Arbitrary Normal Distributions

Standardized Normal Distribution

If XN(μ,σ) via Gaussian (Normal) Distribution, then the "standardized" rv Z defined by:

Z=Xμσ

has a standard normal distribution. Thus:

P(aXb)=P(aμσZbμσ)=Φ(bμσ)Φ(aμσ)

where:

P(Xa)=Φ(aμσ),P(Xb)=1P(Xb)

Conversely, if ZN(0,1) and μ,σ are contants (σ>0) then the "un-standardized" rv X=μ+σZ has a normal distribution with mean μ and standard deviation σ.

Proof
The CDF of Z is:

FZ(z)=P(Zz)=P(Xμσz)=P(Xμ+zσ)=μ+zσf(x;μ,σ)dx=μ+zσ1σ2πexp(12(xμσ)2)dx

Differentiate both sides:

fZ(z)=σ1σ2πexp(12(μ+zσμσ)2)=12πexp(12z2)

This is just f(x;0,1) so then:

FZ(z)=xf(x;0,1)dx=Φ(x)

as desired.

Percentiles for Normal Distributions

ηp=μ+Φ1(p)σ

for gaussian distributions.

Empirical

If the population distribution of a variable is (at least approximately) normal, then:

  1. Roughly 68% of the values are within one SD of the mean.
  2. Roughly 95% of the values are within two SDs of the mean.
  3. Roughly 99.7% of the values are within three SDs of the mean.

Proof

P(in n standard devs)=P(μnσXμ+nσ)=P(μnσμσZμ+nσμσ)=P(nZn)=Φ(n)Φ(n)

Using n=1,2,3 gives the values above.