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This article is about the univariate normal distribution. For normally distributed vectors, see Multivariate normal distribution.
notation:
parameters:
support:
xR
pdf:
cdf:
mean:
median:
mode:
variance:
skewness:
ex.kurtosis:
entropy:
mgf:
cf:
Fisher information:
In probability theory, the normal (or Gaussian) distribution is a continuous probability distribution that has a bell-shaped probability density function, known as the Gaussian function or informally the bell curve:[nb 1]
where parameter is the mean or expectation (location of the peak) and 2 is the variance, the mean of the squared deviation, (a "measure" of the width of the distribution). is the standard deviation. The distribution with = 0 and 2 = 1 is called the standard normal. A normal distributions is often used as a first approximation to describe real-valued random variables that cluster around a single mean value.
The normal distribution is considered the most prominent probability distribution in statistics. There are several reasons for this:[1] First, the normal distribution is very tractable analytically, that is, a large number of results involving this distribution can be derived in explicit form. Second, the normal distribution arises as the outcome of the central limit theorem, which states that under mild conditions the sum of a large number of random variables is distributed approximately normally. Finally, the "bell" shape of the normal distribution makes it a convenient choice for modelling a large variety of random variables encountered in practice. For this reason, the normal distribution is commonly encountered in practice, and is used throughout statistics, natural sciences, andsocial sciences[2] as a simple model for complex phenomena. For example, the observational error in an experiment is usually assumed to follow a normal distribution, and the propagation of uncertainty is computed using this assumption. Note that a normally-distributed variable has a symmetric distribution about its mean. Quantities that grow exponentially, such as prices, incomes or populations, are often skewed to the right, and hence may be better described by other distributions, such as the log-normal distribution or Pareto distribution. In addition, the probability of seeing a normally-distributed value that is far (i.e. more than a few standard deviations) from the mean drops off extremely rapidly. As a result, statistical inference using a normal distribution is not robust to the presence of outliers(data that is unexpectedly far from the mean, due to exceptional circumstances, observational error, etc.). When outliers are expected, data may be better described using a heavy-tailed distribution such as the Student's t-distribution. From a technical perspective, alternative characterizations are possible, for example:
The normal distribution is the only absolutely continuous distribution all of whose cumulants beyond the first two (i.e. other than themean and variance) are zero.
For a given mean and variance, the corresponding normal distribution is the continuous distribution with the maximum entropy.[3][4]
Contents
[hide]
1 Definition
2 Characterization
o o o o o
2.1 Probability density function 2.2 Cumulative distribution function 2.3 Quantile function 2.4 Characteristic function and moment generating function 2.5 Moments
3 Properties
o o o o
3.1 Standardizing normal random variables 3.2 Standard deviation and confidence intervals 3.3 Central limit theorem 3.4 Miscellaneous
4 Related distributions
4.1.1 Combination of two independent random variables 4.1.2 Combination of two or more independent random variables 4.1.3 Operations on the density function
4.2 Extensions
o o o
8 Generating values from normal distribution 9 Numerical approximations for the normal CDF 10 History
o o
[edit]Definition
The simplest case of a normal distribution is known as the standard normal distribution, described by the probability density function
in this expression ensures that the total area under the curve (x) is equal to
1 2
and
in the exponent makes the "width" of the curve (measured as half the distance
between the inflection points) also equal to one. It is traditional in statistics to denote this function with the Greek letter (phi), whereas density functions for all other distributions are usually
denoted with letters f or p.[5] The alternative glyph is also used quite often, however within this article "" is reserved to denote characteristic functions. More generally, a normal distribution results from exponentiating a quadratic function (just as an exponential distribution results from exponentiating a linear function):
This yields the classic "bell curve" shape, provided that a < 0 so that the quadratic function is concave. f(x) > 0 everywhere. One can adjust a to control the "width" of the bell, then adjust b to move the central peak of the bell along the x-axis, and finally adjust c to control the "height" of the bell. For f(x) to be a true probability density function over R, one must choose c such that (which is only possible when a < 0).
Rather than using a, b, and c, it is far more common to describe a normal distribution by its mean = b
2a
and variance 2 = 1
2a
For a standard normal distribution, = 0 and 2 = 1. The last part of the equation above shows that any other normal distribution can be regarded as a version of the standard normal distribution that has been stretched horizontally by a factor and then translated rightward by a distance . Thus, specifies the position of the bell curve's central peak, and specifies the "width" of the bell curve. The parameter is at the same time the mean, the median and the mode of the normal distribution. The parameter 2 is called the variance; as for any random variable, it describes how concentrated the distribution is around its mean. The square root of 2 is called the standard deviation and is the width of the density function. The normal distribution is usually denoted by N(,2).[6] Commonly the letter N is written in calligraphic font (typed as \mathcal{N} in LaTeX). Thus when a random variable X is distributed normally with mean and variance 2, we write
[edit]Alternative
formulations
Some authors advocate using the precision instead of the variance, and variously define it as = 2 or = 1.[7] This parametrization has an advantage in numerical applications where 2 is very close to zero and is more convenient to work with in analysis as is a natural parameter of the normal distribution. Another advantage of using this parametrization is in the study of conditional distributions in multivariate normal case.
The question which normal distribution should be called the "standard" one is also answered differently by various authors. Starting from the works of Gauss the standard normal was considered to be the one with variance 2 =
1 2
Stigler (1982) goes even further and insists the standard normal to be with the variance 2 =
1 2
According to the author, this formulation is advantageous because of a much simpler and easier-to-remember formula, the fact that the pdf has unit height at zero, and simple approximate formulas for the quantiles of the distribution. In Stigler's formulation the density of a normal N(, ) with mean and precision will be equal to
[edit]Characterization
In the previous section the normal distribution was defined by specifying its probability density function. However there are other ways to characterize a probability distribution. They include: thecumulative distribution function, the moments, the cumulants, the characteristic function, the moment-generating function, etc.
[edit]Probability
density function
The probability density function (pdf) of a random variable describes the relative frequencies of different values for that random variable. The pdf of the normal distribution is given by the formula explained in detail in the previous section:
This is a proper function only when the variance 2 is not equal to zero. In that case this is a continuous smooth function, defined on the entire real line, and which is called the "Gaussian function". Properties:
Function f(x) is unimodal and symmetric around the point x = , which is at the same time the mode, the median and the mean of the distribution.[8]
The inflection points of the curve occur one standard deviation away from the mean (i.e., at x = and x = + ).[8]
Function f(x) is log-concave.[8] The standard normal density (x) is an eigenfunction of the Fourier transform.
The first derivative of (x) is (x) = x(x); the second derivative is (x) = (x2 1)(x). More generally, the n-th derivative is given by (n)(x) = (1)nHn(x)(x), where Hn is the Hermite polynomial of order n.[10]
When 2 = 0, the density function doesn't exist. However a generalized function that defines a measure on the real line, and it can be used to calculate, for example, expected value is
where (x) is the Dirac delta function which is equal to infinity at x = 0 and is zero elsewhere.
[edit]Cumulative
distribution function
The cumulative distribution function (CDF) describes probability of a random variable falling in the interval (, x]. The CDF of the standard normal distribution is denoted with the capital Greek letter (phi), and can be computed as an integral of the probability density function:
This integral cannot be expressed in terms of elementary functions, so is simply called the error function, or erf, a special function. Numerical methods for calculation of the standard normal CDF are discussed below. For a generic normal random variable with mean and variance 2 > 0 the CDF will be equal to
The complement of the standard normal CDF, Q(x) = 1 (x), is referred to as the Q-function, especially in engineering texts.[11][12] This represents the tail probability of the Gaussian distribution, that is the probability that a standard normal random variable X is greater than the number x. Other definitions of the Q-function, all of which are simple transformations of , are also used occasionally.[13] Properties:
The standard normal CDF is 2-fold rotationally symmetric around point (0, ): (x) = 1 (x).
The derivative of (x) is equal to the standard normal pdf (x): (x) = (x).
For a normal distribution with zero variance, the CDF is the Heaviside step function (with H(0) = 1 convention):
[edit]Quantile
function
The inverse of the standard normal CDF, called the quantile function or probit function, is expressed in terms of the inverse error function:
Quantiles of the standard normal distribution are commonly denoted as zp. The quantile zp represents such a value that a standard normal random variable X has the probability of exactly p to fall inside the (,zp] interval. The quantiles are used in hypothesis testing, construction of confidence intervals and Q-Q plots. The most "famous" normal quantile is 1.96 = z0.975. A
standard normal random variable is greater than 1.96 in absolute value in 5% of cases. For a normal random variable with mean and variance 2, the quantile function is
[edit]Characteristic
function and
The characteristic function can be analytically extended to the entire complex plane: one defines (z) = eiz
1 2
2z2
The moment generating function is defined as the expected value of etX. For a normal distribution, the moment generating function exists and is equal to
The cumulant generating function is the logarithm of the moment generating function:
Since this is a quadratic polynomial in t, only the first two cumulants are nonzero.
[edit]Moments
See also: List of integrals of Gaussian functions The normal distribution has moments of all orders. That is, for a normally distributed X with mean and variance 2, the expectation E[|X|p] exists and is finite for all p such that Re[p] > 1. Usually we are interested only in moments of integer orders: p = 1, 2, 3, .
Central moments are the moments of X around its mean . Thus, a central moment of order p is the expected value of (X )p. Using standardization of normal random variables, this expectation will be equal to pE[Zp],
Here n!! denotes the double factorial, that is the product of every odd number from n to 1.
Central absolute moments are the moments of |X |. They coincide with regular moments for all even orders, but are nonzero for all odd p's.
Raw moments and raw absolute moments are the moments of X and |X| respectively. The formulas for these moments are much more complicated,
and are given in terms of confluent hypergeometric functions 1F1 and U.[
citation needed]
These expressions remain valid even if p is not integer. See also generalize d Hermite polynomials.
First two cumulants are equal to and 2 respecti vely, whereas all higher-order cumulants are equal to zero.
2 + 2 2
3 + 32
4 + 622 + 34 34
5 + 1032 + 154
156
[edit]Properties [edit]Standardizing
is Z has the standard normal distribution. Conversely, having a standard normal random variable Z we can always construct another normal random variable with specific mean and variance 2:
This "standardizing" transformation is convenient as it allows one to compute the PDF and especially the CDF of a normal distribution having the table of PDF and CDF values for the standard normal. They will be related via
[edit]Stand
ard deviation
Dark blue is less than one stand ard deviation f rom the mean. For the normal distributio n, this accounts for about 68% of the set, while two standard deviations from the mean (medium and dark blue) account for about 95%, and three
standard deviations (light, medium, and dark blue) account for about 99.7%.
About 68% of values drawn from a normal distribution are within one standard deviation away from the mean; about 95% of the values lie within two standard deviations; and about 99.7% are within three standard deviations. This fact is known as the 68-9599.7 rule, or theempiric
al rule, or the 3sigma rule. To be more precise, the area under the bell curve between n and + n is given by
where erf is the err or functio n. To 12 decim al places , the values for the 1-, 2-, up to 6sigma points are:[16]
io .r e .1
1i n m i. n. u. s . . .
00 3 .. . 63 1 81 5 27 1 63 4 81 1 8 90 7 45 1 90 8 27 7 18 5 36 3 73
00 2 .. 1 90 . 54 9 45 7 45 7 90 2 8 90 9 72 4 36 5 63 0 18 8 09 0 46
00 3 .. 7 90 0 90 . 72 3 36 9 09 3 8 09 3 27 4 09 7 36 3 90 4 36 5 73
1 00 , .. 7 90 4 90 4 90 , 90 2 90 5 7 90 7 45 . 27 8 63 9 63 3 90 6 73 2
5 00 0 .. 6 90 , 90 7 90 9 90 7 90 6 , 90 3 90 4 90 5 81 . 09 8 27 9 73 7
The next table gives the revers e relatio n of sigma multipl es corres pondin g to a few
often used values for the area under the bell curve. These values are useful to deter mine (asym ptotic) confid ence interva ls of the specifi ed levels based on norma lly distrib uted (or as ymptot ically norma l) esti
mator s:[17]
1 . 2 8 1 05 .5 81 05 6 5 5 4 5
3 . 2 9 0 0 5 . 2 9 6 9 7 9 3 1 4 9 2
1 . 6 4 4 08 .5 93 06 2 6 9 5 1
3 . 8 9 00 .5 99 91 98 98 6 4 1 3
1 . 9 5 9 09 .6 93 59 8 4 5 4 0
4 . 4 1 0 7 . 1 9 7 9 3 9 4 9 1 9 3 4 6 9
2 . 3 02 .6 93 84 7 8 7 4
4 0. .8 99 91 96 93 98 94 7 5
0 4 1
6 9 9
2 . 5 7 5 08 .2 99 93 0 3 5 4 9
5 . 3 0 2 . 6 9 7 9 2 9 3 9 8 9 8 9 6 9 3 8 4
2 . 8 0 7 0 0 . 3 9 3 9 7 5 6 8 3 4 4
5 . 07 .3 90 97 92 98 98 96 98 92 3 6
3 . 0 9 0 0 2 . 3 9 2 9 3 8 0 6 1 6 8
6 . 0 1 . 0 9 9 9 4 9 1 9 0 9 2 9 0 9 4 9 8 9 6 9
tion of values that will fall within a given interva l and n i sa multipl e of the standa rd deviati on that specifi es the width of the interva l.
[edit]C
The theore m states that under certain (fairly comm on) conditi ons, the sum of a large numb er of rando m variabl es will have an appro ximate ly norma l distrib ution. For examp le if (x1, , xn) is a seque
nce of iid r ando m variabl es, each having mean and varian ce 2, then the central limit theore m states that
T h e th e or e m wi ll h ol d e v
e n if th e s u m m a n d s xi ar e n ot iid , al th o u g h s o m e c o n st ra in ts o
n th e d e gr e e of d e p e n d e n c e a n d th e gr o wt h ra te of m o m e nt s sti
ll h a v e to b e i m p o s e d. T h e i m p or ta n c e of th e c e nt ra l li m it th
e or e m c a n n ot b e o v er e m p h a si z e d. A gr e at n u m b er of t e st st at
u m s of c er ta in ra n d o m v ar ia bl e s in th e m , e v e n m or e e sti m at or s c
a n b e re pr e s e nt e d a s s u m s of ra n d o m v ar ia bl e s th ro u g h th e u
d b y th e c e nt ra l li m it th e or e m a n d wi ll h a v e a sy m pt ot ic all y n or m
al di st ri b ut io n a s a re s ul t.
A s
t h e
n u m b e r
o f
d i s c r e t e
e v e n t s
i n c r e a s e s ,
t h e
f u n c t i o n
e g i n s
t o
r e s e m b l e
n o r m a l
d i s t r i b u t i o n
A n ot h er pr a cti c al c o n s e q u e n c e of th e c e nt ra l li m it th e or e m is
th at c er ta in ot h er di st ri b ut io n s c a n b e a p pr o xi m at e d b y th e n or m
al di st ri b ut io n, fo r e x a m pl e:
T h e
b i n o m i a l
d i s t r i b u
t i o n
B ( n , p )
i s
a p p r o x i m a t e l y
n o r m a l
( n p , n p ( 1
p ) )
f o r
l a r g e
a n d
f o r
n o t
t o o
c l o s e
t o
z e r o
o r
o n e .
T h e
P o i s s
o n ( )
d i s t r i b u t i o n
i s
a p p r o x i m a t e l y
n o
r m a l
N ( , )
f o r
l a r g e
v a l u e s
o f
T h e
c h i s q u a r e d
d i s t r i b u t i o n
( k )
i s
a p p
r o x i m a t e l y
n o r m a l
N ( k , 2 k )
f o r
l a r g e
s .
T h e
S t u d e n t ' s
t d i s t r i b u t i o n
t ( )
i s
a p p r o x i m a t e l y
n o r m a l
N ( 0 , 1 )
w h e n
l a r g e . W h et h er th e s e a p pr o xi m at io n s ar e s uf fic ie nt ly a cc ur
at e d e p e n d s o n th e p ur p o s e fo r w hi c h th e y ar e n e e d e d, a n
d th e ra te of c o n v er g e n c e to th e n or m al di st ri b ut io n. It is ty pi c all y th
e c a s e th at s u c h a p pr o xi m at io n s ar e le ss a cc ur at e in th e ta ils of th e
di st ri b ut io n. A g e n er al u p p er b o u n d fo r th e a p pr o xi m at io n er ro r
in th e c e nt ra l li m it th e or e m is gi v e n b y th e B er ry E ss e e n th e or e
m , i m pr o v e m e nt s of th e a p pr o xi m at io n ar e gi v e n b y th e E d g e
w or th e x p a n si o n s.
[e dit ]
M is c el la n e o u s
1. T h e
f a m i l y
o f
n o r m a l
d i s t r i b u t i o n s
i s
c l o s e d
u n d e r
l i n e a r
t r a n s f o r m a t i o n s .
T h a t
i s ,
i f
i s
n o r m a l l y
d i s t r i b u t e d
w i t h
m e a n
a n
v a r i a n c e
t h e n
l i n e a r
t r a n s f o r m
a X
( f o r
s o m e
r e a l
n u m b e r s
a a n d
b )
i s
a l s o
n o r m a l l y
d i s t r i b u t e d :
A l s o
i f
X
1
X
2
a r e
t w o
i n d e p e n d e n t
n o r m a l
r a n
d o m
v a r i a b l e s ,
w i t h
m e a n s
a n d
t a n d a r d
d e v i a t i o n s
t h e n
t h e i r
l i n e a r
c o m b i n a t i o n
w i l l
a l s o
b e
n o r m a l
l y
d i s t r i b u t e d :
[ p r o o f ]
2.
T h e
c o n v e r s e
o f
( 1 )
i s
a l s o
t r u e :
i f
X
1
a n d
X
2
a r e
i n d e p e n d e n t
a n d
t h e i r
s u m
X
1
X
2
i s
d i s t r i b u t e d
n o r m a l l y ,
t h e n
b o t h
X
1
a n d
X
2
m u s t
a l s o
b e
n o r m a l .
[ 1 8 ]
T h i s
i s
n o w n
a s
C r a m r ' s
d e c o m p o s i t i o n
t h e o r e m
T h e
i n t e r p r e t a t i o n
o f
t h i s
p r o p e r t y
i s
t h a t
n o r m a l
d i s t r i b u t i o n
i s
o n l y
d i v i s i b l e
b y
o t h e r
n o r m a l
d i s t r i b u t i o n
s .
A n o t h e r
a p p l i c a t i o n
o f
t h i s
p r o p e r t
i s
i n
c o n n e c t i o n
w i t h
t h e
c e n t r a l
l i
m i t
t h e o r e m :
a l t h o u g h
t h e
C L T
a s s e r t s
t h a t
t h e
d i s t r i b u t i o n
o f
s u m
o f
a r b i
t r a r y
n o n n o r m a l
i i d
r a n d o m
v a r i a b l e s
i s
a p p r o x i m a t e l y
n o r m a l ,
t h e
C r a m r ' s
t h e o r e m
s h o w s
t h a t
i t
c a n
n e v e r
b e c o m e
e x a c t l y
n o r m a l .
[ 1 9 ]
3.
I f
t h e
c h a r a c t e r i
s t i c
f u n c t i o n
o f
s o m e
r a n d o m
v a r i a b
l e
i s
o f
t h e
f o r m
( t )
e
Q ( t )
w h e
r e
Q ( t )
i s
p o l y n o m i a l ,
t h e n
t h e
M a r c
i n k i e w i c z
t h e o r e m
( n a m e d
a f t e r
J z e f
a r c i n k i e w i c z )
a s s e r t s
t h a t
c a n
b e
a t
m o s t
q u a d r a t i c
p o l y n o m i a l ,
a n d
t h e r
e f o r e
n o r m a l
r a n d o m
v a r i a b l e .
[ 2 0 ]
T h e
c o n s e q u e n c e
o f
t h i s
r e s u l t
i s
t h a t
t h e
n o r m a l
d i s t r i b u t i o n
i s
t h e
o n l y
i s t r i b u t i o n
w i t h
f i n i t e
n u m b e r
( t w o )
o f
n o n z e r o
c u m u l a n t s . 4. I f
a n d
a r e
j o i n t l y
n o r m a l
a n d
u n c o r r e l a t e d ,
t h e n
t h e y
a r e
i n d e p e n d e n t .
T h e
r e q u i r e m e n t
t h a t
a n d
s h o u l d
b e
j o i n t l y
n o r m a l
i s
e s s e n t i a l ,
w i t h o u t
i t
t h e
p r o p e r t y
d o e s
n o t
h o l d .
[ p r o o f ]
F o r
n o n n o r m a l
a n d o m
v a r i a b l e s
u n c o r r e l a t e d n e s s
d o e s
n o t
i m p l y
i n d e p e n d e n c e . 5. I f
a n d
a r e
i n d e p e n d e n t
N ( ,
2
r a n d o m
v a r i a b l e s
t h e n
a n d
a r e
a l s o
i n d e p e
n d e n t
a n d
i d e n t i c a l l y
d i s t r i b u t e d
( t h i
f o l l o w s
f r o m
t h e
p o l a r i z a t i o n
i d e n t i
t y ) .
[ 2 1 ]
T h i s
p r o p e r t y
u n i q u e l y
c h a r a c
t e r i z e s
n o r m a l
d i s t r i b u t i o n ,
a s
c a n
b e
s e e n
f r o m
t h e
B e r n s t e i n ' s
t h e o r e m :
i f
a n d
a r e
i n d e p e n d e n t
a n d
s u c h
t h a t
a n d
a r e
a l s o
i n d e p e n d e n t ,
t h e n
b o t h
a n d
m u s t
n e c e s s a r i l y
h a
v e
n o r m a l
d i s t r i b u t i o n s .
M o r e
g e n e r a l l
y ,
i f
X
1
. . . ,
X
n
a r e
i n d e p e n d e n t
r a n d
o m
v a r i a b l e s ,
t h e n
t w o
l i n e a r
c o m b i n a t
i o n s
a
k
X
k
a n d
b
k
X
k
w i l l
b e
i n d e p e n d e
n t
i f
a n d
o n l y
i f
a l l
X
k
' s
a r e
n o r m a l
a n d
a
k
b
k
0 ,
w h e r e
d e n o t
e s
t h e
v a r i a n c e
o f
X
k
.
[ 2 2 ]
6.
N o r m a l
d i s t
r i b u t i o n
i s
i n f i n i t e l y
d i v i s i b l e :
[ 2 3 ]
f o r
n o r m a l l y
d i s t r i b u t e d
w i t h
m e a n
a n d
v a r i a n c e
w e
c a n
f i n d
i n d e p
e n d e n t
r a n d o m
v a r i a b l e s
{ X
1
X
n
e a
c h
d i s t r i b u t e d
n o r m a l l y
w i t h
m e a n s
/ n
a n d
v a r i a n c e s
/ n
s u c h
t h a t
7.
N o r m a l
i s t r i b u t i o n
i s
s t a b l e
( w i t h
e x p o n e n t
2 ) :
i f
X
1
X
2
a r e
t w o
i n d e p e n d e n t
( ,
2
r a n d o m
v a r i a b l e s
a n d
a ,
a r e
a r b i t r a r y
r e a l
n u m b e r s ,
t h e n
w h e r e
X
3
i s
a l s o
N ( ,
2
) .
T h i s
r e l a t i o n s h i p
i r e c t l y
f o l l o w s
f r o m
p r o p e r t y
( 1 ) . 8. T h e
K u l l b a c k L e i b l e r
d i v e r g e n c e
b e t w e e n
t w
n o r m a l
d i s t r i b u t i o n s
X
1
N (
1
) a n d
X
2
N (
2
) i s
g i v e n
b y :
[ 2 4 ]
T h e
H e l l i n g e r
d i s t a n c e
b e t w e e n
t h e
a m e
d i s t r i b u t i o n s
i s
e q u a l
t o
9.
T h e
F i s
h e r
i n f o r m a t i o n
m a t r i x
f o r
n o r m a l
d i s t
r i b u t i o n
i s
d i a g o n a l
a n d
t a k e s
f o r m
10. N o r m a l
d i s t r i b u t i o n s
b e l o n g s
t o
a n
e x p
o n e n t i a l
f a m i l y
w i t h
n a t u r a l
p a r a m e t e r
a n d
a n d
n a t u r a l
s t a t i s t i c s
a n
x
2
T h e
d u a l ,
e x p e c t a t i o n
p a r a m e t e r s
f o r
n o r m a l
d i s t r i b u t i o n
a r e
1
a n d
. 11. T h e
c o n j u g a t e
p r i o r
o f
h e
m e a n
o f
n o r m a l
d i s t r i b u t i o n
i s
a n
o t h e r
n o r m a l
d i s t r i b u t i o n .
[ 2 5 ]
S p e c i f i
c a l l y ,
i f
x
1
x
n
a r e
i i d
N ( ,
2
n d
t h e
p r i o r
i s
N (
0
,
2
) ,
t h e n
t h e
p o s t e r i o r
d i s t r i b u t i o n
f o r
t h e
e s t
i m a t o r
o f
w i l l
b e
12. O f
a l l
p r o b a b i l i
t y
d i s t r i b u t i o n s
o v e r
t h e
r e a l s
w i t h
e a n
a n d
v a r i a n c e
t h e
n o r m a l
d i s t
r i b u t i o n
N ( ,
2
i s
t h e
o n e
w i t h
t h e
m a x i m u m
e n t r o p y .
[ 2 6 ]
13. T h e
f a m i l y
o f
n o r
m a l
d i s t r i b u t i o n s
f o r m s
m a n i f o l d
w i t
c o n s t a n t
c u r v a t u r e
1 .
T h e
s a m e
f a m i
l y
i s
f l a t
w i t h
r e s p e c t
t o
t h e
( 1 ) c o
n n e c t i o n s
( e )
a n d
( m )
.
[ 2 7 ]
[e dit ]
R el at e d di
st ri b ut io n s
[e dit ]
O p er at io n s o n a si n gl e ra n d o m v ar ia bl e
If X is
di st ri b ut e d n or m all y wi th m e a n a n d v ar ia n c e 2 , th e n
T h e
e x p o n e n t i a l
o f
i s
d i s t r i b u t e d
l o g n o
r m a l l y :
e
X
l n N ( ,
2
) .
T h e
a b s o l u t e
v a l u e
o f
h a s
f o l d e d
n o r m a l
d i s t r i b u t
i o n :
I X I
N
f
( ,
2
) .
I f
t h i s
k n o w n
a s
t h e
h a l f n o r m a l
d i s t r i b u t i o
n .
T h e
s q u a r e
o f
X /
h a s
t h e
n o n c e n t r a l
c h i s q u a r e d
d i s t r i b u t i o n
w i t h
o n e
d e g
r e e
o f
f r e e d o m :
X
2
/
2
(
2
/
2
) .
I f
0 ,
t h e
d i s t r i b u t i o n
i s
c a l l e d
s i m
p l y
c h i s q u a r e d .
T h e
d i s t r i b u t i o n
o f
t h
v a r i a b l e
r e s t r i c t e d
t o
a n
i n t e r v a l
[ a , b ]
i s
c a l l e d
t h e
t r u n c a t e d
n o r m a l
d i s t r i b u t i o n .
( X
)
2
h a s
L v y
d i s
t r i b u t i o n
w i t h
l o c a t i o n
a n d
s c a l e
.
[e dit ]C
o m bi n at io n of t w o in d e p e n d e nt ra n d o m v ar ia bl e s
If X1
a n d X2 a re tw o in d e p e n d e nt st a n d ar d n or m al ra n d o m v ar ia bl e s,
th e n
T h e i r
s u m
a n d
d i f f e r e n c e
i s
d i s t r i
b u t e d
n o r m a l l y
w i t h
m e a n
z e r o
a n d
v a r i
a n c e
t w o :
X
1
X
2
N ( 0 ,
2 ) .
T h e i r
p r o d
u c t
X
1
X
2
f o l l o w s
t h e
" p r o d u c t n o r
m a l "
d i s t r i b u t i o n
[ 2 8 ]
w i t h
d e n s i t y
f u n
c t i o n
f
Z
( z )
K
0
( | z | ) ,
w h e r e
K
0
i s
t h e
m o d i f i e d
B e s s e l
f u n c t i o n
o f
t h e
s e
c o n d
k i n d .
T h i s
d i s t r i b u t i o n
i s
s y m m e t
r i c
a r o u n d
z e r o ,
u n b o u n d e d
a t
0 ,
n d
h a s
t h e
c h a r a c t e r i s t i c
f u n c t i o n
t )
( 1
t
2
)
1 / 2
T h e i r
r a t i o
f o l l o w s
t h e
s t a n d a r d
C a u c h y
d i s t r i b u t i o n :
X
1
X
2
C a u c h y ( 0 ,
1 ) .
T h e i r
E u c l i d e a n
n o
r m
h a s
t h e
R a y l e i g h
d i s t r i b u t i o n ,
a l
s o
k n o w n
a s
t h e
c h i
d i s t r i b u t i o n
w i t h
d e g r e e s
o f
f r e e d o m .
[e dit ]C
o m bi n at io n of t w o or m or
e in d e p e n d e nt ra n d o m v ar ia bl e s
I f
X
1
X
2
X
n
a r e
i n d e p e n d e n t
s t a n d a r d
n o r m a l
r a n d o
v a r i a b l e s ,
t h e n
t h e
s u m
o f
t h e i r
s q u
a r e s
h a s
t h e
c h i s q u a r e d
d i s t r i b u t i o n
w i t h
d e g r e e s
o f
f r e e d o m :
I f
X
1
X
2
X
n
a r e
i n d e p e n d e n t
n o r m a l l y
d i s t r
i b u t e d
r a n d o m
v a r i a b l e s
w i t h
m e a n s
n d
v a r i a n c e s
t h e n
t h e i r
s a m p l e
m e a
i s
i n d e p e n d e n t
f r o m
t h e
s a m p l e
s t a n d
a r d
d e v i a t i o n ,
w h i c h
c a n
b e
d e m o n s t r a t
e d
u s i n g
t h e
B a s u ' s
t h e o r e m
o r
C o c h r a n
' s
t h e o r e m .
T h e
r a t i o
o f
t h e s e
t w o
q u a
n t i t i e s
w i l l
h a v e
t h e
S t u d e n t ' s
t d i s t
r i b u t i o n
w i t h
n 1
d e g r e e s
o f
f r e e d o
m :
I f
X
1
X
n
Y
1
Y
m
a r e
i n d e p
e n d e n t
s t a n d a r d
n o r m a l
r a n d o m
v a r i a b l e
s ,
t h e n
t h e
r a t i o
o f
t h e i r
n o r m a l i z e d
s u m s
o f
s q u a r e s
w i l l
h a v e
t h e
F d i s t r i
b u t i o n
w i t h
( n ,
m )
d e g r e e s
o f
f r e e d o m :
[ e d i t ]
O p e r a t i o n s
o n
t h e
d e n s i t y
f u n c
t i o n
T h e
s p l i t
n o r m a l
d i s t r i b u t i o n
i s
o s t
d i r e c t l y
d e f i n e d
i n
t e r m s
o f
j o i n i
n g
s c a l e d
s e c t i o n s
o f
t h e
d e n s i t y
f u n c
t i o n s
o f
d i f f e r e n t
n o r m a l
d i s t r i b u t i o n
a n d
r e s c a l i n g
t h e
d e n s i t y
t o
i n t e g r a
t e
t o
o n e .
T h e t r u n c a t e d
n o r m a l
d i s t r i b
u t i o n
r e s u l t s
f r o m
r e s c a l i n g
s e c t i o n
o f
s i n g l e
d e n s i t y
f u n c t i o n .
[ e d i t ]
E x
t e n s i o n s
T h e
n o t i o n
o f
n o r m a l
d i s t r i b u t
i o n ,
b e i n g
o n e
o f
t h e
m o s t
i m p o r t a n t
i s t r i b u t i o n s
i n
p r o b a b i l i t y
t h e o r y ,
h a
b e e n
e x t e n d e d
f a r
b e y o n d
t h e
s t a n d a r
f r a m e w o r k
o f
t h e
u n i v a r i a t e
( t h a t
i s
o n e d i m e n s i o n a l )
c a s e
( C a s e
1 ) .
A l l
h e s e
e x t e n s i o n s
a r e
a l s o
c a l l e d
n o r m a l
o r
G a u s s i a n
l a w s ,
s o
c e r t a i n
a m b i g u
i t y
i n
n a m e s
e x i s t s .
M u l t i v a r i a t e
n o r m
a l
d i s t r i b u t i o n
d e s c r i b e s
t h e
G a u s s i a n
l a w
i n
t h e
k d i m e n s i o n a l
E u c l i d e a n
s p
a c e .
v e c t o r
X R
k
i s
m u l t i v a r i a t e n
o r m a l l y
d i s t r i b u t e d
i f
a n y
l i n e a r
c o m b
i n a t i o n
o f
i t s
c o m p o n e n t s
k
j = 1
a
j
X
j
a s
( u n i v a r i a t e )
n o r m a l
d i s t r i b u t i o n .
T h e
v a r i a n c e
o f
i s
k k
s y m m e t r i c
p o s i t i v e d e f i n i t e
m a t r i x
V .
R e c t i f i e d
a u s s i a n
d i s t r i b u t i o n
r e c t i f i e d
v e r s i
o n
o f
n o r m a l
d i s t r i b u t i o n
w i t h
a l l
t h e
n e g a t i v e
e l e m e n t s
r e s e t
t o
C o m p l e x
o r m a l
d i s t r i b u t i o n
d e a l s
w i t h
t h e
c o m p
l e x
n o r m a l
v e c t o r s .
c o m p l e x
v e c t o r
C
k
i s
s a i d
t o
b e
n o r m a l
i f
b o t h
i t s
r e a l
a n d
i m a g i n a r y
c o m p o n e n t s
j o i n t l y
p o s s e s s
2 k d i m e n s i o n a l
m u l t i v a r i a t e
n o r m a l
d i s t r i b u t i o n .
T h e
v a r i a n c e c o v
a r i a n c e
s t r u c t u r e
o f
i s
d e s c r i b e d
b y
t w o
m a t r i c e s :
t h e
v a r i a n c e
m a t r i x
a n d
t h e
r e l a t i o n
m a t r i x
C .
M a t r i x
n o r m a
d i s t r i b u t i o n
d e s c r i b e s
t h e
c a s e
o f
o r m a l l y
d i s t r i b u t e d
m a t r i c e s .
G a u s s i a n
p r o c e s s e s
a r e
t h e
n o r m a l l y
d i s t r i b u t e d
s t o c h a s t i c
p r o c e s s e s .
T h e s e
c a n
b e
v i
e w e d
a s
e l e m e n t s
o f
s o m e
i n f i n i t e d i m e
n s i o n a l
H i l b e r t
s p a c e
H ,
a n d
t h u s
a r e
t h e
a n a l o g u e s
o f
m u l t i v a r i a t e
n o r m a l
e c t o r s
f o r
t h e
c a s e
r a n d o m
e l
e m e n t
h H
i s
s a i d
t o
b e
n o r m a l
i f
f o
a n y
c o n s t a n t
a H
t h e
s c a l a r
p r o d u c
( a , h )
h a s
( u n i v a r i a t e )
n o r m a l
d i s
t r i b u t i o n .
T h e
v a r i a n c e
s t r u c t u r e
o f
u c h
G a u s s i a n
r a n d o m
e l e m e n t
c a n
b e
d e s
c r i b e d
i n
t e r m s
o f
t h e
l i n e a r
c o v a r i a n
c e
o p e r a t o r
K :
H H .
S e v e r a l
G a u s s i a n
p r o c e s s e s
b e c a m e
p o p u l a r
e n o u g h
t o
h a
v e
t h e i r
o w n
n a m e s :
B r o w n i a n
m o t i o n ,
B r o
w n i a n
b r i d g e ,
O r n s t e i n U h l e n b e c k
p r o c e s
s .
G a u s s i a n
q d i s t r i b u t i o n
i s
a n
a b s t r a
c t
m a t h e m a t i c a l
c o n s t r u c t i o n
w h i c h
r e p
r e s e n t s
" q a n a l o g u e "
o f
t h e
n o r m a l
i s t r i b u t i o n .
t h e
q G a u s s i a n
i s
a n
a n a l o
g u e
o f
t h e
G a u u s i a n
d i s t r i b u t i o n ,
i n
h e
s e n s e
t h a t
i t
m a x i m i s e s
t h e
T s a l l i s
e n t r o p y ,
a n d
i s
o n e
t y p e
o f
T s a l l i s
i s t r i b u t i o n .
N o t e
t h a t
t h i s
d i s t r i b u t i
o n
i s
d i f f e r e n t
f r o m
t h e G a u s s i a n
q d i s
t r i b u t i o n
a b o v e . O n e
o f
t h e
m a i n
p r a c t i
c a l
u s e s
o f
t h e
G a u s s i a n
l a w
i s
t o
m o d
e l
t h e
e m p i r i c a l
d i s t r i b u t i o n s
o f
m a n y
d i f f e r e n t
r a n d o m
v a r i a b l e s
e n c o u n t e r e
i n
p r a c t i c e .
I n
s u c h
c a s e
p o s s i b l e
e x t e n s i o n
w o u l d
b e
r i c h e r
f a m i l y
o f
d i s t r i b u t i o n s ,
h a v i n g
m o r e
t h a n
t w o
a r a m e t e r s
a n d
t h e r e f o r e
b e i n g
a b l e
t o
f i t
t h e
e m p i r i c a l
d i s t r i b u t i o n
m o r e
a c
c u r a t e l y .
T h e
e x a m p l e s
o f
s u c h
e x t e n s i
o n s
a r e :
P e a r s o n
d i s t r i b u t i o n
f o u r
p a r a m e t r i c
f a m i l y
o f
p r o b a b i l i t y
d i s t
r i b u t i o n s
t h a t
e x t e n d
t h e
n o r m a l
l a w
i n c l u d e
d i f f e r e n t
s k e w n e s s
a n d
k u r t o
s i s
v a l u e s .
[ e d i t ]
N o r m a l i t y t e s t s
M a i n
r t i c l e :
N o r m a l i t y
t e s t s
N o r m a l i t y
t e s t
a s s e s s
t h e
l i k e l i h o o d
t h a t
t h e
g i v e n
d a t a
s e t
{ x
1
x
n
c o m e s
f r o m
n o r
m a l
d i s t r i b u t i o n .
T y p i c a l l y
t h e
n u l l
y p o t h e s i s
H
0
i s
t h a t
t h e
o b s e r v a t i o n s
a r e
d i s t r i b u t e d
n o r m a l l y
w i t h
u n s p e c i f
i e d
m e a n
a n d
v a r i a n c e
v e r s u s
t h e
a l t e r n a t i v e
H
a
t h a t
t h e
d i s t r i b u t i o n
i s
a r b i t r a r y .
g r e a t
n u m b e r
o f
t e s t s
( o v e r
4 0 )
h a v e
b e e n
d e v i s e d
f o r
t h i s
r o b l e m ,
t h e
m o r e
p r o m i n e n t
o f
t h e m
a r e
o u t l i n e d
b e l o w :
" V i s u a l "
t e s t s
a r e
m o
r e
i n t u i t i v e l y
a p p e a l i n g
b u t
s u b j e c t i v
a t
t h e
s a m e
t i m e ,
a s
t h e y
r e l y
o n
i n
f o r m a l
h u m a n
j u d g e m e n t
t o
a c c e p t
o r
r e
j e c t
t h e
n u l l
h y p o t h e s i s .
Q -
p l o t
i s
p l o t
o f
t h e
s o r t e d
v a l u e s
f r o
t h e
d a t a
s e t
a g a i n s t
t h e
e x p e c t e d
v a l u e s
t h e
c o r r e s p o n d i n g
q u a n t i l e s
f r o
t h e
s t a n d a r d
n o r
m a l
d i s t r i b u t i o n .
T h a t
i s
i t ' s
p l o t
o f
p o i n t
o f
t h e
f o r
( p
k
) ,
x
( k )
) ,
w h e r e
p l o t t i n g
p o i n t s
p
k
a r e
e q u a l
t o
p
k
( k
) / ( n
a n d
i s
a n
a d j u s t
m e n t
c o n s t a n t
w h i c
c a n
b e
a n y t h i n g
b e t w e e n
a n d
1 .
I f
t h e
n u l l
h y p o t h e s i s
i s
t r u e ,
t h e
p l o t t
e d
p o i n t s
s h o u l d
a p p r o x i
m a t e l y
l i e
o n
s t r a i g h t
l i n e .
P P
p l o t
s i
m i l a r
t o
t h e
Q -
p l o t ,
b u t
u s e d
m u c h
l e s s
f r e q u
e n t l y .
T h i s
m e t h o d
c o n s i s t s
o f
p l o t t i n
t h e
p o i n t s
( z
( k )
) ,
p
k
) ,
w h e r e
o r
n o r
m a l l y
d i s t r i b u t e d
d a t a
t h i s
p l o t
s h o u l d
l i e
o n
4 5
l i n e
b e t w e e n
( 0 ,
0 )
a n d
( 1 ,
1 ) .
W i l k S h a p i r o
t e s t
m p l o y
t h e
f a c t
t h a t
t h e
l i n e
i n
t h e
Q -
p l
o t
h a s
t h e
s l o p e
o f
T h e
t e s t
c o
m p a r
e s
t h e
l e a s t
s q u a r e s
e s t i
m a t e
o f
t h a t
s l o p e
w i t h
t h e
v a l u e
o f
t h e
s a
m p l e
v a r
i a n c e ,
a n d
r e j e c t s
t h e
n u l l
h y p o t h e s i s
i f
t h e s e
t w o
q u a n t i t i e s
d i f f e r
s i g n i f
i c a n t l y .
N o r
m a l
p r o b a b i l i t y
p l o t
( r a n k i
p l o t )
M o m e n t
t e s t s :
D ' A g o s t i n o ' s
K s q
u a r e d
t e s t
J a r q u e B e r a
t e s t
E m p i r i c a l
d i s t r i b u t i o n
f u n c t i o n
t e s t s :
L i l l i e f o r
t e s t
( a n
a d a p t a t i o n
o f
t h e
K o l
m o g o r o
v S
m i r n o v
t e s t )
A n d e r s o n D a r l i n g
t e s t
[ e d i t ]
E s t i m a t i o n o f p a r a m e t e r s
I t
i s
o f
t e n
t h e
c a s e
t h a t
w e
d o n ' t
k n o w
t h e
p a
r a m e t e r s
o f
t h e
n o r m a l
d i s t r i b u t i o n ,
u t
i n s t e a d
w a n t
t o
e s t i m a t e
t h e m .
T h a t
i s ,
h a v i n g
s a m p l e
( x
1
x
n
f r o m
n o r m a l
N ( ,
2
p o p u l a t i o n
w e
w o u l d
l i k e
t o
l e a r n
t h e
a p p r o x i m a t e
v a l u e s
p a r a m e t e r s
a n d
T h e
s t a n d a r d
a p
p r o a c h
t o
t h i s
p r o b l e m
i s
t h e
m a x i m u m
l i k e l i h o o d
m e t h o d ,
w h i c h
r e q u i r e s
m a x i
m i z a t i o n
o f
t h e
l o g l i k e l i h o o d
f u n c t i o
n :
T a k i n g
d e r i v a t i v e s
w i t h
r e s p e c t
a n d
a n d
s o l v i n g
t h e
r e s u l t i n g
y s t e m
o f
f i r s t
o r d e r
c o n d i t i o n s
y i e l d s
t h e
m a x i m u m
l i k e l i h o o d
e s t i m a t e s :
E s
t i
a t
o r
i s
a l l
p l
n ,
n c
i t
i s
a r i t
e t i c
o f
a l l
b s
e r v
a t i
n s .
s t
a t i s t i c
i s
p l
e t
u f f i c i
n t
o r
e r
e f
o r
b y
S c
e f f
o r
m ,
i s
n i f
o r
m l y
m i
n i
a r i
n c
b i
a s
U )
e s t i
a t
o r .
[ 2 9 ]
f i
n i t
e s
i t
i s
d i s t r i
u t
o r
a l l y :