Coupon Accepted Successfully!


Normal (Gaussian) distribution

  • The normal distribution is defined by first two moments, mean (µ) and variance (σ2)
  • The probability density function P(x) of normally distributed variable is given by: 
  • The probability of the value lying between a and b is given by:
  • The expected value of a normally distributed variable: E[X]= µ,
  • The variance of normally distributed variable: Var(X)= σ2
  • If two variables are individually normally distributed, then the linear combination of the both is also normally distributed
  • Lets take an example of two variable X1 and X2 which are normally distributed such that:
  •  X1~N(µ1, σ1) and X2~N(µ2, σ2)
  • Then X= a.X1+ b.X2 is also normally distributed


The skewness of normal distribution is = 0 and the kurtosis is = 3


Test Your Skills Now!
Take a Quiz now
Reviewer Name