Random Variables: NPQ - X NP Z NPQ
Random Variables: NPQ - X NP Z NPQ
Random Variables: NPQ - X NP Z NPQ
Random Variables
Study Material for Week 6
Lecture Six
Normal Distribution
Any quantity whose variation depends on random causes is distributed according to
the normal law. A large number of distributions approximate to the normal distribution.
Discovered by De Moivre in 1733.
X np
Define Z ---------- (i)
npq
Then Z is a binomial r.v. with mean 0 and standard deviation 1.
As n , Z can take values between to . In limiting form as n when neither
p or q is very small, Z follows a normal distribution. A normal random variable Z is a
continuous random variable. The probability density function of a given random variable is
( x )2
1
given by f ( x) e 2 2
, where, mean and standard deviation.
2
x
Note that Z then E ( Z ) 0 & Var( Z ) 1 .
1 z 2 /2
In this case, Z (0, 1) is known as standard normal variate whose pdf is f ( z ) e .
2
Properties of normal distribution
1. The normal curve is bell-shaped and symmetric about its mean.
2. The probability of x lying between x1 & x2 is given by the area under the normal
curve from x1 to x2 .
z
1
In terms of standard normal variate, p(0 z ) e z /2 dz .
2
2 0
This integral is called the probability integral or the error function.
Random Variables
Note that:
i) The area under the normal curve between the ordinates x &
2
x is 0.6826, i.e. 68.5%. Approximately of the values lie within
3
these limits.
ii) The area under the normal curve between x 2 & x 2 is 0.9544
1
nearly 95.5% which implies that 4 % of values lie inside these limits.
2
iii) 99.73% values lie inside x 3 to x 3 .
iv) 95% values lie inside x 1.96 to x 1.96 , i.e. only 5% lie outside
these limits.
v) 99% values lie inside x 2.58 to x 2.58 , i.e. only 1% values lie
outside these limits.
# Here onwards we will denote the p.d.f of standard normal variable z by
symbol f ( z ) .
# Values of p.d.f of standard normal variate can be obtained from statistical
tables.
Examples
1. A certain number of articles manufactured one batch were classified into 3 categories
according to a particular characteristic, being less than 50, between 50 – 60 and 60 .
If this characteristic is known to be normally distributed, determine the mean and s.d.
for this batch if 60%, 35% and 5% were found in these categories.
60
P( Z1 ) P Z 0.6
X 60
Z P( Z Z 2 ) P Z 0.05
Let
50
A1 Z1 0.1
60
A2 Z 2 0.05
6 7.543, 48.092
Random Variables
Z1 Z1 Z1
f ( z )dz 0.6 0.5 f ( z )dz 0.6
0
f ( z )dz 0.1 Z1 0.26 .
2. In a normal distribution, 31% items are under 45 and 8% over 64. Find mean and
standard deviation
X
Standard normal variable Z
6
45 1 Z 0 1 Z 1 Z
64 2 Z
0.5 Z2
0
f ( Z )dZ 0.19 f ( z )dz 0.5 0.08 0.42 .
0
45 64 50 & 10
0.5 & 1.4
3. A manufacturer of air-mail envelopes knows from experience that the weight of envelope
is normally distributed with mean 1.95 gm and s.d. 0.05 gm. About how many envelopes
weighing 2 gm or more 2.05 gm or more can be expected in a given packet of 100 envelopes.
1.95 & 0.05
2 1.95
1
P Z P(Z 1) f ( z )dz f ( z )dz f ( z )dz 0.5 0.3413 0.1587
0.05 1 0 0