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A continuous RV ZZZ is called a standard normal if its pdf is f(x)=12Ļeāx22f(x)=\frac{1}{\sqrt{2\pi}}e^{\frac{-x^{2}}{2}}f(x)=2Ļā1āe2āx2āwith cdf Φ(z)=P(Z<z)=ā«āāzeāt22dt\Phi(z)=P(Z<z)=\int_{-\infty}^{z}e^\frac{-t^{2}}{2}dtΦ(z)=P(Z<z)=ā«āāzāe2āt2ādtFor RV Zā¼N(0,1)Z\sim N(0,1)Zā¼N(0,1) E[Z]=0\mboxVar(Z)=1\begin{align*} E[Z]&=0\\ \mbox{Var}(Z)&=1 \end{align*}E[Z]\mboxVar(Z)ā=0=1ā
Principal Component Analysis