Normal distribution

In probability theory and statistics, a normal distribution or Gaussian distribution is a type of

continuous probability distribution for a real-valued random variable. The general form of its
probability density function is[2][3]

The parameter ⁠ ⁠is the mean or expectation of the distribution (and also its median and mode),
while the parameter is the variance. The standard deviation of the distribution is ⁠ ⁠(sigma). A
random variable with a Gaussian distribution is said to be normally distributed, and is called a
normal deviate.

Normal distributions are important in statistics and are often used in the natural and social sciences
to represent real-valued random variables whose distributions are not known.[4][5] Their importance
is partly due to the central limit theorem. It states that, under some conditions, the average of many
samples (observations) of a random variable with finite mean and variance is itself a random
variable—whose distribution converges to a normal distribution as the number of samples
increases. Therefore, physical quantities that are expected to be the sum of many independent
processes, such as measurement errors, often have distributions that are nearly normal.[6]

Moreover, Gaussian distributions have some unique properties that are valuable in analytic studies.
For instance, any linear combination of a fixed collection of independent normal deviates is a
normal deviate. Many results and methods, such as propagation of uncertainty and least squares[7]
parameter fitting, can be derived analytically in explicit form when the relevant variables are
normally distributed.

A normal distribution is sometimes informally called a bell curve.[8] However, many other
distributions are bell-shaped (such as the Cauchy, Student's t, and logistic distributions). (For other
names, see Naming.)

The univariate probability distribution is generalized for vectors in the multivariate normal
distribution and for matrices in the matrix normal distribution.
Definitions Normal distribution

Probability density function

Standard normal distribution

The simplest case of a normal distribution is

known as the standard normal distribution or unit
normal distribution. This is a special case when
and , and it is described by this
probability density function (or density):
The red curve is the standard normal
distribution.

The variable ⁠ ⁠has a mean of 0 and a variance Cumulative distribution function

and standard deviation of 1. The density
has its peak at and inflection points

at and ⁠ ⁠.

Although the density above is most commonly

known as the standard normal, a few authors have
used that term to describe other versions of the
normal distribution. Carl Friedrich Gauss, for
Notation
example, once defined the standard normal as

Parameters = mean (location)

= variance (squared
scale)
which has a variance of ⁠ ⁠, and Stephen Stigler[9]
Support
once defined the standard normal as
PDF
which has a simple functional form and a
variance of
CDF

General normal distribution Quantile

Every normal distribution is a version of the Mean

standard normal distribution, whose domain has
Median
been stretched by a factor ⁠ ⁠(the standard
deviation) and then translated by ⁠ ⁠(the mean Mode
value):
Variance

MAD

AAD
The probability density must be scaled by so
that the integral is still 1. Skewness

If ⁠ ⁠is a standard normal deviate, then Excess kurtosis

will have a normal distribution
Entropy
with expected value ⁠ ⁠and standard deviation ⁠ ⁠.
This is equivalent to saying that the standard MGF
normal distribution ⁠ ⁠can be scaled/stretched by
CF
a factor of ⁠ ⁠and shifted by ⁠ ⁠to yield a different
normal distribution, called ⁠ ⁠. Conversely, if ⁠ ⁠is Fisher
a normal deviate with parameters ⁠ ⁠and , then information
this ⁠ ⁠distribution can be re-scaled and shifted
via the formula to convert it to
the standard normal distribution. This variate is
also called the standardized form of ⁠ ⁠. Kullback–Leibler
divergence

Notation Expected
shortfall
The probability density of the standard Gaussian
distribution (standard normal distribution, with
[1]
zero mean and unit variance) is often denoted
with the Greek letter ⁠ ⁠(phi).[10] The alternative
form of the Greek letter phi, ⁠ ⁠, is also used quite often.

The normal distribution is often referred to as or ⁠ .⁠[11] Thus when a random

variable ⁠ ⁠is normally distributed with mean ⁠ ⁠and standard deviation ⁠ ⁠, one may write
Alternative parameterizations

Some authors advocate using the precision ⁠ ⁠as the parameter defining the width of the distribution,
instead of the standard deviation ⁠ ⁠or the variance ⁠ ⁠. The precision is normally defined as the
reciprocal of the variance, ⁠ .⁠[12] The formula for the distribution then becomes

This choice is claimed to have advantages in numerical computations when ⁠ ⁠is very close to zero,
and simplifies formulas in some contexts, such as in the Bayesian inference of variables with
multivariate normal distribution.

Alternatively, the reciprocal of the standard deviation might be defined as the precision, in
which case the expression of the normal distribution becomes

According to Stigler, this formulation is advantageous because of a much simpler and easier-to-
remember formula, and simple approximate formulas for the quantiles of the distribution.

Normal distributions form an exponential family with natural parameters and ,

and natural statistics x and x2. The dual expectation parameters for normal distribution are η1 = μ
and η2 = μ2 + σ2.

Cumulative distribution function

The cumulative distribution function (CDF) of the standard normal distribution, usually denoted with
the capital Greek letter ⁠ ⁠, is the integral

Error function

The related error function gives the probability of a random variable, with normal distribution
of mean 0 and variance 1/2 falling in the range ⁠ ⁠. That is:
These integrals cannot be expressed in terms of elementary functions, and are often said to be
special functions. However, many numerical approximations are known; see below for more.

The two functions are closely related, namely

For a generic normal distribution with density ⁠ ⁠, mean ⁠and variance , the cumulative
distribution function is

The complement of the standard normal cumulative distribution function, , is

often called the Q-function, especially in engineering texts.[13][14] It gives the probability that the
value of a standard normal random variable ⁠ ⁠will exceed ⁠ ⁠: ⁠ ⁠. Other definitions of the
⁠-function, all of which are simple transformations of ⁠ ⁠, are also used occasionally.[15]

The graph of the standard normal cumulative distribution function ⁠ ⁠has 2-fold rotational symmetry
around the point (0,1/2); that is, ⁠ ⁠. Its antiderivative (indefinite integral) can be
expressed as follows:

The cumulative distribution function of the standard normal distribution can be expanded by
integration by parts into a series:

where denotes the double factorial.

An asymptotic expansion of the cumulative distribution function for large x can also be derived
using integration by parts. For more, see Error function § Asymptotic expansion.[16]

A quick approximation to the standard normal distribution's cumulative distribution function can be
found by using a Taylor series approximation:
Recursive computation with Taylor series expansion

The recursive nature of the family of derivatives may be used to easily construct a rapidly
converging Taylor series expansion using recursive entries about any point of known value of the
distribution, :

where:

Using the Taylor series and Newton's method for the inverse function

An application for the above Taylor series expansion is to use Newton's method to reverse the
computation. That is, if we have a value for the cumulative distribution function, , but do not
know the x needed to obtain the , we can use Newton's method to find x, and use the Taylor
series expansion above to minimize the number of computations. Newton's method is ideal to solve
this problem because the first derivative of , which is an integral of the normal standard
distribution, is the normal standard distribution, and is readily available to use in the Newton's
method solution.

To solve, select a known approximate solution, , to the desired ⁠ ⁠. may be a value from a
distribution table, or an intelligent estimate followed by a computation of using any desired
means to compute. Use this value of and the Taylor series expansion above to minimize
computations.

Repeat the following process until the difference between the computed and the desired ⁠ ⁠,
which we will call , is below a chosen acceptably small error, such as 10−5, 10−15, etc.:
where

is the from a Taylor series solution using and

When the repeated computations converge to an error below the chosen acceptably small value, x
will be the value needed to obtain a of the desired value, ⁠ ⁠.

Standard deviation and coverage

For the normal distribution, the values less than one

standard deviation from the mean account for 68.27% of the
set; while two standard deviations from the mean account
for 95.45%; and three standard deviations account for
99.73%.

About 68% of values drawn from a normal distribution are within one standard deviation σ from the
mean; about 95% of the values lie within two standard deviations; and about 99.7% are within three
standard deviations.[8] This fact is known as the 68–95–99.7 (empirical) rule, or the 3-sigma rule.

More precisely, the probability that a normal deviate lies in the range between and
is given by

To 12 significant digits, the values for are:

⁠ ⁠ OEIS

1 0.682 689 492 137 0.317 310 507 863 3.151 487 187 53 OEIS: A178647

2 0.954 499 736 104 0.045 500 263 896 21.977 894 5080 OEIS: A110894

3 0.997 300 203 937 0.002 699 796 063 370.398 347 345 OEIS: A270712

4 0.999 936 657 516 0.000 063 342 484 15 787.192 7673

5 0.999 999 426 697 0.000 000 573 303 1 744 277.893 62

6 0.999 999 998 027 0.000 000 001 973 506 797 345.897

For large ⁠ ⁠, one can use the approximation .

Quantile function

The quantile function of a distribution is the inverse of the cumulative distribution function. The
quantile function of the standard normal distribution is called the probit function, and can be
expressed in terms of the inverse error function:

For a normal random variable with mean ⁠ ⁠and variance , the quantile function is

The quantile of the standard normal distribution is commonly denoted as ⁠ ⁠. These values
are used in hypothesis testing, construction of confidence intervals and Q–Q plots. A normal
random variable ⁠ ⁠will exceed with probability , and will lie outside the interval
with probability ⁠ ⁠. In particular, the quantile is 1.96; therefore a normal
random variable will lie outside the interval in only 5% of cases.

The following table gives the quantile such that ⁠ will lie in the range with a specified
probability ⁠ ⁠. These values are useful to determine tolerance interval for sample averages and other
statistical estimators with normal (or asymptotically normal) distributions.[17] The following table

shows , not as defined above.

⁠ ⁠ ⁠ ⁠

0.80 1.281 551 565 545 0.999 3.290 526 731 492

0.90 1.644 853 626 951 0.9999 3.890 591 886 413

0.95 1.959 963 984 540 0.99999 4.417 173 413 469

0.98 2.326 347 874 041 0.999999 4.891 638 475 699

0.99 2.575 829 303 549 0.9999999 5.326 723 886 384

0.995 2.807 033 768 344 0.99999999 5.730 728 868 236

0.998 3.090 232 306 168 0.999999999 6.109 410 204 869

For small ⁠ ⁠, the quantile function has the useful asymptotic expansion

Properties

The normal distribution is the only distribution whose cumulants beyond the first two (i.e., other
than the mean and variance) are zero. It is also the continuous distribution with the maximum
entropy for a specified mean and variance.[18][19] Geary has shown, assuming that the mean and
variance are finite, that the normal distribution is the only distribution where the mean and variance
calculated from a set of independent draws are independent of each other.[20][21]

The normal distribution is a subclass of the elliptical distributions. The normal distribution is
symmetric about its mean, and is non-zero over the entire real line. As such it may not be a suitable
model for variables that are inherently positive or strongly skewed, such as the weight of a person or
the price of a share. Such variables may be better described by other distributions, such as the log-
normal distribution or the Pareto distribution.

The value of the normal density is practically zero when the value ⁠ ⁠lies more than a few standard
deviations away from the mean (e.g., a spread of three standard deviations covers all but 0.27% of
the total distribution). Therefore, it may not be an appropriate model when one expects a significant
fraction of outliers—values that lie many standard deviations away from the mean—and least
squares and other statistical inference methods that are optimal for normally distributed variables
often become highly unreliable when applied to such data. In those cases, a more heavy-tailed
distribution should be assumed and the appropriate robust statistical inference methods applied.

The Gaussian distribution belongs to the family of stable distributions which are the attractors of
sums of independent, identically distributed distributions whether or not the mean or variance is
finite. Except for the Gaussian which is a limiting case, all stable distributions have heavy tails and
infinite variance. It is one of the few distributions that are stable and that have probability density
functions that can be expressed analytically, the others being the Cauchy distribution and the Lévy
distribution.

Symmetries and derivatives

The normal distribution with density (mean ⁠ ⁠and variance ) has the following
properties:

It is symmetric around the point which is at the same time the mode, the median and the
mean of the distribution.[22]

It is unimodal: its first derivative is positive for negative for and zero only at

The area bounded by the curve and the ⁠ ⁠-axis is unity (i.e. equal to one).

Its first derivative is

Its second derivative is

Its density has two inflection points (where the second derivative of ⁠ ⁠is zero and changes sign),
[22]
located one standard deviation away from the mean, namely at and

Its density is log-concave.[22]

Its density is infinitely differentiable, indeed supersmooth of order 2.[23]

Furthermore, the density ⁠ ⁠of the standard normal distribution (i.e. and ) also has the
following properties:

Its first derivative is

Its second derivative is

More generally, its nth derivative is where is the nth

(probabilist) Hermite polynomial.[24]

The probability that a normally distributed variable ⁠ ⁠with known ⁠ ⁠and is in a particular set,
can be calculated by using the fact that the fraction has a standard normal
distribution.
Moments

The plain and absolute moments of a variable ⁠ ⁠are the expected values of and ,
respectively. If the expected value ⁠ ⁠of ⁠ is zero, these parameters are called central moments;
otherwise, these parameters are called non-central moments. Usually we are interested only in
moments with integer order ⁠ ⁠.

If ⁠ ⁠has a normal distribution, the non-central moments exist and are finite for any ⁠ ⁠whose real
part is greater than −1. For any non-negative integer ⁠ ⁠, the plain central moments are:[25]

Here denotes the double factorial, that is, the product of all numbers from ⁠ ⁠to 1 that have the
same parity as

The central absolute moments coincide with plain moments for all even orders, but are nonzero for
odd orders. For any non-negative integer

The last formula is valid also for any non-integer When the mean the plain and
[26]
absolute moments can be expressed in terms of confluent hypergeometric functions and

These expressions remain valid even if ⁠ is not an integer. See also generalized Hermite
polynomials.
Order Non-central moment, Central moment,

1 ⁠ ⁠ ⁠⁠

3 ⁠⁠

5 ⁠⁠

7 ⁠⁠

The expectation of ⁠ ⁠conditioned on the event that ⁠ ⁠lies in an interval is given by

where ⁠ ⁠and ⁠ ⁠respectively are the density and the cumulative distribution function of ⁠ ⁠. For
this is known as the inverse Mills ratio. Note that above, density ⁠ ⁠of ⁠ ⁠is used instead of
standard normal density as in inverse Mills ratio, so here we have instead of ⁠ ⁠.

Fourier transform and characteristic function

The Fourier transform of a normal density ⁠ ⁠with mean ⁠ ⁠and variance is[27]

where ⁠ ⁠is the imaginary unit. If the mean , the first factor is 1, and the Fourier transform is,
apart from a constant factor, a normal density on the frequency domain, with mean 0 and variance
⁠. In particular, the standard normal distribution ⁠ ⁠is an eigenfunction of the Fourier transform.

In probability theory, the Fourier transform of the probability distribution of a real-valued random
variable ⁠ ⁠is closely connected to the characteristic function of that variable, which is
defined as the expected value of , as a function of the real variable ⁠ ⁠(the frequency parameter
of the Fourier transform). This definition can be analytically extended to a complex-value variable
.⁠[28] The relation between both is:
Moment- and cumulant-generating functions

The moment generating function of a real random variable ⁠ ⁠is the expected value of , as a
function of the real parameter ⁠ ⁠. For a normal distribution with density ⁠ ⁠, mean ⁠ ⁠and variance ,
the moment generating function exists and is equal to

For any ⁠ ⁠, the coefficient of ⁠ ⁠in the moment generating function (expressed as an exponential
power series in ⁠ ⁠) is the normal distribution's expected value ⁠ ⁠.

The cumulant generating function is the logarithm of the moment generating function, namely

The coefficients of this exponential power series define the cumulants, but because this is a
quadratic polynomial in ⁠ ⁠, only the first two cumulants are nonzero, namely the mean ⁠ ⁠and the
variance ⁠ ⁠.
2 2
Some authors prefer to instead work with the characteristic function E[eitX] = eiμt − σ t /2
and
1
ln E[eitX] = iμt − ⁠2 ⁠σ2t2.

Stein operator and class

Within Stein's method the Stein operator and class of a random variable are
and the class of all absolutely continuous functions
.

Zero-variance limit

In the limit when tends to zero, the probability density eventually tends to zero at any
, but grows without limit if , while its integral remains equal to 1. Therefore, the normal
distribution cannot be defined as an ordinary function when ⁠ ⁠.

However, one can define the normal distribution with zero variance as a generalized function;
specifically, as a Dirac delta function ⁠ ⁠translated by the mean ⁠ ⁠, that is Its
cumulative distribution function is then the Heaviside step function translated by the mean ⁠ ⁠,
namely

Maximum entropy

Of all probability distributions over the reals with a specified finite mean ⁠ ⁠and finite variance ,
the normal distribution is the one with maximum entropy.[29] To see this, let ⁠ ⁠be a
continuous random variable with probability density ⁠ ⁠. The entropy of ⁠ ⁠is defined as[30][31][32]

where is understood to be zero whenever ⁠ ⁠. This functional can be

maximized, subject to the constraints that the distribution is properly normalized and has a
specified mean and variance, by using variational calculus. A function with three Lagrange
multipliers is defined:

At maximum entropy, a small variation about will produce a variation about ⁠ ⁠

which is equal to 0:

Since this must hold for any small , the factor multiplying must be zero, and solving for
yields:

The Lagrange constraints that is properly normalized and has the specified mean and variance
are satisfied if and only if , , and are chosen so that

The entropy of a normal distribution is equal to

which is independent of the mean ⁠ ⁠.

Other properties
1. If the characteristic function of some random variable ⁠ ⁠is of the form
in a neighborhood of zero, where is a polynomial, then the
Marcinkiewicz theorem (named after Józef Marcinkiewicz) asserts that ⁠ ⁠can be at most a
quadratic polynomial, and therefore ⁠ ⁠is a normal random variable.[33] The consequence of
this result is that the normal distribution is the only distribution with a finite number (two) of
non-zero cumulants.

2. If ⁠ ⁠and ⁠ ⁠are jointly normal and uncorrelated, then they are independent. The requirement
that ⁠ ⁠and ⁠ ⁠should be jointly normal is essential; without it the property does not hold.[34][35]
[proof]
For non-normal random variables uncorrelatedness does not imply independence.

3. The Kullback–Leibler divergence of one normal distribution from another

is given by:[36]

The Hellinger distance between the same distributions is equal to

4. The Fisher information matrix for a normal distribution w.r.t. ⁠and is diagonal and takes
the form

5. The conjugate prior of the mean of a normal distribution is another normal distribution.[37]
Specifically, if are iid and the prior is , then the
posterior distribution for the estimator of ⁠ ⁠will be

6. The family of normal distributions not only forms an exponential family (EF), but in fact forms
a natural exponential family (NEF) with quadratic variance function (NEF-QVF). Many
properties of normal distributions generalize to properties of NEF-QVF distributions, NEF
distributions, or EF distributions generally. NEF-QVF distributions comprises 6 families,
including Poisson, Gamma, binomial, and negative binomial distributions, while many of the
common families studied in probability and statistics are NEF or EF.
7. In information geometry, the family of normal distributions forms a statistical manifold with
constant curvature ⁠ ⁠. The same family is flat with respect to the (±1)-connections and
.[38]

8. If are distributed according to , then . Note

that there is no assumption of independence.[39]

Related distributions

Central limit theorem

As the number of discrete events

increases, the function begins to resemble
a normal distribution.
Comparison of probability density
functions, for the sum of ⁠ ⁠fair 6-
sided dice to show their convergence to a
normal distribution with increasing , in
accordance to the central limit theorem. In
the bottom-right graph, smoothed profiles
of the previous graphs are rescaled,
superimposed and compared with a
normal distribution (black curve).

The central limit theorem states that under certain (fairly common) conditions, the sum of many
random variables will have an approximately normal distribution. More specifically, where
are independent and identically distributed random variables with the same arbitrary
distribution, zero mean, and variance and ⁠ ⁠is their mean scaled by

Then, as ⁠ ⁠increases, the probability distribution of ⁠ ⁠will tend to the normal distribution with zero
mean and variance ⁠ ⁠.

The theorem can be extended to variables that are not independent and/or not identically
distributed if certain constraints are placed on the degree of dependence and the moments of the
distributions.

Many test statistics, scores, and estimators encountered in practice contain sums of certain
random variables in them, and even more estimators can be represented as sums of random
variables through the use of influence functions. The central limit theorem implies that those
statistical parameters will have asymptotically normal distributions.
The central limit theorem also implies that certain distributions can be approximated by the normal
distribution, for example:

The binomial distribution is approximately normal with mean and variance

for large ⁠ ⁠and for ⁠ ⁠not too close to 0 or 1.

The Poisson distribution with parameter ⁠ ⁠is approximately normal with mean ⁠ ⁠and variance ⁠ ⁠,
for large values of ⁠ .⁠[40]

The chi-squared distribution is approximately normal with mean ⁠ ⁠and variance , for
large ⁠ ⁠.

The Student's t-distribution is approximately normal with mean 0 and variance 1 when ⁠ is
large.

Whether these approximations are sufficiently accurate depends on the purpose for which they are
needed, and the rate of convergence to the normal distribution. It is typically the case that such
approximations are less accurate in the tails of the distribution.

A general upper bound for the approximation error in the central limit theorem is given by the Berry–
Esseen theorem, improvements of the approximation are given by the Edgeworth expansions.

This theorem can also be used to justify modeling the sum of many uniform noise sources as
Gaussian noise. See AWGN.
Operations and functions of normal variables

a: Probability density of a function

of a normal variable ⁠ ⁠with
and ⁠ ⁠. b: Probability
density of a function of two
normal variables ⁠ ⁠and ⁠ ⁠, where
, , ,
, and ⁠ ⁠. c: Heat
map of the joint probability density of
two functions of two correlated
normal variables ⁠ ⁠and ⁠ ⁠, where
, , ,
, and . d:
Probability density of a function
of 4 iid standard normal
variables. These are computed by the
numerical method of ray-tracing.[41]

The probability density, cumulative distribution, and inverse cumulative distribution of any function
of one or more independent or correlated normal variables can be computed with the numerical
method of ray-tracing[41] (Matlab code (https://www.mathworks.com/matlabcentral/fileexchange/8
4973-integrate-and-classify-normal-distributions) ). In the following sections we look at some
special cases.

Operations on a single normal variable

If ⁠ ⁠is distributed normally with mean ⁠ ⁠and variance , then

, for any real numbers ⁠ ⁠and ⁠ ⁠, is also normally distributed, with mean and
variance . That is, the family of normal distributions is closed under linear transformations.

The exponential of ⁠ ⁠is distributed log-normally: .

The standard sigmoid of ⁠ ⁠is logit-normally distributed: .

The absolute value of ⁠ ⁠has folded normal distribution: . If this is

known as the half-normal distribution.

The absolute value of normalized residuals, , has chi distribution with one degree of
freedom: .

The square of has the noncentral chi-squared distribution with one degree of freedom:
. If , the distribution is called simply chi-squared.

The log-likelihood of a normal variable ⁠ ⁠is simply the log of its probability density function:

Since this is a scaled and shifted square of a standard normal variable, it is distributed as a
scaled and shifted chi-squared variable.

The distribution of the variable ⁠ ⁠restricted to an interval is called the truncated normal
distribution.
has a Lévy distribution with location 0 and scale .

Operations on two independent normal variables

If and are two independent normal random variables, with means , and variances
, , then their sum will also be normally distributed,[proof] with mean and
variance .

In particular, if ⁠ ⁠and ⁠ ⁠are independent normal deviates with zero mean and variance , then
and are also independent and normally distributed, with zero mean and variance
. This is a special case of the polarization identity.[42]

If , are two independent normal deviates with mean ⁠ ⁠and variance , and ⁠, ⁠ ⁠are
arbitrary real numbers, then the variable

is also normally distributed with mean ⁠ ⁠and variance . It follows that the normal distribution is
stable (with exponent ).

If , are normal distributions, then their normalized geometric

mean is a normal distribution with

and (see here (https://www.geogebra.org/geomet

ry/qfqnjtsu) for a visualization).

Operations on two independent standard normal variables

If and are two independent standard normal random variables with mean 0 and variance 1,
then

Their sum and difference is distributed normally with mean zero and variance two:
.

Their product follows the product distribution[43] with density function

where is the modified Bessel function of the second kind. This
distribution is symmetric around zero, unbounded at , and has the characteristic function
.

Their ratio follows the standard Cauchy distribution: .

Their Euclidean norm has the Rayleigh distribution.

Operations on multiple independent normal variables
Any linear combination of independent normal deviates is a normal deviate.

If are independent standard normal random variables, then the sum of their
squares has the chi-squared distribution with ⁠ ⁠degrees of freedom

If are independent normally distributed random variables with means ⁠ ⁠and

variances , then their sample mean is independent from the sample standard deviation,[44]
which can be demonstrated using Basu's theorem or Cochran's theorem.[45] The ratio of these two
quantities will have the Student's t-distribution with degrees of freedom:

If , are independent standard normal random variables, then

the ratio of their normalized sums of squares will have the F-distribution with (n, m) degrees of
freedom:[46]

Operations on multiple correlated normal variables

A quadratic form of a normal vector, i.e. a quadratic function of multiple

independent or correlated normal variables, is a generalized chi-square variable.

Operations on the density function

The split normal distribution is most directly defined in terms of joining scaled sections of the
density functions of different normal distributions and rescaling the density to integrate to one. The
truncated normal distribution results from rescaling a section of a single density function.

Infinite divisibility and Cramér's theorem

For any positive integer , any normal distribution with mean ⁠ ⁠and variance is the distribution

of the sum of independent normal deviates, each with mean and variance . This property is
called infinite divisibility.[47]

Conversely, if and are independent random variables and their sum has a normal
distribution, then both and must be normal deviates.[48]

This result is known as Cramér's decomposition theorem, and is equivalent to saying that the
convolution of two distributions is normal if and only if both are normal. Cramér's theorem implies
that a linear combination of independent non-Gaussian variables will never have an exactly normal
distribution, although it may approach it arbitrarily closely.[33]

The Kac–Bernstein theorem

The Kac–Bernstein theorem states that if and ⁠ ⁠are independent and and are
also independent, then both X and Y must necessarily have normal distributions.[49][50]

More generally, if are independent random variables, then two distinct linear
combinations and will be independent if and only if all are normal and
[49]
, where denotes the variance of .

Extensions

The notion of normal distribution, being one of the most important distributions in probability theory,
has been extended far beyond the standard framework of the univariate (that is one-dimensional)
case (Case 1). All these extensions are also called normal or Gaussian laws, so a certain ambiguity
in names exists.

The multivariate normal distribution describes the Gaussian law in the k-dimensional Euclidean
space. A vector X ∈R k
is multivariate-normally distributed if any linear combination of its
k
components Σj=1aj Xj has a (univariate) normal distribution. The variance of X is a k×k symmetric
positive-definite matrix V. The multivariate normal distribution is a special case of the elliptical
distributions. As such, its iso-density loci in the k = 2 case are ellipses and in the case of arbitrary
k are ellipsoids.

Rectified Gaussian distribution a rectified version of normal distribution with all the negative
elements reset to 0

Complex normal distribution deals with the complex normal vectors. A complex vector X ∈C k
is
said to be normal if both its real and imaginary components jointly possess a 2k-dimensional
multivariate normal distribution. The variance-covariance structure of X is described by two
matrices: the variance matrix Γ, and the relation matrix C.

Matrix normal distribution describes the case of normally distributed matrices.

Gaussian processes are the normally distributed stochastic processes. These can be viewed as
elements of some infinite-dimensional Hilbert space H, and thus are the analogues of multivariate
normal vectors for the case k = ∞. A random element h ∈ H is said to be normal if for any
constant a ∈ H the scalar product (a, h) has a (univariate) normal distribution. The variance
structure of such Gaussian random element can be described in terms of the linear covariance
operator K: H → H. Several Gaussian processes became popular enough to have their own
names:
Brownian motion,

Brownian bridge,

Ornstein–Uhlenbeck process.

Gaussian q-distribution is an abstract mathematical construction that represents a q-analogue of

the normal distribution.

the q-Gaussian is an analogue of the Gaussian distribution, in the sense that it maximises the
Tsallis entropy, and is one type of Tsallis distribution. This distribution is different from the
Gaussian q-distribution above.

The Kaniadakis κ-Gaussian distribution is a generalization of the Gaussian distribution which

arises from the Kaniadakis statistics, being one of the Kaniadakis distributions.

A random variable X has a two-piece normal distribution if it has a distribution

where μ is the mean and σ12 and σ22 are the variances of the distribution to the left and right of the
mean respectively.

The mean, variance and third central moment of this distribution have been determined[51]

where E(X), V(X) and T(X) are the mean, variance, and third central moment respectively.
One of the main practical uses of the Gaussian law is to model the empirical distributions of many
different random variables encountered in practice. In such case a possible extension would be a
richer family of distributions, having more than two parameters and therefore being able to fit the
empirical distribution more accurately. The examples of such extensions are:

Pearson distribution — a four-parameter family of probability distributions that extend the normal
law to include different skewness and kurtosis values.

The generalized normal distribution, also known as the exponential power distribution, allows for
distribution tails with thicker or thinner asymptotic behaviors.

Statistical inference

Estimation of parameters

It is often the case that we do not know the parameters of the normal distribution, but instead want
to estimate them. That is, having a sample from a normal population we
would like to learn the approximate values of parameters ⁠ ⁠and . The standard approach to this
problem is the maximum likelihood method, which requires maximization of the log-likelihood
function:

Taking derivatives with respect to ⁠ ⁠and and solving the resulting system of first order
conditions yields the maximum likelihood estimates:

Then is as follows:

Sample mean

Estimator is called the sample mean, since it is the arithmetic mean of all observations. The
statistic is complete and sufficient for ⁠ ⁠, and therefore by the Lehmann–Scheffé theorem, is
the uniformly minimum variance unbiased (UMVU) estimator.[52] In finite samples it is distributed
normally:

The variance of this estimator is equal to the μμ-element of the inverse Fisher information matrix
. This implies that the estimator is finite-sample efficient. Of practical importance is the fact
that the standard error of is proportional to , that is, if one wishes to decrease the standard
error by a factor of 10, one must increase the number of points in the sample by a factor of 100.
This fact is widely used in determining sample sizes for opinion polls and the number of trials in
Monte Carlo simulations.

From the standpoint of the asymptotic theory, is consistent, that is, it converges in probability to ⁠ ⁠
as . The estimator is also asymptotically normal, which is a simple corollary of the fact that
it is normal in finite samples:

Sample variance

The estimator is called the sample variance, since it is the variance of the sample (
). In practice, another estimator is often used instead of the . This other estimator is denoted ,
and is also called the sample variance, which represents a certain ambiguity in terminology; its
square root ⁠ ⁠is called the sample standard deviation. The estimator differs from by having
(n − 1) instead of n in the denominator (the so-called Bessel's correction):

The difference between and becomes negligibly small for large n 's. In finite samples however,
the motivation behind the use of is that it is an unbiased estimator of the underlying parameter
, whereas is biased. Also, by the Lehmann–Scheffé theorem the estimator is uniformly
minimum variance unbiased (UMVU),[52] which makes it the "best" estimator among all unbiased
ones. However it can be shown that the biased estimator is better than the in terms of the
mean squared error (MSE) criterion. In finite samples both and have scaled chi-squared
distribution with (n − 1) degrees of freedom:

The first of these expressions shows that the variance of is equal to , which is
slightly greater than the σσ-element of the inverse Fisher information matrix . Thus, is not an
efficient estimator for , and moreover, since is UMVU, we can conclude that the finite-sample
efficient estimator for does not exist.

Applying the asymptotic theory, both estimators and are consistent, that is they converge in
probability to as the sample size . The two estimators are also both asymptotically
normal:

In particular, both estimators are asymptotically efficient for .

Confidence intervals

By Cochran's theorem, for normal distributions the sample mean and the sample variance s2 are
independent, which means there can be no gain in considering their joint distribution. There is also a
converse theorem: if in a sample the sample mean and sample variance are independent, then the
sample must have come from the normal distribution. The independence between and s can be
employed to construct the so-called t-statistic:

This quantity t has the Student's t-distribution with (n − 1) degrees of freedom, and it is an ancillary
statistic (independent of the value of the parameters). Inverting the distribution of this t-statistics
will allow us to construct the confidence interval for μ;[53] similarly, inverting the χ2 distribution of the
statistic s2 will give us the confidence interval for σ2:[54]

2
where tk,p and χ k,p are the pth quantiles of the t- and χ2-distributions respectively. These confidence
intervals are of the confidence level 1 − α, meaning that the true values μ and σ2 fall outside of these
intervals with probability (or significance level) α. In practice people usually take α = 5%, resulting in
the 95% confidence intervals. The confidence interval for σ can be found by taking the square root of
the interval bounds for σ2.

Approximate formulas can be derived from the asymptotic distributions of and s2:

The approximate formulas become valid for large values of n, and are more convenient for the
manual calculation since the standard normal quantiles zα/2 do not depend on n. In particular, the
most popular value of α = 5%, results in |z0.025| = 1.96.

Normality tests

Normality tests assess the likelihood that the given data set {x1, ..., xn} comes from a normal
distribution. Typically the null hypothesis H0 is that the observations are distributed normally with
unspecified mean μ and variance σ2, versus the alternative Ha that the distribution is arbitrary. Many
tests (over 40) have been devised for this problem. The more prominent of them are outlined below:

Diagnostic plots are more intuitively appealing but subjective at the same time, as they rely on
informal human judgement to accept or reject the null hypothesis.

Q–Q plot, also known as normal probability plot or rankit plot—is a plot of the sorted values from
the data set against the expected values of the corresponding quantiles from the standard normal
distribution. That is, it is a plot of point of the form (Φ−1(pk), x(k)), where plotting points pk are
equal to pk = (k − α)/(n + 1 − 2α) and α is an adjustment constant, which can be anything between
0 and 1. If the null hypothesis is true, the plotted points should approximately lie on a straight line.

P–P plot – similar to the Q–Q plot, but used much less frequently. This method consists of
plotting the points (Φ(z(k)), pk), where . For normally distributed data this
plot should lie on a 45° line between (0, 0) and (1, 1).

Goodness-of-fit tests:

Moment-based tests:

D'Agostino's K-squared test

Jarque–Bera test

Shapiro–Wilk test: This is based on the fact that the line in the Q–Q plot has the slope of σ. The
test compares the least squares estimate of that slope with the value of the sample variance, and
rejects the null hypothesis if these two quantities differ significantly.

Tests based on the empirical distribution function:

Anderson–Darling test

Lilliefors test (an adaptation of the Kolmogorov–Smirnov test)

Bayesian analysis of the normal distribution

Bayesian analysis of normally distributed data is complicated by the many different possibilities
that may be considered:

Either the mean, or the variance, or neither, may be considered a fixed quantity.

When the variance is unknown, analysis may be done directly in terms of the variance, or in terms
of the precision, the reciprocal of the variance. The reason for expressing the formulas in terms of
precision is that the analysis of most cases is simplified.

Both univariate and multivariate cases need to be considered.

Either conjugate or improper prior distributions may be placed on the unknown variables.

An additional set of cases occurs in Bayesian linear regression, where in the basic model the data
is assumed to be normally distributed, and normal priors are placed on the regression
coefficients. The resulting analysis is similar to the basic cases of independent identically
distributed data.

The formulas for the non-linear-regression cases are summarized in the conjugate prior article.

Sum of two quadratics

Scalar form

The following auxiliary formula is useful for simplifying the posterior update equations, which
otherwise become fairly tedious.

This equation rewrites the sum of two quadratics in x by expanding the squares, grouping the terms
in x, and completing the square. Note the following about the complex constant factors attached to
some of the terms:

1. The factor has the form of a weighted average of y and z.

2. This shows that this factor can be thought of as resulting

from a situation where the reciprocals of quantities a and b add directly, so to combine a and b
themselves, it is necessary to reciprocate, add, and reciprocate the result again to get back into
the original units. This is exactly the sort of operation performed by the harmonic mean, so it is
not surprising that is one-half the harmonic mean of a and b.
Vector form

A similar formula can be written for the sum of two vector quadratics: If x, y, z are vectors of length
k, and A and B are symmetric, invertible matrices of size , then

where

The form x′ A x is called a quadratic form and is a scalar:

In other words, it sums up all possible combinations of products of pairs of elements from x, with a
separate coefficient for each. In addition, since , only the sum matters for
any off-diagonal elements of A, and there is no loss of generality in assuming that A is symmetric.
Furthermore, if A is symmetric, then the form

Sum of differences from the mean

Another useful formula is as follows:

where

With known variance

For a set of i.i.d. normally distributed data points X of size n where each individual point x follows
with known variance σ2, the conjugate prior distribution is also normally distributed.

This can be shown more easily by rewriting the variance as the precision, i.e. using τ = 1/σ2. Then if
and we proceed as follows.

First, the likelihood function is (using the formula above for the sum of differences from the mean):
Then, we proceed as follows:

In the above derivation, we used the formula above for the sum of two quadratics and eliminated all
constant factors not involving μ. The result is the kernel of a normal distribution, with mean

and precision , i.e.

This can be written as a set of Bayesian update equations for the posterior parameters in terms of
the prior parameters:
That is, to combine n data points with total precision of nτ (or equivalently, total variance of n/σ2)
and mean of values , derive a new total precision simply by adding the total precision of the data
to the prior total precision, and form a new mean through a precision-weighted average, i.e. a
weighted average of the data mean and the prior mean, each weighted by the associated total
precision. This makes logical sense if the precision is thought of as indicating the certainty of the
observations: In the distribution of the posterior mean, each of the input components is weighted by
its certainty, and the certainty of this distribution is the sum of the individual certainties. (For the
intuition of this, compare the expression "the whole is (or is not) greater than the sum of its parts".
In addition, consider that the knowledge of the posterior comes from a combination of the
knowledge of the prior and likelihood, so it makes sense that we are more certain of it than of either
of its components.)

The above formula reveals why it is more convenient to do Bayesian analysis of conjugate priors for
the normal distribution in terms of the precision. The posterior precision is simply the sum of the
prior and likelihood precisions, and the posterior mean is computed through a precision-weighted
average, as described above. The same formulas can be written in terms of variance by
reciprocating all the precisions, yielding the more ugly formulas

With known mean

For a set of i.i.d. normally distributed data points X of size n where each individual point x follows
with known mean μ, the conjugate prior of the variance has an inverse gamma
distribution or a scaled inverse chi-squared distribution. The two are equivalent except for having
different parameterizations. Although the inverse gamma is more commonly used, we use the
scaled inverse chi-squared for the sake of convenience. The prior for σ2 is as follows:

The likelihood function from above, written in terms of the variance, is:

where

Then:

The above is also a scaled inverse chi-squared distribution where

or equivalently

Reparameterizing in terms of an inverse gamma distribution, the result is:

With unknown mean and unknown variance

For a set of i.i.d. normally distributed data points X of size n where each individual point x follows
with unknown mean μ and unknown variance σ2, a combined (multivariate)
conjugate prior is placed over the mean and variance, consisting of a normal-inverse-gamma
distribution. Logically, this originates as follows:

1. From the analysis of the case with unknown mean but known variance, we see that the update
equations involve sufficient statistics computed from the data consisting of the mean of the
data points and the total variance of the data points, computed in turn from the known
variance divided by the number of data points.

2. From the analysis of the case with unknown variance but known mean, we see that the update
equations involve sufficient statistics over the data consisting of the number of data points
and sum of squared deviations.

3. Keep in mind that the posterior update values serve as the prior distribution when further data
is handled. Thus, we should logically think of our priors in terms of the sufficient statistics just
described, with the same semantics kept in mind as much as possible.

4. To handle the case where both mean and variance are unknown, we could place independent
priors over the mean and variance, with fixed estimates of the average mean, total variance,
number of data points used to compute the variance prior, and sum of squared deviations.
Note however that in reality, the total variance of the mean depends on the unknown variance,
and the sum of squared deviations that goes into the variance prior (appears to) depend on the
unknown mean. In practice, the latter dependence is relatively unimportant: Shifting the actual
mean shifts the generated points by an equal amount, and on average the squared deviations
will remain the same. This is not the case, however, with the total variance of the mean: As the
unknown variance increases, the total variance of the mean will increase proportionately, and
we would like to capture this dependence.

5. This suggests that we create a conditional prior of the mean on the unknown variance, with a
hyperparameter specifying the mean of the pseudo-observations associated with the prior, and
another parameter specifying the number of pseudo-observations. This number serves as a
scaling parameter on the variance, making it possible to control the overall variance of the
mean relative to the actual variance parameter. The prior for the variance also has two
hyperparameters, one specifying the sum of squared deviations of the pseudo-observations
associated with the prior, and another specifying once again the number of pseudo-
observations. Each of the priors has a hyperparameter specifying the number of pseudo-
observations, and in each case this controls the relative variance of that prior. These are given
as two separate hyperparameters so that the variance (aka the confidence) of the two priors
can be controlled separately.

6. This leads immediately to the normal-inverse-gamma distribution, which is the product of the
two distributions just defined, with conjugate priors used (an inverse gamma distribution over
the variance, and a normal distribution over the mean, conditional on the variance) and with the
same four parameters just defined.

The priors are normally defined as follows:

The update equations can be derived, and look as follows:

The respective numbers of pseudo-observations add the number of actual observations to them.
The new mean hyperparameter is once again a weighted average, this time weighted by the relative
numbers of observations. Finally, the update for is similar to the case with known mean, but
in this case the sum of squared deviations is taken with respect to the observed data mean rather
than the true mean, and as a result a new interaction term needs to be added to take care of the
additional error source stemming from the deviation between prior and data mean.

Proof

The prior distributions are

Therefore, the joint prior is

The likelihood function from the section above with known variance is:

Writing it in terms of variance rather than precision, we get:

where
Therefore, the posterior is (dropping the hyperparameters as conditioning factors):

In other words, the posterior distribution has the form of a product of a normal
distribution over times an inverse gamma distribution over , with
parameters that are the same as the update equations above.

Occurrence and applications

The occurrence of normal distribution in practical problems can be loosely classified into four
categories:

1. Exactly normal distributions;

2. Approximately normal laws, for example when such approximation is justified by the central
limit theorem; and

3. Distributions modeled as normal – the normal distribution being the distribution with
maximum entropy for a given mean and variance.

4. Regression problems – the normal distribution being found after systematic effects have been
modeled sufficiently well.
Exact normality

The ground state of a

quantum harmonic
oscillator has the Gaussian
distribution.

Certain quantities in physics are distributed normally, as was first demonstrated by James Clerk
Maxwell. Examples of such quantities are:

Probability density function of a ground state in a quantum harmonic oscillator.

The position of a particle that experiences diffusion. If initially the particle is located at a specific
point (that is its probability distribution is the Dirac delta function), then after time t its location is
described by a normal distribution with variance t, which satisfies the diffusion equation

. If the initial location is given by a certain density function , then

the density at time t is the convolution of g and the normal probability density function.

Approximate normality

Approximately normal distributions occur in many situations, as explained by the central limit
theorem. When the outcome is produced by many small effects acting additively and independently,
its distribution will be close to normal. The normal approximation will not be valid if the effects act
multiplicatively (instead of additively), or if there is a single external influence that has a
considerably larger magnitude than the rest of the effects.

In counting problems, where the central limit theorem includes a discrete-to-continuum

approximation and where infinitely divisible and decomposable distributions are involved, such as
Binomial random variables, associated with binary response variables;

Poisson random variables, associated with rare events;

Thermal radiation has a Bose–Einstein distribution on very short time scales, and a normal
distribution on longer timescales due to the central limit theorem.
Assumed normality

Histogram of sepal widths for Iris

versicolor from Fisher's Iris flower
data set, with superimposed best-
fitting normal distribution

I can only recognize the occurrence of the normal curve – the Laplacian curve of
errors – as a very abnormal phenomenon. It is roughly approximated to in certain
distributions; for this reason, and on account for its beautiful simplicity, we may,
perhaps, use it as a first approximation, particularly in theoretical investigations.

— Pearson (1901)

There are statistical methods to empirically test that assumption; see the above Normality tests
section.

In biology, the logarithm of various variables tend to have a normal distribution, that is, they tend
to have a log-normal distribution (after separation on male/female subpopulations), with
examples including:
Measures of size of living tissue (length, height, skin area, weight);[55]

The length of inert appendages (hair, claws, nails, teeth) of biological specimens, in the
direction of growth; presumably the thickness of tree bark also falls under this category;

Certain physiological measurements, such as blood pressure of adult humans.

In finance, in particular the Black–Scholes model, changes in the logarithm of exchange rates,
price indices, and stock market indices are assumed normal (these variables behave like
compound interest, not like simple interest, and so are multiplicative). Some mathematicians
such as Benoit Mandelbrot have argued that log-Levy distributions, which possesses heavy tails
would be a more appropriate model, in particular for the analysis for stock market crashes. The
use of the assumption of normal distribution occurring in financial models has also been
criticized by Nassim Nicholas Taleb in his works.
Measurement errors in physical experiments are often modeled by a normal distribution. This use
of a normal distribution does not imply that one is assuming the measurement errors are
normally distributed, rather using the normal distribution produces the most conservative
predictions possible given only knowledge about the mean and variance of the errors.[56]

In standardized testing, results can be made to have a normal distribution by either selecting the
number and difficulty of questions (as in the IQ test) or transforming the raw test scores into
output scores by fitting them to the normal distribution. For example, the SAT's traditional range
of 200–800 is based on a normal distribution with a mean of 500 and a standard deviation of 100.

Fitted cumulative normal distribution

to October rainfalls, see distribution
fitting

Many scores are derived from the normal distribution, including percentile ranks (percentiles or
quantiles), normal curve equivalents, stanines, z-scores, and T-scores. Additionally, some
behavioral statistical procedures assume that scores are normally distributed; for example, t-tests
and ANOVAs. Bell curve grading assigns relative grades based on a normal distribution of scores.

In hydrology the distribution of long duration river discharge or rainfall, e.g. monthly and yearly
totals, is often thought to be practically normal according to the central limit theorem.[57] The blue
picture, made with CumFreq, illustrates an example of fitting the normal distribution to ranked
October rainfalls showing the 90% confidence belt based on the binomial distribution. The rainfall
data are represented by plotting positions as part of the cumulative frequency analysis.

Methodological problems and peer review

John Ioannidis argued that using normally distributed standard deviations as standards for
validating research findings leave falsifiable predictions about phenomena that are not normally
distributed untested. This includes, for example, phenomena that only appear when all necessary
conditions are present and one cannot be a substitute for another in an addition-like way and
phenomena that are not randomly distributed. Ioannidis argues that standard deviation-centered
validation gives a false appearance of validity to hypotheses and theories where some but not all
falsifiable predictions are normally distributed since the portion of falsifiable predictions that there
is evidence against may and in some cases are in the non-normally distributed parts of the range of
falsifiable predictions, as well as baselessly dismissing hypotheses for which none of the falsifiable
predictions are normally distributed as if were they unfalsifiable when in fact they do make
falsifiable predictions. It is argued by Ioannidis that many cases of mutually exclusive theories being
accepted as validated by research journals are caused by failure of the journals to take in empirical
falsifications of non-normally distributed predictions, and not because mutually exclusive theories
are true, which they cannot be, although two mutually exclusive theories can both be wrong and a
third one correct.[58]

Computational methods

Generating values from normal distribution

The bean machine, a device invented by

Francis Galton, can be called the first
generator of normal random variables. This
machine consists of a vertical board with
interleaved rows of pins. Small balls are
dropped from the top and then bounce
randomly left or right as they hit the pins.
The balls are collected into bins at the
bottom and settle down into a pattern
resembling the Gaussian curve.

In computer simulations, especially in applications of the Monte-Carlo method, it is often desirable

to generate values that are normally distributed. The algorithms listed below all generate the
standard normal deviates, since a N(μ, σ2) can be generated as X = μ + σZ, where Z is standard
normal. All these algorithms rely on the availability of a random number generator U capable of
producing uniform random variates.

The most straightforward method is based on the probability integral transform property: if U is
distributed uniformly on (0,1), then Φ−1(U) will have the standard normal distribution. The
drawback of this method is that it relies on calculation of the probit function Φ−1, which cannot be
done analytically. Some approximate methods are described in Hart (1968) and in the erf article.
Wichura gives a fast algorithm for computing this function to 16 decimal places,[59] which is used
by R to compute random variates of the normal distribution.

An easy-to-program approximate approach that relies on the central limit theorem is as follows:
generate 12 uniform U(0,1) deviates, add them all up, and subtract 6 – the resulting random
variable will have approximately standard normal distribution. In truth, the distribution will be
Irwin–Hall, which is a 12-section eleventh-order polynomial approximation to the normal
distribution. This random deviate will have a limited range of (−6, 6).[60] Note that in a true normal
distribution, only 0.00034% of all samples will fall outside ±6σ.

The Box–Muller method uses two independent random numbers U and V distributed uniformly on
(0,1). Then the two random variables X and Y

will both have the standard normal distribution, and will be independent. This formulation arises
because for a bivariate normal random vector (X, Y) the squared norm X2 + Y2 will have the chi-
squared distribution with two degrees of freedom, which is an easily generated exponential
random variable corresponding to the quantity −2 ln(U) in these equations; and the angle is
distributed uniformly around the circle, chosen by the random variable V.

The Marsaglia polar method is a modification of the Box–Muller method which does not require
computation of the sine and cosine functions. In this method, U and V are drawn from the uniform
(−1,1) distribution, and then S = U2 + V2 is computed. If S is greater or equal to 1, then the method
starts over, otherwise the two quantities

are returned. Again, X and Y are independent, standard normal random variables.

The Ratio method[61] is a rejection method. The algorithm proceeds as follows:

Generate two independent uniform deviates U and V;

Compute X = √ 8/e (V − 0.5)/U;

Optional: if X2 ≤ 5 − 4e1/4U then accept X and terminate algorithm;

Optional: if X2 ≥ 4e−1.35/U + 1.4 then reject X and start over from step 1;

If X2 ≤ −4 lnU then accept X, otherwise start over the algorithm.

The two optional steps allow the evaluation of the logarithm in the last step to be avoided in
most cases. These steps can be greatly improved[62] so that the logarithm is rarely evaluated.
The ziggurat algorithm[63] is faster than the Box–Muller transform and still exact. In about 97% of
all cases it uses only two random numbers, one random integer and one random uniform, one
multiplication and an if-test. Only in 3% of the cases, where the combination of those two falls
outside the "core of the ziggurat" (a kind of rejection sampling using logarithms), do exponentials
and more uniform random numbers have to be employed.

Integer arithmetic can be used to sample from the standard normal distribution.[64][65] This
method is exact in the sense that it satisfies the conditions of ideal approximation;[66] i.e., it is
equivalent to sampling a real number from the standard normal distribution and rounding this to
the nearest representable floating point number.

There is also some investigation[67] into the connection between the fast Hadamard transform
and the normal distribution, since the transform employs just addition and subtraction and by the
central limit theorem random numbers from almost any distribution will be transformed into the
normal distribution. In this regard a series of Hadamard transforms can be combined with
random permutations to turn arbitrary data sets into a normally distributed data.

Numerical approximations for the normal cumulative distribution function and

normal quantile function

The standard normal cumulative distribution function is widely used in scientific and statistical
computing.

The values Φ(x) may be approximated very accurately by a variety of methods, such as numerical
integration, Taylor series, asymptotic series and continued fractions. Different approximations are
used depending on the desired level of accuracy.

Zelen & Severo (1964) give the approximation for Φ(x) for x > 0 with the absolute error
| ε(x) | < 7.5·10−8 (algorithm 26.2.17 (https://secure.math.ubc.ca/~cbm/aands/page_932.ht
m) ):

where ϕ(x) is the standard normal probability density function, and b0 = 0.2316419, b1 =
0.319381530, b2 = −0.356563782, b3 = 1.781477937, b4 = −1.821255978, b5 = 1.330274429.

Hart (1968) lists some dozens of approximations – by means of rational functions, with or
without exponentials – for the erfc() function. His algorithms vary in the degree of complexity
and the resulting precision, with maximum absolute precision of 24 digits. An algorithm by West
(2009) combines Hart's algorithm 5666 with a continued fraction approximation in the tail to
provide a fast computation algorithm with a 16-digit precision.
Cody (1969) after recalling Hart68 solution is not suited for erf, gives a solution for both erf and
erfc, with maximal relative error bound, via Rational Chebyshev Approximation.

Marsaglia (2004) suggested a simple algorithm[note 1] based on the Taylor series expansion

for calculating Φ(x) with arbitrary precision. The drawback of this algorithm is comparatively slow
calculation time (for example it takes over 300 iterations to calculate the function with 16 digits of
precision when x = 10).

The GNU Scientific Library calculates values of the standard normal cumulative distribution
function using Hart's algorithms and approximations with Chebyshev polynomials.

Dia (2023) proposes the following approximation of with a maximum relative error less
than in absolute value: for

and for ,

Shore (1982) introduced simple approximations that may be incorporated in stochastic optimization
models of engineering and operations research, like reliability engineering and inventory analysis.
Denoting p = Φ(z), the simplest approximation for the quantile function is:

This approximation delivers for z a maximum absolute error of 0.026 (for 0.5 ≤ p ≤ 0.9999,
corresponding to 0 ≤ z ≤ 3.719). For p < 1/2 replace p by 1 − p and change sign. Another
approximation, somewhat less accurate, is the single-parameter approximation:

The latter had served to derive a simple approximation for the loss integral of the normal
distribution, defined by
This approximation is particularly accurate for the right far-tail (maximum error of 10−3 for z≥1.4).
Highly accurate approximations for the cumulative distribution function, based on Response
Modeling Methodology (RMM, Shore, 2011, 2012), are shown in Shore (2005).

Some more approximations can be found at: Error function#Approximation with elementary
functions. In particular, small relative error on the whole domain for the cumulative distribution
function ⁠ ⁠and the quantile function as well, is achieved via an explicitly invertible formula by
Sergei Winitzki in 2008.

History

Development

Some authors[68][69] attribute the discovery of the normal distribution to de Moivre, who in
1738[note 2] published in the second edition of his The Doctrine of Chances the study of the
coefficients in the binomial expansion of (a + b)n. De Moivre proved that the middle term in this
1
expansion has the approximate magnitude of , and that "If m or ⁠2 ⁠n be a Quantity infinitely
great, then the Logarithm of the Ratio, which a Term distant from the middle by the Interval ℓ, has to
the middle Term, is ."[70] Although this theorem can be interpreted as the first obscure
expression for the normal probability law, Stigler points out that de Moivre himself did not interpret
his results as anything more than the approximate rule for the binomial coefficients, and in
particular de Moivre lacked the concept of the probability density function.[71]
Carl Friedrich Gauss
discovered the normal
distribution in 1809 as a way to
rationalize the method of least
squares.

In 1823 Gauss published his monograph "Theoria combinationis observationum erroribus minimis
obnoxiae" where among other things he introduces several important statistical concepts, such as
the method of least squares, the method of maximum likelihood, and the normal distribution. Gauss
used M, M′, M′′, ... to denote the measurements of some unknown quantity V, and sought the most
probable estimator of that quantity: the one that maximizes the probability
φ(M − V) · φ(M′ − V) · φ(M′′ − V) · ... of obtaining the observed experimental results. In his notation
φΔ is the probability density function of the measurement errors of magnitude Δ. Not knowing what
the function φ is, Gauss requires that his method should reduce to the well-known answer: the
arithmetic mean of the measured values.[note 3] Starting from these principles, Gauss demonstrates
that the only law that rationalizes the choice of arithmetic mean as an estimator of the location
parameter, is the normal law of errors:[72]

where h is "the measure of the precision of the observations". Using this normal law as a generic
model for errors in the experiments, Gauss formulates what is now known as the non-linear
weighted least squares method.[73]
Pierre-Simon Laplace proved
the central limit theorem in
1810, consolidating the
importance of the normal
distribution in statistics.

Although Gauss was the first to suggest the normal distribution law, Laplace made significant
contributions.[note 4] It was Laplace who first posed the problem of aggregating several observations
in 1774,[74] although his own solution led to the Laplacian distribution. It was Laplace who first
2
calculated the value of the integral ∫ e−t dt = √ π in 1782, providing the normalization constant for
the normal distribution.[75] For this accomplishment, Gauss acknowledged the priority of Laplace.[76]
Finally, it was Laplace who in 1810 proved and presented to the academy the fundamental central
limit theorem, which emphasized the theoretical importance of the normal distribution.[77]

It is of interest to note that in 1809 an Irish-American mathematician Robert Adrain published two
insightful but flawed derivations of the normal probability law, simultaneously and independently
from Gauss.[78] His works remained largely unnoticed by the scientific community, until in 1871 they
were exhumed by Abbe.[79]

In the middle of the 19th century Maxwell demonstrated that the normal distribution is not just a
convenient mathematical tool, but may also occur in natural phenomena:[80] The number of particles
whose velocity, resolved in a certain direction, lies between x and x + dx is

Naming

Today, the concept is usually known in English as the normal distribution or Gaussian distribution.
Other less common names include Gauss distribution, Laplace–Gauss distribution, the law of error,
the law of facility of errors, Laplace's second law, and Gaussian law.
Gauss himself apparently coined the term with reference to the "normal equations" involved in its
applications, with normal having its technical meaning of orthogonal rather than usual.[81] However,
by the end of the 19th century some authors[note 5] had started using the name normal distribution,
where the word "normal" was used as an adjective – the term now being seen as a reflection of the
fact that this distribution was seen as typical, common – and thus normal. Peirce (one of those
authors) once defined "normal" thus: "...the 'normal' is not the average (or any other kind of mean) of
what actually occurs, but of what would, in the long run, occur under certain circumstances."[82]
Around the turn of the 20th century Pearson popularized the term normal as a designation for this
distribution.[83]

Many years ago I called the Laplace–Gaussian curve the normal curve, which name,
while it avoids an international question of priority, has the disadvantage of leading
people to believe that all other distributions of frequency are in one sense or
another 'abnormal'.

— Pearson (1920)

Also, it was Pearson who first wrote the distribution in terms of the standard deviation σ as in
modern notation. Soon after this, in year 1915, Fisher added the location parameter to the formula
for normal distribution, expressing it in the way it is written nowadays:

The term "standard normal", which denotes the normal distribution with zero mean and unit variance
came into general use around the 1950s, appearing in the popular textbooks by P. G. Hoel (1947)
Introduction to Mathematical Statistics and A. M. Mood (1950) Introduction to the Theory of
Statistics.[84]

See also

Bates distribution – similar to the Irwin–Hall distribution, but rescaled

Mathematics portal
back into the 0 to 1 range

Behrens–Fisher problem – the long-standing problem of testing whether two normal samples
with different variances have same means;

Bhattacharyya distance – method used to separate mixtures of normal distributions

Erdős–Kac theorem – on the occurrence of the normal distribution in number theory

Full width at half maximum

Gaussian blur – convolution, which uses the normal distribution as a kernel

Gaussian function

Modified half-normal distribution[85] with the pdf on is given as

, where denotes the Fox–Wright

Psi function.

Normally distributed and uncorrelated does not imply independent

Ratio normal distribution

Reciprocal normal distribution

Standard normal table

Stein's lemma

Sub-Gaussian distribution

Sum of normally distributed random variables

Tweedie distribution – The normal distribution is a member of the family of Tweedie exponential
dispersion models.

Wrapped normal distribution – the Normal distribution applied to a circular domain

Z-test – using the normal distribution

Notes

1. For example, this algorithm is given in the article Bc programming language.

2. De Moivre first published his findings in 1733, in a pamphlet Approximatio ad Summam

Terminorum Binomii (a + b)n in Seriem Expansi that was designated for private circulation only.
But it was not until the year 1738 that he made his results publicly available. The original
pamphlet was reprinted several times, see for example Walker (1985).

3. "It has been customary certainly to regard as an axiom the hypothesis that if any quantity has
been determined by several direct observations, made under the same circumstances and with
equal care, the arithmetical mean of the observed values affords the most probable value, if
not rigorously, yet very nearly at least, so that it is always most safe to adhere to it." — Gauss
(1809, section 177)
4. "My custom of terming the curve the Gauss–Laplacian or normal curve saves us from
proportioning the merit of discovery between the two great astronomer mathematicians."
quote from Pearson (1905, p. 189)

5. Besides those specifically referenced here, such use is encountered in the works of Peirce,
Galton (Galton (1889, chapter V)) and Lexis (Lexis (1878), Rohrbasser & Véron (2003)) c. 1875.

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External links

"Normal distribution" (https://www.encyclopediaofmath.org/index.php?title=Normal_distributio

n) , Encyclopedia of Mathematics, EMS Press, 2001 [1994]

Normal distribution calculator (https://www.hackmath.net/en/calculator/normal-distribution)