 1) + P(N = 2) + P(N = 3)

= P(T1 + T2 + T3 > 1000) = 0.2819
P(N ≤ 4) = P(N = 1) + P(N = 2) + P(N = 3) + P(N = 4)
= P(T1 + T2 + T3 + T4 > 1000) = 0.8413.

Hence P(N = 4) = P(N ≤ 4) − P(N ≤ 3) = 0.8413 − 0.2819 = 0.5594.

(c) Lifetimes can not be negative. The normal distribution assigns non-zero probability density
to negative values so it can only be an approximation in this case.
4.

X ∼ N (4, 0.1)
X1 + · · · + X10 ∼ N (40, 1)
X̄ = (X1 + · · · + X10 )/10 ∼ N (4, 0.01)

By symmetry P(X̄ < 3.9) = P(X̄ > 4.1).

 
X̄ − 4 3.9 − 4
P(X̄ < 3.9) = P < = P(Z < −1)
0.1 0.1
= Φ(−1) = 1 − Φ(1) = 1 − 0.8413
= 0.1587

More generally

X1 + · · · + Xn ∼ N (4n, 0.1n)
X̄ = (X1 + · · · + Xn )/n ∼ N (4, 0.1/n)
! !
X̄ − 4 3.9 − 4 −0.1 √
P(X̄ < 3.9) = P p <p =P Z< p = − 0.1n
0.1/n 0.1/n 0.1/n
√ √
= Φ(− 0.1n) = 1 − Φ( 0.1n)
√
α = 2[1 − Φ( 0.1n)]

We require α ≤ 0.05.
√ √
2[1 − Φ( 0.1n)] ≤ 0.05 ⇔ 1 − Φ( 0.1n) ≤ 0.025
√
⇔ Φ( 0.1n) ≥ 0.975
√
⇔ 0.1n ≥ 1.96
⇔ n ≥ 10 × 1.962 = 38.416

The smallest sample size which satisfies this is n = 39.

HELM (2015): 39
Section 39.3: Sums and Differences of Random Variables
 Table 1: The Standard Normal Probability Integral
x−µ
Z= σ 0 1 2 3 4 5 6 7 8 9
0 0000 0040 0080 0120 0160 0199 0239 0279 0319 0359
.1 0398 0438 0478 0517 0577 0596 0636 0675 0714 0753
.2 0793 0832 0871 0909 0948 0987 1026 1064 1103 1141
.3 1179 1217 1255 1293 1331 1368 1406 1443 1480 1517
.4 1555 1591 1628 1664 1700 1736 1772 1808 1844 1879
.5 1915 1950 1985 2019 2054 2088 2123 2157 2190 2224
.6 2257 2291 2324 2357 2389 2422 2454 2486 2517 2549
.7 2580 2611 2642 2673 2703 2734 2764 2794 2822 2852
.8 2881 2910 2939 2967 2995 3023 3051 3078 3106 3133
.9 3159 3186 3212 3238 3264 3289 3315 3340 3365 3389
1.0 3413 3438 3461 3485 3508 3531 3554 3577 3599 3621
1.1 3643 3665 3686 3708 3729 3749 3770 3790 3810 3830
1.2 3849 3869 3888 3907 3925 3944 3962 3980 3997 4015
1.3 4032 4049 4066 4082 4099 4115 4131 4147 4162 4177
1.4 4192 4207 4222 4236 4251 4265 4279 4292 4306 4319
1.5 4332 4345 4357 4370 4382 4394 4406 4418 4429 4441
1.6 4452 4463 4474 4484 4495 4505 4515 4525 4535 4545
1.7 4554 4564 4573 4582 4591 4599 4608 4616 4625 4633
1.8 4641 4649 4656 4664 4671 4678 4686 4693 4699 4706
1.9 4713 4719 4726 4732 4738 4744 4750 4756 4761 4767
2.0 4772 4778 4783 4788 4793 4798 4803 4808 4812 4817
2.1 4821 4826 4830 4834 4838 4842 4846 4850 4854 4857
2.2 4861 4865 4868 4871 4875 4878 4881 4884 4887 4890
2.3 4893 4896 4898 4901 4904 4906 4909 4911 4913 4916
2.4 4918 4920 4922 4925 4927 4929 4931 4932 4934 4936
2.5 4938 4940 4941 4943 4946 4947 4948 4949 4951 4952
2.6 4953 4955 4956 4957 4959 4960 4961 4962 4963 4964
2.7 4965 4966 4967 4968 4969 4970 4971 4972 4973 4974
2.8 4974 4975 4976 4977 4977 4978 4979 4979 4980 4981
2.9 4981 4982 4982 4983 4984 4984 4985 4985 4986 4986

3.0 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9
4987 4990 4993 4995 4997 4998 4998 4999 4999 4999

40 HELM (2015):
Workbook 39: The Normal Distribution
 Index for Workbook 39

Airline booking 30 Piston ring diameter 18

Probabilities 7-13
Binomial distribution 26-33 Probability intervals 22-35
Central limit theorem 3
Component variation 17, 19-21 Random variables
Cumulative distribution function 14 - sum and difference 34-39

Electric meters 29 Standard normal distribution 5

Strain gauge resistance 19-21
Flight overbooking 30
Tables - standard normal 40
Magnets 29

Normal approximation to EXERCISES

binomial 26-33 15, 30, 36
Normal distribution 3-5