Normal Distribution

Probability Density Function

A random variable X has a normal distribution XN(μ,σ2) if and only if if has a pdf in the form of

f(x;μ,σ2)=12πσ2e(xμ)2/2σ2

for <x< where σ2>0

If XN(μ,σ2) then

Z=XμσN(0,1)

It follows that

P(X<x)=P(Xμσ<xμσ)=P(Z<xμσ)

Moment-generating function

MX(t)=eμt+12σ2t2

And for the standard normal distribution ZN(0,1):

MZ(t)=e0t+121t2=et2/2E(X)=dMX(t)dt|t=0=ddteμt+12σ2t2=eμt+12σ2t2(μ+σ2t)|t=0=μE(X2)=d2dt2MX(t)=eut+12σ2t2(μ+σ2t)2+eμt+12σ2t(σ2)|t=0=μ2+σ2Var(X)=(μ2+σ2)(μ)2=σ2

If XBin(n,p) then the moment-generating function of

Z=Xnpnp(1p)=Xμσ

approaches that of the standard normal distribution

then

P(Xx)=P(Zxμσ)

(sampling distribution of the Binomial Distribution goes to normal :D)

Standard Normal Distribution