STT 315, Summer 2006 Lecture 3 Materials Covered: Chapter 4 1. Normal Random Variable. A continuous random variable X is called to be a normal random variable with mean and variance 2, if and only if the probability density function of X is given by 1 f ( x) e 2 ( x )2 2 2 x , , where -<<, and > 0. Notation: X~N(, 2). 2. Properties of the Normal Distribution. (1). If X~N(, 2), then E(X) = , V(X) = 2. (2). If X1,X2,…,Xn are independent random variables that are normally distributed, then the sum S = X1+X2+…+Xn will also be normally distributed with E(S) = E(X1) + E(X2) +…+ E(Xn) and V(S) = V(X1) + V(X2) +…+ V(Xn). Example: Let X1, X2, X3 be independent random variables that are normally distributed with means and variances as follows: Mean Variance X1 10 1 X2 20 2 X3 30 3 Find the distribution of the sum S = X1 + X2 + X3. STT 315, Summer 2006 (3). If X1,X2,…,Xn are independent random variables that are normally distributed, a1, a2,…, an and b are constants, then the sum Q = a1X1+a2X2+…+anXn + b will also be normally distributed with E(Q) = a1E(X1) + a2E(X2) +…+ anE(Xn) and V(Q) = a1 V ( X 1 ) a 2 V ( X 2 ) ... a n V ( X n ) . 2 2 2 Example: Let X1, X2, X3 and X4 be independent random variables that are normally distributed with means and variances as follows: Mean Variance X1 12 4 X2 -5 2 X3 8 5 X4 10 1 Find the distribution of the sum Q = X1 - 2X2 + 3X3- 4X4+ 5. Find also the standard deviation of Q. 3. The Standard Normal Distribution. We define the standard normal random variable Z as the normal random variable with mean =0, and the standard deviation = 1. Notation Z ~ N(0, 1). STT 315, Summer 2006 Finding the probability of the N(0,1). (1). How to find F(z) = P(Zz)? The normal table only gives the probability of the type P(0Zz), z > 0. Basic Formula: Let TA denote the table area, then (1). If z > 0, then F(z) = (TA of 0 Z z) + 0.5. (2). If z < 0, then F(z) = 0.5 – (TA of 0 Z |z| ). Example: Let Z ~N(0,1), find P(Z 1.1), P(Z0.92 ) and P(Z < -1.23). (2). How to find P(Z > z)? P(Z > z) =1- P(Z z). STT 315, Summer 2006 Example: Let Z ~N(0,1), find P(Z > 1.1). (3). How to find P(z1 Z z2)? P(z1 Z z2) = P(Z z2) – P(Z z1) = F(z2) – F(z1) Example: Let Z ~ N(0, 1), Find P(-1.2 Z 2.32), P(-1.2 Z -1), P(1 Z 2.32) Finding Values of Z Given a Probability. Problem: let be any given number in [0,1], how to find a value z such that P(Zz) = ? Example: Find z such that (1). P(0 Z z) = 0.3997 (2). P(0 Z z) = 0.3769 (3). P(0 Z z) = 0.4926 Example: Find z such that P(Zz) = 0.6772, P(Zz) = 0.47. STT 315, Summer 2006 4. The Transformation of Normal Random Variable. If X ~N(,), then Z=(X - )/ ~ N(0, 1); If Z ~ N(0,1), then X=+Z ~ N(,). Suppose X ~N(,). How to find P(X<a), P(X>b), or P(a<X<b)? a P ( X a ) P Z b P ( X b ) P Z b a P ( a X b ) P Z Example: Suppose X ~N(383, 144). Find P(394<X<399). Example: The concentration of impurities in a semiconductor used in the production of microprocessors for computers is a normally distributed random variable with mean 127 parts per million and standard deviation 22. A semiconductor is acceptable only if its concentration of impurities is below 150 parts per million. What proportion of the semiconductors is acceptable for use? Example: Let X ~N(124, 144). Find the value of x such that P(X>x) = 0.10.