The Sample

Sample Mean,Mean.
A FormulaA Formula: page 6

If X is any random variable, then, as n increases without bound,

x  X
the distribution of its standardized sample mean, , approaches the
X
n
distribution of the standard normal random variable, Z, whose p.d.f. is
1 0.5z 2
f Z ( z)  e .
2 
This is called the Central Limit Theorem.

(material continues)  T C I 
 Normal Distributions.
Normal Distributions, Standard Normal Standard Normal
1. STANDARD NORMAL(Mean 0 & Standard deviation 1)
In The Sample Mean we derived the probability density function
1 0.5z 2
f Z ( z)  e
2 
for the standard normal random variable Z.
We can use integration and fZ to compute probabilities for Z.
Example 1. Compute P(0.74  Z  1.29). As we saw in
Integration,
1.29


1  0.5z 2
P(  0.74  Z  1.29)  e dz
2 
 0.74
To evaluate the integral open Integrating.xls and enter the function as
=(1/SQRT(2*PI()))*EXP(-0.5*x^2).
Recall that x is the only variable that can be used in Integrating.xls.
Integrating.xls (material continues) T C I 
 Normal Distributions.
Normal, General Normal General Normal
2. GENERAL NORMAL(Any Mean & Any Standard deviation/But its
standardization is a standard normal distribution)
The adjective “standard”, used in standard normal distributions,
implies that there are “non-standard” normal distributions. This is indeed the
case.
A random variable, X, is called normal if its standardization,
X  X
S ,
X
has a standard normal distribution.
It can be shown that the probability density function for a normal
random variable, X, with mean X and standard deviation X has the following
form. 2
 x X 
 0.5 
fX ( x) 
1
e  X 
 X  2 

(material continues)  T C I 
 Normal Distributions-
• Standard Normal Random Variable (Z)

• p.d.f. f  z  
1
 e 0.5 z 2

2
Z

• Can use Integrating.xls to find probabilities

 Normal Distributions-
• Ex1. Find P 1.34  Z  0.68

• Soln: show ex1 excel file

P 1.34  Z  0.68  
0.68 1  0.5 z 2
e dz
1.34
2
 0.6616
 Normal Distributions
• Ex. Find a number z 0 so that PZ  z 0   0.9750.

• Soln:show ex2 excel file

PZ  z 0   
z0 1 0.5 z 2
e dz

2

z 0  1.9600
 Normal Distributions
• The previous example tells us that 97.5% of all
data for a standard normal random variable lies in
the interval  , 1.96
. 

• This means that 2.5% of the data lies above z =

1.96

• Graphically, we have the following:

 Normal Distributions
• The shaded region corresponds to 97.5% of all
possible area (note 2.5% is not shaded)
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6

1.96
 Normal Distributions
• Due to symmetry, we get 95% of the area shaded
with 5% not shaded (2.5% on each side)
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
-1.96 1.96
 Normal Distributions
• This means that a 95% confidence interval for
the standard normal random variable Z is (-1.96,
1.96)

0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
-1.96 1.96
 Normal Distributions
• A 95% confidence interval tells you how well a
particular value compares to known data or sample data

• The interval that is constructed tells you that there is a

95% probability that the interval will contain the mean
of X.

• Another interpretation is that 95% of all values found in

a sample should lie within this 95% confidence interval.
 Normal Distributions
• Possible formulas:
Z Standard Normal random variable

P 1.96  Z  1.96  0.95

 Normal Distributions
• Possible formulas:

 x  x 
P  1.96   1.96   0.95
 x 
 x   
P  1.96  s  1.96   0.95
x
 
 n 
 Important
• Possible formulas:

X  X x  x x  x
S   X
X x n

If is
X unknown
s ( sm all )
The sample standard deviation,
, will be a very good approximation for X
 Normal Distributions
• Remember, that -1.96 and 1.96 were special values that
apply to a 95% confidence interval

• You need to find different values for other types of

confidence intervals.

• Ex. Find a 99% confidence interval for Z. Find a 90%

confidence interval for Z.
 Normal Distributions
• Soln:PZ  z1   0.9950 z1  2.5759
PZ  z 2   0.9500 z 2  1.6449

• Ex. What is the confidence interval for Z with 1

standard deviation? 2 standard deviations? 3
standard deviations?
 Normal Distributions
• Soln: 0.45
0.4
0.35
0.3

P 1  Z  1  0.6827
0.25
0.2
0.15
0.1
0.05
0
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6

0.45
0.4
0.35

P 2  Z  2  0.9545
0.3
0.25
0.2
0.15
0.1
0.05
0
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
 Normal Distributions
• Soln:

0.45
0.4
0.35
0.3

P 3  Z  3  0.9973
0.25
0.2
0.15
0.1
0.05
0
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
 Normal Distributions
• Since Z is a standard normal random variable, Z
would have standardized some variable X.

X  X
• Z
So, X
 Normal Distributions
• Ex. Suppose X is a normal random variable with
 X  120 and  X  15. Find a 95%
confidence interval for X if the 95% confidence
interval for Z is (-1.96, 1.96).
 Normal Distributions
• Soln: P 1.96  Z  1.96  0.95
 X  X 
P  1.96   1.96   0.95
 X 
 X  120 
P  1.96   1.96   0.95
 15 
P 1.96  15  X  120  1.96  15  0.95
P120  1.96  15  X  120  1.96  15  0.95
P90.6  X  149.4  0.95

So, the 95% confidence interval for X is (90.6, 149.4). We are

95% confident that this interval contains the true mean
 Normal Distributions
• Ex. Suppose X is a normal random variable. If a
sample of size 34 was taken with  x  120 and
s  15 , find a 95% confidence interval for
the sample mean-remember this is x
if the 95% confidence interval for Z is (-1.96, 1.96).
 Normal Distributions
P 1.96  Z  1.96   0.95
 x  x 
• Soln: P  1.96   1.96   0.95
 x 

 
 
x  
P  1.96  x
 1.96   0.95
 X 
 
 n 
 
 
x  
P  1.96  x
 1.96   0.95
 s 
 
 n 
 
 
x  120
P  1.96   1.96   0.95
 15 
 
 34 
 Normal Distributions
• Soln:
 15 15 
P  1.96   x  120  1.96    0.95
 34 34 
 15 15 
P120  1.96   x  120  1.96    0.95
 34 34 
P114.9579  x  125.0421  0.95

So, the 95% confidence interval for x is (114.9579,

125.0421).
We are 95% confident that this interval contains the true mean
 Normal Distributions
• General Normal Random Variable
2
 x X 
 0.5 
f X x  
1  X
• p.d.f. e 

 X  2

• Probabilities are done similarly to Standard NRV

 Normal Distributions
• Ex. If X is a normal random variable representing
exam 1 scores with mean 75 and standard
deviation 10, find P70  X  100 .

• Soln:  x 75 
2
0.5 
P70  X  100  
100 1
e  10 
dx
10  2
70

 0.6853
 Normal Distributions
• NORMDIST function in Excel

• Can calculate p.d.f. and c.d.f. values for a normal

random variable

• Ex. If X is a normal random variable representing

exam 1 scores with mean 75 and standard
deviation 10, find P70  X  100.
 Normal Distributions(show excel)

• Soln:
P70  X  100  FX 100  FX 70
 NORMDIST 100, 75, 10, TRUE   NORMDIST 70, 75, 10, TRUE 
 0.6853
100
75
10
TRUE

70
75
10
TRUE
 Normal Distributions
• Specific values for the p.d.f. can also be calculated
using NORMDIST

• Ex. Find height of p.d.f. of a normal random

variable X at X = 90 that has a normal distribution
with   71 and  X  12 .
X
 Normal Distributions
• Soln: Two ways to solve=0.009
2
 90 71 
1  0.5 
 12 
e
(1) Evaluate 12  2

(2) Evaluate =NORMDIST(90, 71, 12, FALSE)

using Excel
 Normal Distributions
• How does the mean and standard deviation affect
the shape of the Normal Random Variable graph?

• Ex. Graph the p.d.f. of a normal random variable

with the following characteristics:
(1)  X  0 and  X  1
  0 X 5
(2) X and
(3)  X 4
and
 X 1
X  4   5
(4) and X
Why? Normal Distributions
Recall-General Normal random variable p.d.f

• Soln: (1)  X  0 and  X 1


Max Height 0.40 0.45
0.40
0.35
The y-values of the graph 0.30
0.25
around x = -3 and x = 3 0.20
0.15
are very small 0.10
0.05
0.00
-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
 Normal Distributions
• General Normal Random Variable
e^(0)=1

2
 x X 
0.5 
• p.d.f. f X x  
1
e  X
 
 X  2
2
 0 0 
0.5 
1 1
y int ercept  f X 0  e  
1
~ ~ 0.4
1  2 2
 Normal Distributions-sec1-4/13
Why?

• Soln: (2)  X  0 and X 5

 0.09
Max Height 0.08
0.08
(This is 0.40  std. dev.) 0.07
0.06
0.05
Y values very small 0.04
0.03
Around 0.02
x = -15 and 0.01
0.00
x = 15 -25 -20 -15 -10 -5 0 5 10 15 20 25
(This is 3 standard
deviations from the mean- 3 * X)
 Normal Distributions
• General Normal Random Variable
e^(0)=1

2
 x X 
0.5 
• p.d.f. f X x  
1
e  X 

 X  2
2
 00 
 0.5 
 f X 0 
1  1
e  5 
~ ~ 0.4 / 5 ~ 0.08
5  2 5 2
 Normal Distributions
• Soln: (3)  X  4 and  X 1
Max Height  0.40
0.45
(At x = 4)
0.40
0.35
Y values very small 0.30
0.25
0.20
around x = 1 and x = 7 0.15
(This is 3 standard 0.10
0.05
deviations from 0.00
the mean) -2 -1 0 1 2 3 4 5 6 7 8 9 10
 Normal Distributions
• Soln: (4)  X  4 and X 5
Max Height  0.08 0.09
(This is 0.40 std. dev.) 0.08
 0.07
0.06
Y values very small 0.05
0.04
0.03
around x = -11 and x = 19 0.02
(This is 3 standard 0.01
deviations from the 0.00
-26 -21 -16 -11 -6 -1 4 9 14 19 24 29 34
mean)
 Normal Distributions
• Ex. Find the mean and standard deviation for the
following normal random variables graphed.

(A) 0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.00
-9 -6 -3 0 3 6 9 12 15 18 21
 Normal Distributions

0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.00
-9 -6 -3 0 3 6 9 12 15 18 21

• Mean is 6 and standard deviation is 3

 Normal Distributions
• (B) 0.25

0.20

0.15

0.10

0.05

0.00
-17 -15 -13 -11 -9 -7 -5 -3 -1 1 3
 Normal Distributions

0.25

0.20

0.15

0.10

0.05

0.00
-17 -15 -13 -11 -9 -7 -5 -3 -1 1 3

• Mean is -7 and standard deviation is 2

 Normal Distributions
• (C)
0.009
0.008
0.007
0.006
0.005
0.004
0.003
0.002
0.001
0
50 100 150 200 250 300 350 400 450 500 550
 Normal Distributions

0.009
0.008
0.007
0.006
0.005
0.004
0.003
0.002
0.001
0
50 100 150 200 250 300 350 400 450 500 550

• Mean is 300 and standard deviation is 50

 Normal Distributions
• Relationship between p.d.f. and c.d.f.

• Pa  X  b  FX b  FX a

• Pa  X  b    a f X x  dx
b

FX b   FX a    f X x  dx
b

• So, a