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Standard Normal Random Variable

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Probability

Definition

A continuous RV ZZ is called a standard normal if its pdf is f(x)=12Ļ€eāˆ’x22f(x)=\frac{1}{\sqrt{2\pi}}e^{\frac{-x^{2}}{2}}with cdf Φ(z)=P(Z<z)=āˆ«āˆ’āˆžzeāˆ’t22dt\Phi(z)=P(Z<z)=\int_{-\infty}^{z}e^\frac{-t^{2}}{2}dtFor RV Z∼N(0,1)Z\sim N(0,1) E[Z]=0\mboxVar(Z)=1\begin{align*} E[Z]&=0\\ \mbox{Var}(Z)&=1 \end{align*}

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