II. The Normal Distribution

Transcription

1 II. The Normal Distribution The normal distribution (a.k.a., a the Gaussian distribution or bell curve ) is the by far the best known random distribution. It s discovery has had such a far-reaching impact in modeling quantitative phenomena across the physical, social, and biological sciences that it s founder has even found his way on to a major currency (before the Euro):

2 Utility of the Normal Distribution The normal distribution has such broad applicability in part because phenomena in the natural world that t result from the interaction of many environmental and genetic factors tend to follow the normal distribution (e.g., height, weight, measurable intelligence). the sums and averages of random samples have distributions that look roughly normal as the sample size gets larger, the normal approximation gets better. This result is known as the Central Limit Theorem. As we will discuss later, this applies even to samples of categorical variables!

3 Characteristics of the Normal Distribution Symmetric (about the mean), unimodal, bell-shaped. If X ~ N(μ,σ 2 ) where μ is the mean and σ 2 is the variance then the density function of X is given by f ( x, ) exp{ ( x ) / 2 }, for x. 2 Of the subjects in a normally distributed population, 68.3% lie within one standard deviation of the mean, 95.4% lie within 2 s.d. s, and 99.7% lie within 3 s.d. s.

4 Computing Probabilities using the Normal Distribution Recall that for a continuous random variable X with probability density function (pdf) f(x), one cannot compute P(X = x). That is, the pdf does not yield probabilities as does a discrete probability mass function. Technically, for a continuous random variable X, P(X = x) = 0. However, we can compute probabilities over intervals of X that is, the probability that X lies between two numbers a and b is equal to the area under the density curve between a and b, for example: a b

5 Computing Probabilities using the Normal Distribution To this point, we have computed areas under a density curve by using integration. However, since the normal density (i) cannot be integrated in closed form and (ii) is used by researchers with access to modern computing tools, probabilities based on the normal distribution can be obtained using tables or computer software. A normal probability bilit table looks something like what is shown in the handout (reproduced from the Kutner text for this course). Such a table is based on the standard normal distribution, or the normal distribution with zero mean and variance of 1. Using this table, what is the probability that a randomly sampled Using this table, what is the probability that a randomly sampled N(0,1) variable is less than 1.34? Less than 0.28? Between 2.54 and 1.68? For what x does P(Z < x) = 0.975?

6 Standardizing a N(μ,σ 2 ) Random Variable How do we compute probabilities for a normal distribution with arbitrary mean and variance using a standard normal table? Another unique aspect of the normal distribution is that if we have X ~ N(μ,σ 2 ), then any linear function of X is also normally distributed. That is, if we have Y = a + bx for arbitrary constants a and b, then Y ~ N(a + bμ, b 2 σ 2 ). If we define Z =(X μ)/σ, then (using the notation above) a = μ/σ, and b = 1/σ, so that Z ~ N(0,1). Computing Z is called standardizing X. Once we ve converted X into standard units, we can compute probabilities bili i over intervals of X by using the standard normal or Z distribution.

7 Example II.A Data from a study of fking crabs on Kodiak Island, AK, (carried out by the Alaska Department of Fish and Game) show that male crab length is normally distributed with a mean of mm and a standard deviation of 25.5 mm. What proportion of the male crab population on Kodiak Island is less than 140 mm? What proportion is between 100 and 140 mm? What is the probability bili that a randomly selected male crab will measure at least 170 mm? What is the 75 th percentile of this population? The 99 th percentile?

8 Sums of Normally Distributed Random Variables Yet another interesting feature of the normal distribution is that sums of normally distributed independent variables are also normally distributed. Suppose we have two independent random variables X 1 and X 2 such that X 1 ~ N(μ 1,σ, 12 ), and X 2 ~ N(μ 2,σ, 22 ), and we define Y such that Y = c 1 X 1 + c 2 X 2, where c 1 and c 2 are constants. Then Y ~ N(c μ 1 + c 2 μ 2, c 1 σ 1 + c 2 σ 2 ).

9 Distribution of the Sample Mean Recall from our discussion of random variables that if we sample n subjects X 1,,X n at random from a population with an underlying expected value of μ and variance of σ 2, then the expectation of the distribution of the sample mean X is μ, and the variance of X is σ 2 /n. From the previous slide, we can see further that if the sample comes from a normally distributed population p then X ~ N(, 2 / n).

10 Example II.B Consider again the population of Kodiak crabs discussed in Example II.A. Suppose that we randomly sample 20 specimens from this population. What is the probability that the sample mean will lie between and mm? C t i t l t d tth hth t l Compute an interval centered at the mean μ such that a sample average of 20 male crabs will lie within that interval with 95% probability. What sample size is required to reduce the total width of this interval to 20 mm?

11 The Central Limit Theorem Suppose that we have a sample X 1,XX 2,,XX n from some distribution with mean μ and variance σ 2. If n is sufficiently large, then the sample mean X ~ N(μ,σ 2 /n). This is true even if the underlying population is not normal the approximation improves for relatively larger n. We refer to this result as the Central Limit Theorem,, or CLT. It represents one of the most remarkable results in mathematical statistics. The CLT applies even to samples from some categorical The CLT applies even to samples from some categorical distributions (e.g., including the binomial and Poisson distributions).

12 Resources on the Web There are many applets available via the internet that demonstrate the Central Limit Theorem. A simple example using dice is found at You can find a more interesting example at rice edu/ sim/index html You can also easily access web-based CDF calculators for the normal distribution, as well as for other distributions related to the normal (more on those in a moment). For example, this website computes probabilities for a variety of common distributions:

13 The Chi-Square Distribution A related distribution that we will use later on during this semester is the chi-square distribution. If Z is a standard normal random variable, then Z 2 2 is a chi-square random variable with 1 degree of freedom, or 1. The sum of n independent chi-square random variables follows a chi- 2 square distribution with n degrees of freedom, denoted by A chi-square random variable has a range that is nonnegative, and its distribution ib ti is positively skewed. For example the pdf for the chi-square distribution with five degrees of freedom looks something like this: n.

14 The t Distribution Another distribution related to the normal and one upon which we will heavily rely is the t distribution. If Z is a standard normal random variable, and X 2 is an independent χ n2 random variable, then the random variable Z T 2 X / n fll follows a t distribution ib ti with n degrees of freedom. A t distribution actually looks quite similar to the standard normal distribution: it s mean is zero, it is unimodal, bell-shaped, and symmetric. One distinction is that the variability of the t distribution is slightly greater than the Z distribution. As n gets very large, however, the t distribution converges to (i.e., is nearly indistinguishable from) a Z distribution.

15 The F Distribution The third related distribution that we will use is the F distribution. If U and V are independent χ 2 2 n and χ m random variables, respectively, then the variable U / n F V / m follows an F distribution with n and m degrees of freedom. We denote this distribution by F n,m. The F distribution has a range that is nonnegative, and its distribution is positively skewed. For example the pdf for the F 5,10 distribution looks something like this:

16 Example II.F Note that we cannot tabulate the χ 2, t, and F distributions in the same way that we do for the Z distribution there are an infinite number of distributions in each of these families (as many as there are values for the degrees of freedom). Instead of areas under the curve, then, you are given tables in your textbook that contain quantiles from a given χ 2, t, or F distribution. For example, examine the χ 2 table in the back of your book (on page 663). Each row corresponds to a value for the degrees of freedom, and each column corresponds to a right tail area. Hence, the upper 95% quantile from the χ 2 62 distribution ib ti is We will denote this consistent with the text by χ 2 (0.05;6)

17 Example II.F, cont d Find the values of χ 2 (0.975;20) and χ 2 (0.90;11). Find the values of t(0.95;15) and t(0.975;30). Find the values of F(0.95;5,10) and F(0.90;9,20).

18 A few points of review: Given a random sample X ih ( 1,,X n, with E(X i ) = µ and Var(X i ) = σ 2 : 1. X is a random variable: its distribution has a mean of μ, and a variance of σ 2 /n. 2. If the underlying population is normally distributed, then X is normally distributed. 3. Even if the underlying population is not normally distributed, ib d the Central Limit Theorem tells us that for sufficiently large sample size n,, X will be approximately normally distributed.