Properties Of Normal Distribution

The function f(x ) defining the normal distribution is a proper p.d.f . i.e. f(x)≥0 and total area
under the normal curve is unity.
a normal distribution is defined by p.d.f
−(𝑥−𝜇)2
1
𝑓 𝑥 = σ 2𝜋
𝑒 2𝜎2 for 𝜎 > 0, −∞ < 𝜇 < ∞ and −∞ < 𝑥 < ∞ eq(1)

𝑓 𝑥 ≥0 𝑒𝑞(2)

𝑏𝑒𝑐𝑎𝑢𝑠𝑒 𝜎 𝑖𝑠 𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒, 2𝜋 𝑖𝑠 𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒, 𝑎𝑛𝑑 𝑒𝑥𝑝𝑜𝑛𝑒𝑛𝑡𝑖𝑎𝑙 𝑓𝑢𝑛𝑐𝑡𝑖𝑜𝑛 𝑎𝑙𝑠𝑜 𝑔𝑖𝑣𝑒 𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒 𝑣𝑎𝑙𝑢𝑒𝑠
Product of positive values is also positive.

When we integrate the function by applying limits we get total area under the normal curve i.e equal to
unity.
∞
‫׬‬−∞ 𝑓(𝑥) 𝑑𝑥 =1 𝑒𝑞(3)
The total area under the normal curve is unity hence function defines a proper pdf.
• The mean and variance of normal distribution are 𝜇 𝑎𝑛𝑑 𝜎 2 respectively.
∞
𝜇 = 𝐸 𝑋 = ‫׬‬−∞ 𝑥𝑓(𝑥) dx 𝑒𝑞(4)

𝑧−𝜇
By putting x= and 𝑒𝑞 1 𝑖𝑛 𝑒𝑞 4 and integrate the 𝑒𝑞(4) We get
𝜎

E(x)=𝜇 𝑒𝑞 5

𝜇 𝑖𝑠 𝑚𝑒𝑎𝑛 𝑜𝑓 𝑛𝑜𝑟𝑚𝑎𝑙 𝑑𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑖𝑜𝑛

And
∞
𝑣𝑎𝑥 𝑋 = 𝐸(𝑋 − 𝜇)2 =‫׬‬−∞(𝑥 − 𝜇)2 f(𝑥) dx 𝑒𝑞 (6)

By integrating we get

𝑣𝑎𝑥 𝑋 = 𝜎 2 𝑒𝑞(7)
• The median and mode of normal distribution is equal to 𝜇, the mean of normal distribution.
median a is given by
𝑎
1
න 𝑓 𝑥 𝑑𝑥 =
−∞ 2
𝑎−𝜇
=0
𝜎

we get

𝑎 = 𝜇 median of distribution
Mode is tat value of x for which 𝑓′ 𝑥 = 0 𝑎𝑛𝑑 𝑓 ′′ 𝑥 < 0

−(𝑥−𝜇)2
1 𝑥−𝜇
𝑓′ 𝑥 = 𝑒 2𝜎2 ( )(-1)
σ 2𝜋 𝜎

By putting f ′ x =0 we get 𝑥 = 𝜇 and again differentiate 𝑓 𝑥 𝑡𝑜 𝑔𝑒𝑡 𝑠𝑒𝑐𝑜𝑛𝑑 𝑑𝑒𝑟𝑖𝑣𝑎𝑡𝑖𝑣𝑒

Substitute 𝑥 = 𝜇 𝑖𝑛 𝑓 ′′ 𝑥 𝑤𝑒 𝑔𝑒𝑡 𝑓 ′′ 𝑥 < 0 𝑡ℎ𝑢𝑠 𝑥 = 𝜇 𝑖𝑠 𝑚𝑜𝑑𝑒 𝑜𝑓 𝑑𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑖𝑜𝑛
mean=mode=median

Hence normal distribution is symmetric and unimodal.

 4
• The mean deviation of normal distribution is approximately 5 of its standard deviation.
−(𝑥−𝜇)2
∞ 1
M.D= 𝑋 − 𝜇 =‫׬‬−∞ 𝑥=𝜇 . 𝑒 2𝜎2 dx
σ 2𝜋

2 4
Integrate the above equation we get σ =0.7979 which is equal to σ approximately.
𝜋 5