Normal distribution 1

Normal distribution
Probability density function

The red curve is the standard normal distribution

Cumulative distribution function

Notation
Parameters μ ∈ R — mean (location)
σ2 > 0 — variance (squared scale)
Support x∈R
PDF

CDF

Mean μ
Median μ
Mode μ
Variance
Skewness 0
Ex. kurtosis 0
Entropy

MGF

CF

Fisher information

In probability theory, the normal (or Gaussian) distribution is a continuous probability distribution that has a
bell-shaped probability density function, known as the Gaussian function or informally as the bell curve:[1]
Normal distribution 2

The parameter μ is the mean or expectation (location of the peak) and σ 2 is the variance. σ is known as the standard
deviation. The distribution with μ = 0 and σ 2 = 1 is called the standard normal distribution or the unit normal
distribution. A normal distribution is often used as a first approximation to describe real-valued random variables
that cluster around a single mean value.
The normal distribution is considered the most prominent probability distribution in statistics. There are several
reasons for this:[2] First, the normal distribution arises from the central limit theorem, which states that under mild
conditions, the mean of a large number of random variables drawn from the same distribution is distributed
approximately normally, irrespective of the form of the original distribution. This gives it exceptionally wide
application in, for example, sampling. Secondly, the normal distribution is very tractable analytically, that is, a large
number of results involving this distribution can be derived in explicit form.
For these reasons, the normal distribution is commonly encountered in practice, and is used throughout statistics, the
natural sciences, and the social sciences[3] as a simple model for complex phenomena. For example, the
observational error in an experiment is usually assumed to follow a normal distribution, and the propagation of
uncertainty is computed using this assumption. Note that a normally distributed variable has a symmetric distribution
about its mean. Quantities that grow exponentially, such as prices, incomes or populations, are often skewed to the
right, and hence may be better described by other distributions, such as the log-normal distribution or the Pareto
distribution. In addition, the probability of seeing a normally distributed value that is far (i.e. more than a few
standard deviations) from the mean drops off extremely rapidly. As a result, statistical inference using a normal
distribution is not robust to the presence of outliers (data that are unexpectedly far from the mean, due to exceptional
circumstances, observational error, etc.). When outliers are expected, data may be better described using a
heavy-tailed distribution such as the Student's t-distribution.
From a technical perspective, alternative characterizations are possible, for example:
• The normal distribution is the only absolutely continuous distribution all of whose cumulants beyond the first two
(i.e. other than the mean and variance) are zero.
• For a given mean and variance, the corresponding normal distribution is the continuous distribution with the
maximum entropy.[4][5]
The normal distributions are a subclass of the elliptical distributions.

Definition
The simplest case of a normal distribution is known as the standard normal distribution, described by this
probability density function :

The factor in this expression ensures that the total area under the curve ϕ(x) is equal to one[proof], and 12 in the
exponent makes the "width" of the curve (measured as half the distance between the inflection points) also equal to
one. It is traditional in statistics to denote this function with the Greek letter ϕ (phi), whereas density functions for all
other distributions are usually denoted with letters f or p.[6] The alternative glyph φ is also used quite often, however
within this article "φ" is reserved to denote characteristic functions.
Every normal distribution is the result of exponentiating a quadratic function (just as an exponential distribution
results from exponentiating a linear function):

This yields the classic "bell curve" shape, provided that a < 0 so that the quadratic function is concave for x close to
0. f(x) > 0 everywhere. One can adjust a to control the "width" of the bell, then adjust b to move the central peak of
the bell along the x-axis, and finally one must choose c such that (which is only possible
when a < 0).
Normal distribution 3

Rather than using a, b, and c, it is far more common to describe a normal distribution by its mean μ = − b2a and
variance σ2 = − 12a. Changing to these new parameters allows one to rewrite the probability density function in a
convenient standard form:

For a standard normal distribution, μ = 0 and σ2 = 1. The last part of the equation above shows that any other normal
distribution can be regarded as a version of the standard normal distribution that has been stretched horizontally by a
factor σ and then translated rightward by a distance μ. Thus, μ specifies the position of the bell curve's central peak,
and σ specifies the "width" of the bell curve.
The parameter μ is at the same time the mean, the median and the mode of the normal distribution. The parameter σ2
is called the variance; as for any random variable, it describes how concentrated the distribution is around its mean.
The square root of σ2 is called the standard deviation and is the width of the density function.
The normal distribution is usually denoted by N(μ, σ2).[7] Thus when a random variable X is distributed normally
with mean μ and variance σ2, we write

Alternative formulations
Some authors advocate using the precision instead of the variance. The precision is normally defined as the
reciprocal of the variance (τ = σ−2), although it is occasionally defined as the reciprocal of the standard deviation (τ
= σ−1).[8] This parametrization has an advantage in numerical applications where σ2 is very close to zero and is more
convenient to work with in analysis as τ is a natural parameter of the normal distribution. This parametrization is
common in Bayesian statistics, as it simplifies the Bayesian analysis of the normal distribution. Another advantage
of using this parametrization is in the study of conditional distributions in the multivariate normal case. The form of
the normal distribution with the more common definition τ = σ−2 is as follows:

The question of which normal distribution should be called the "standard" one is also answered differently by
various authors. Starting from the works of Gauss the standard normal was considered to be the one with variance σ2
= 12 :

Stigler (1982) goes even further and insists the standard normal to be with the variance σ2 = 12π :

According to the author, this formulation is advantageous because of a much simpler and easier-to-remember
formula, the fact that the pdf has unit height at zero, and simple approximate formulas for the quantiles of the
distribution.
Normal distribution 4

Characterization
In the previous section the normal distribution was defined by specifying its probability density function. However
there are other ways to characterize a probability distribution. They include: the cumulative distribution function, the
moments, the cumulants, the characteristic function, the moment-generating function, etc.

Probability density function

The probability density function (pdf) of a random variable describes the relative frequencies of different values for
that random variable. The pdf of the normal distribution is given by the formula explained in detail in the previous
section:

This is a proper function only when the variance σ2 is not equal to zero. In that case this is a continuous smooth
function, defined on the entire real line, and which is called the "Gaussian function".
Properties:
• Function f(x) is unimodal and symmetric around the point x = μ, which is at the same time the mode, the median
and the mean of the distribution.[9]
• The inflection points of the curve occur one standard deviation away from the mean (i.e., at x = μ − σ and x = μ +
σ).[9]
• Function f(x) is log-concave.[9]
• The standard normal density ϕ(x) is an eigenfunction of the Fourier transform in that if ƒ is a normalized Gaussian
function with variance σ2, centered at zero, then its Fourier transform is a Gaussian function with variance 1/σ2.
• The function is supersmooth of order 2, implying that it is infinitely differentiable.[10]
• The first derivative of ϕ(x) is ϕ′(x) = −x·ϕ(x); the second derivative is ϕ′′(x) = (x2 − 1)ϕ(x). More generally, the
n-th derivative is given by ϕ(n)(x) = (−1)nHn(x)ϕ(x), where Hn is the Hermite polynomial of order n.[11]
When σ2 = 0, the density function doesn't exist. However a generalized function that defines a measure on the real
line, and it can be used to calculate, for example, expected value is

where δ(x) is the Dirac delta function which is equal to infinity at x = μ and is zero elsewhere.

Cumulative distribution function

The cumulative distribution function (CDF) describes probability of a random variable falling in the interval (−∞, x].
The CDF of the standard normal distribution is denoted with the capital Greek letter Φ (phi), and can be computed as
an integral of the probability density function:

This integral cannot be expressed in terms of elementary functions, so is simply called a transformation of the error
function, or erf, a special function. Numerical methods for calculation of the standard normal CDF are discussed
below. For a generic normal random variable with mean μ and variance σ2 > 0 the CDF will be equal to

The complement of the standard normal CDF, Q(x) = 1 − Φ(x), is referred to as the Q-function, especially in
engineering texts.[12][13] This represents the upper tail probability of the Gaussian distribution: that is, the probability
that a standard normal random variable X is greater than the number x. Other definitions of the Q-function, all of
which are simple transformations of Φ, are also used occasionally.[14]
Normal distribution 5

Properties:
• The standard normal CDF is 2-fold rotationally symmetric around point (0, ½):  Φ(−x) = 1 − Φ(x).
• The derivative of Φ(x) is equal to the standard normal pdf ϕ(x):  Φ′(x) = ϕ(x).
• The antiderivative of Φ(x) is: ∫ Φ(x) dx = x Φ(x) + ϕ(x).
For a normal distribution with zero variance, the CDF is the Heaviside step function (with H(0) = 1 convention):

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

Quantiles of the standard normal distribution are commonly denoted as zp. The quantile zp represents such a value
that a standard normal random variable X has the probability of exactly p to fall inside the (−∞, zp] interval. The
quantiles are used in hypothesis testing, construction of confidence intervals and Q-Q plots. The most "famous"
normal quantile is 1.96 = z0.975. A standard normal random variable is greater than 1.96 in absolute value in 5% of
cases.
For a normal random variable with mean μ and variance σ2, the quantile function is

Characteristic function and moment generating function

The characteristic function φX(t) of a random variable X is defined as the expected value of eitX, where i is the
imaginary unit, and t ∈ R is the argument of the characteristic function. Thus the characteristic function is the Fourier
transform of the density ϕ(x). For a normally distributed X with mean μ and variance σ2, the characteristic function
is[15]

The characteristic function can be analytically extended to the entire complex plane: one defines φ(z) = eiμz − 12σ2z2
for all z ∈ C.[16]
The moment generating function is defined as the expected value of etX. For a normal distribution, the moment
generating function exists and is equal to

The cumulant generating function is the logarithm of the moment generating function:

Since this is a quadratic polynomial in t, only the first two cumulants are nonzero.
Normal distribution 6

Moments
The normal distribution has moments of all orders. That is, for a normally distributed X with mean μ and variance σ
2
, the expectation E[|X|p] exists and is finite for all p such that Re[p] > −1. Usually we are interested only in moments
of integer orders: p = 1, 2, 3, ….
• Central moments are the moments of X around its mean μ. Thus, a central moment of order p is the expected
value of (X − μ) p. Using standardization of normal random variables, this expectation will be equal to σ p · E[Zp],
where Z is standard normal.

Here n!! denotes the double factorial, that is the product of every odd number from n to 1.
• Central absolute moments are the moments of |X − μ|. They coincide with regular moments for all even orders,
but are nonzero for all odd p's.

The last formula is true for any non-integer p > −1.

• Raw moments and raw absolute moments are the moments of X and |X| respectively. The formulas for these
moments are much more complicated, and are given in terms of confluent hypergeometric functions 1F1 and U.

These expressions remain valid even if p is not integer. See also generalized Hermite polynomials.
• First two cumulants are equal to μ and σ 2 respectively, whereas all higher-order cumulants are equal to zero.

Order Raw moment Central moment Cumulant

1 μ 0 μ

2 μ2 + σ2 σ2 σ2

3 0 0
μ3 + 3μσ2

4 0
μ4 + 6μ2σ2 + 3σ4 3σ 4

5 0 0
μ5 + 10μ3σ2 + 15μσ4

6 0
μ6 + 15μ4σ2 + 45μ2σ4 + 15σ6 15σ 6

7 0 0
μ7 + 21μ5σ2 + 105μ3σ4 + 105μσ6

8 0
μ8 + 28μ6σ2 + 210μ4σ4 + 420μ2σ6 + 105σ8 105σ 8
Normal distribution 7

Properties

Standardizing normal random variables

Because the normal distribution is a location-scale family, it is possible to relate all normal random variables to the
standard normal. For example if X is normal with mean μ and variance σ2, then

has mean zero and unit variance, that is Z has the standard normal distribution. Conversely, having a standard normal
random variable Z we can always construct another normal random variable with specific mean μ and variance σ2:

This "standardizing" transformation is convenient as it allows one to compute the PDF and especially the CDF of a
normal distribution having the table of PDF and CDF values for the standard normal. They will be related via

Standard deviation and tolerance intervals

About 68% of values drawn from a
normal distribution are within one
standard deviation σ away from the
mean; about 95% of the values lie
within two standard deviations; and
about 99.7% are within three standard
deviations. This fact is known as the
68-95-99.7 rule, or the empirical rule,
or the 3-sigma rule. To be more
precise, the area under the bell curve
between μ − nσ and μ + nσ is given by Dark blue is less than one standard deviation from the mean. For the normal distribution,
this accounts for about 68% of the set, while two standard deviations from the mean
(medium and dark blue) account for about 95%, and three standard deviations (light,
medium, and dark blue) account for about 99.7%.
where erf is the error function. To 12
decimal places, the values for the 1-,
2-, up to 6-sigma points are:[17]

i.e. 1 minus ... or 1 in ...

1 0682689492137 0317310507863 315148718753

2 0954499736104 0045500263896 219778945080

3 0997300203937 0002699796063 370398347345

4 0999936657516 0000063342484 15,7871927673

5 0999999426697 0000000573303 1.74428e+0689362

6 0999999998027 0000000001973 5.06797e+08897

The next table gives the reverse relation of sigma multiples corresponding to a few often used values for the area
under the bell curve. These values are useful to determine (asymptotic) tolerance intervals of the specified levels
based on normally distributed (or asymptotically normal) estimators:[18]
Normal distribution 8

n n

0.80 1281551565545 0.999 3290526731492

0.90 1644853626951 0.9999 3890591886413

0.95 1959963984540 0.99999 4417173413469

0.98 2326347874041 0.999999 4891638475699

0.99 2575829303549 0.9999999 5326723886384

0.995 2807033768344 0.99999999 5730728868236

0.998 3090232306168 0.999999999 6109410204869

where the value on the left of the table is the proportion of values that will fall within a given interval and n is a
multiple of the standard deviation that specifies the width of the interval.

Central limit theorem

The theorem states that under certain (fairly common)
conditions, the sum of a large number of random
variables will have an approximately normal
distribution. For example if (x1, …, xn) is a sequence of
iid random variables, each having mean μ and variance
σ2, then the central limit theorem states that

The theorem will hold even if the summands xi are not

As the number of discrete events increases, the function begins to
iid, although some constraints on the degree of
resemble a normal distribution
dependence and the growth rate of moments still have
to be imposed.
The importance of the central limit theorem cannot be overemphasized. A great number of test statistics, scores, and
estimators encountered in practice contain sums of certain random variables in them, even more estimators can be
represented as sums of random variables through the use of influence functions – all of these quantities are governed
by the central limit theorem and will have asymptotically normal distribution as a result.
Another practical consequence of the central limit theorem is that certain other distributions can be approximated by
the normal distribution, for example:
• The binomial distribution B(n, p) is approximately normal N(np, np(1 − p)) for large n and for p not too close to
zero or one.
• The Poisson(λ) distribution is approximately normal N(λ, λ) for large values of λ.
Normal distribution 9

• The chi-squared distribution χ2(k) is approximately

normal N(k, 2k) for large k.
• The Student's t-distribution t(ν) is approximately
normal N(0, 1) when ν 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.

Comparison of probability density functions, p(k) for the sum of n

fair 6-sided dice to show their convergence to a normal distribution
with increasing n, 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).

Miscellaneous
1. The family of normal distributions is closed under linear transformations. That is, if X is normally distributed
with mean μ and variance σ2, then a linear transform aX + b (for some real numbers a and b) is also normally
distributed:

Also if X1, X2 are two independent normal random variables, with means μ1, μ2 and standard deviations σ1, σ2,
then their linear combination will also be normally distributed: [proof]

2. The converse of (1) is also true: if X1 and X2 are independent and their sum X1 + X2 is distributed normally, then
both X1 and X2 must also be normal.[19] This is known as Cramér's decomposition theorem. The interpretation
of this property is that a normal distribution is only divisible by other normal distributions. Another application of
this property is in connection with the central limit theorem: although the CLT asserts that the distribution of a
sum of arbitrary non-normal iid random variables is approximately normal, the Cramér's theorem shows that it
can never become exactly normal.[20]
3. If the characteristic function φX of some random variable X is of the form φX(t) = eQ(t), where Q(t) is a
polynomial, then the Marcinkiewicz theorem (named after Józef Marcinkiewicz) asserts that Q can be at most a
quadratic polynomial, and therefore X a normal random variable.[20] The consequence of this result is that the
normal distribution is the only distribution with a finite number (two) of non-zero cumulants.
4. If X and Y are jointly normal and uncorrelated, then they are independent. The requirement that X and Y should be
jointly normal is essential, without it the property does not hold.[proof] For non-normal random variables
Normal distribution 10

uncorrelatedness does not imply independence.

5. If X and Y are independent N(μ, σ 2) random variables, then X + Y and X − Y are also independent and identically
distributed (this follows from the polarization identity).[21] This property uniquely characterizes normal
distribution, as can be seen from the Bernstein's theorem: if X and Y are independent and such that X + Y and X
− Y are also independent, then both X and Y must necessarily have normal distributions.
More generally, if X1, ..., Xn are independent random variables, then two linear combinations ∑akXk and ∑bkXk
will be independent if and only if all Xk's are normal and ∑akbkσ 2
k = 0, where σ 2
[22]
k denotes the variance of X .
k
6. The normal distribution is infinitely divisible:[23] for a normally distributed X with mean μ and variance σ2 we
can find n independent random variables {X1, …, Xn} each distributed normally with means μ/n and
variances σ2/n such that

7. The normal distribution is stable (with exponent α = 2): if X1, X2 are two independent N(μ, σ2) random variables
and a, b are arbitrary real numbers, then

where X3 is also N(μ, σ2). This relationship directly follows from property (1).
8. The Kullback–Leibler divergence between two normal distributions X1 ∼ N(μ1, σ21 )and X2 ∼ N(μ2, σ22 )is given
by:[24]

The Hellinger distance between the same distributions is equal to

9. The Fisher information matrix for a normal distribution is diagonal and takes the form

10. Normal distributions belongs to an exponential family with natural parameters and , and natural
statistics x and x . The dual, expectation parameters for normal distribution are η1 = μ and η2 = μ + σ2.
2 2

11. The conjugate prior of the mean of a normal distribution is another normal distribution.[25] Specifically, if x1,
…, xn are iid N(μ, σ2) and the prior is μ ~ N(μ0, σ ), then the posterior distribution for the estimator of μ will be

12. Of all probability distributions over the reals with mean μ and variance σ2, the normal distribution N(μ, σ2) is the
one with the maximum entropy.[26]
13. The family of normal distributions forms a manifold with constant curvature −1. The same family is flat with
respect to the (±1)-connections ∇(e) and ∇(m).[27]
Normal distribution 11

Related distributions

Operations on a single random variable

If X is distributed normally with mean μ and variance σ2, then
• The exponential of X is distributed log-normally: eX ~ lnN (μ, σ2).
• The absolute value of X has folded normal distribution: |X| ~ Nf (μ, σ2). If μ = 0 this is known as the half-normal
distribution.
• The square of X/σ has the noncentral chi-squared distribution with one degree of freedom: X2/σ2 ~ χ21(μ2/σ2). If μ
= 0, the distribution is called simply chi-squared.
• The distribution of the variable X restricted to an interval [a, b] is called the truncated normal distribution.
• (X − μ)−2 has a Lévy distribution with location 0 and scale σ−2.

Combination of two independent random variables

If X1 and X2 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: X1 ± X2 ∼ N(0, 2).
• Their product Z = X1·X2 follows the "product-normal" distribution[28] with density function fZ(z) = π−1K0(|z|),
where K0 is the modified Bessel function of the second kind. This distribution is symmetric around zero,
unbounded at z = 0, and has the characteristic function φZ(t) = (1 + t 2)−1/2.
• Their ratio follows the standard Cauchy distribution: X1 ÷ X2 ∼ Cauchy(0, 1).
• Their Euclidean norm has the Rayleigh distribution, also known as the chi distribution with 2 degrees
of freedom.

Combination of two or more independent random variables

• If X1, X2, …, Xn are independent standard normal random variables, then the sum of their squares has the
chi-squared distribution with n degrees of freedom
.
• If X1, X2, …, Xn are independent normally distributed random variables with means μ and variances σ2, then their
sample mean is independent from the sample standard deviation, which can be demonstrated using Basu's
theorem or Cochran's theorem. The ratio of these two quantities will have the Student's t-distribution with n − 1
degrees of freedom:

• If X1, …, Xn, Y1, …, Ym 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:
Normal distribution 12

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.

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.
• Multivariate normal distribution describes the Gaussian law in the k-dimensional Euclidean space. A vector X ∈
Rk is multivariate-normally distributed if any linear combination of its components ∑ aj Xj has a
(univariate) normal distribution. The variance of X is a k×k symmetric positive-definite matrix V.
• 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 ∈ Ck 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 which 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. Note that this distribution is different from the Gaussian q-distribution above.
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-parametric family of probability distributions that extend the normal law to include
different skewness and kurtosis values.
Normal distribution 13

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. A great number of tests (over 40) have been devised for
this problem, the more prominent of them are outlined below:
• "Visual" tests 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 — 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's 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).
• Wilk–Shapiro test employs 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.
• Normal probability plot (rankit plot)
• Moment tests:
• D'Agostino's K-squared test
• Jarque–Bera test
• Empirical distribution function tests:
• Lilliefors test (an adaptation of the Kolmogorov–Smirnov test)
• Anderson–Darling test

Estimation of parameters
It is often the case that we don't know the parameters of the normal distribution, but instead want to estimate them.
That is, having a sample (x1, …, xn) from a normal N(μ, σ2) population we would like to learn the approximate
values of parameters μ and σ2. The standard approach to this problem is the maximum likelihood method, which
requires maximization of the log-likelihood function:

Taking derivatives with respect to μ and σ2 and solving the resulting system of first order conditions yields the
maximum likelihood estimates:

Estimator is called the sample mean, since it is the arithmetic mean of all observations. The statistic is complete
and sufficient for μ, and therefore by the Lehmann–Scheffé theorem, is the uniformly minimum variance unbiased
(UMVU) estimator.[29] 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
Normal distribution 14

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 μ as n → ∞. The
estimator is also asymptotically normal, which is a simple corollary of the fact that it is normal in finite samples:

The estimator is called the sample variance, since it is the variance of the sample (x1, …, xn). In practice, another
estimator is often used instead of the . This other estimator is denoted s2, and is also called the sample variance,
which represents a certain ambiguity in terminology; its square root s is called the sample standard deviation. The
estimator s2 differs from by having (n − 1) instead of n in the denominator (the so called Bessel's correction):

The difference between s2 and becomes negligibly small for large n's. In finite samples however, the motivation
behind the use of s2 is that it is an unbiased estimator of the underlying parameter σ2, whereas is biased. Also, by
the Lehmann–Scheffé theorem the estimator s2 is uniformly minimum variance unbiased (UMVU),[29] which makes
it the "best" estimator among all unbiased ones. However it can be shown that the biased estimator is "better"
than the s2 in terms of the mean squared error (MSE) criterion. In finite samples both s2 and have scaled
chi-squared distribution with (n − 1) degrees of freedom:

The first of these expressions shows that the variance of s2 is equal to 2σ4/(n−1), which is slightly greater than the
σσ-element of the inverse Fisher information matrix . Thus, s2 is not an efficient estimator for σ2, and moreover,
since s is UMVU, we can conclude that the finite-sample efficient estimator for σ2 does not exist.
2

Applying the asymptotic theory, both estimators s2 and are consistent, that is they converge in probability to σ2 as
the sample size n → ∞. The two estimators are also both asymptotically normal:

In particular, both estimators are asymptotically efficient for σ2.

By Cochran's theorem, for normal distribution 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 reverse 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;[30] similarly, inverting the χ2 distribution of the statistic s2 will give us the confidence
interval for σ2:[31]

where tk,p and χ 2

th 2
k,p are the p quantiles of the t- and χ -distributions respectively. These confidence intervals are of the level 1 − α,
2
meaning that the true values μ and σ fall outside of these intervals with probability α. In practice people usually take
α = 5%, resulting in the 95% confidence intervals. The approximate formulas in the display above were derived from
Normal distribution 15

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.

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

The 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's 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.
Normal distribution 16

Vector form
A similar formula can be written for the sum of two vector quadratics: If are vectors of length , and
and are symmetric, invertible matrices of size , then

where

Note that the form 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 , with a separate
coefficient for each. In addition, since , only the sum matters for any off-diagonal
elements of , and there is no loss of generality in assuming that is symmetric. Furthermore, if is
symmetric, then the form .

The 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 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:

Normal distribution 17

In the above derivation, we used the formula above for the sum of two quadratics and eliminated all constant factors
not involving . 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 data points with total precision of (or equivalently, total variance of ) 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
Normal distribution 18

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. The use of the inverse
gamma is more common, but the scaled inverse chi-squared is more convenient, so we use it in the following
derivation. The prior for σ2 is as follows:

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

where

Then:

This is also a scaled inverse chi-squared distribution, where

or equivalently

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

Normal distribution 19

With unknown mean and 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 variance σ2, the 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. Note that 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 defined as 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:

Normal distribution 20

The respective numbers of pseudo-observations just 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 is as follows.

Occurrence
The occurrence of normal distribution in practical problems can be loosely classified into three 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.

Exact normality
Certain quantities in physics are distributed normally, as was first
demonstrated by James Clerk Maxwell. Examples of such quantities
are:
• Velocities of the molecules in the ideal gas. More generally,
velocities of the particles in any system in thermodynamic
equilibrium will have normal distribution, due to the maximum
entropy principle.
• Probability density function of a ground state in a quantum harmonic
oscillator.
• The position of a particle which experiences diffusion. If initially the The ground state of a quantum harmonic
particle is located at a specific point (that is its probability oscillator has the Gaussian distribution.

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 ∂∂t f(x,t) = 12 ∂2∂x2
f(x,t). If the initial location is given by a certain density function g(x), then the density at time t is the convolution
of g and the normal PDF.

Approximate normality
Approximately normal distributions occur in many situations, as explained by the central limit theorem. When the
outcome is produced by a large number of 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 which 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 light has a Bose–Einstein distribution on very short time scales, and a normal distribution on longer
timescales due to the central limit theorem.
Normal distribution 21

Assumed normality
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
Histogram of sepal widths for Iris versicolor
the above Normality tests section. from Fisher's Iris flower data set, with
• In biology, the logarithm of various variables tend to have a normal superimposed best-fitting normal distribution.

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);[32]
• 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 Benoît 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.
• 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.[33]
• In standardized testing, results can be made to have a
normal distribution. This is done by either selecting the
number and difficulty of questions (as in the IQ test), or by
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.
• Many scores are derived from the normal distribution,
including percentile ranks ("percentiles" or "quantiles"),
normal curve equivalents, stanines, z-scores, and T-scores. Fitted cumulative normal distribution to October rainfalls
Additionally, a number of behavioral statistical procedures
are based on the assumption 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.[34] The blue picture 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.
Normal distribution 22

Generating values from normal distribution

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
The bean machine, a device invented by Francis Galton, can be
of this method is that it relies on calculation of the called the first generator of normal random variables. This machine
probit function Φ−1, which cannot be done consists of a vertical board with interleaved rows of pins. Small balls
analytically. Some approximate methods are 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
described in Hart (1968) and in the erf article.
settle down into a pattern resembling the Gaussian curve.
Wichura[35] gives a fast algorithm for computing
this function to 16 decimal places, 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).[36]
• 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
−2ln(U) in these equations; and the angle is distributed uniformly around the circle, chosen by the random
variable V.
• Marsaglia polar method is a modification of the Box–Muller method algorithm, which does not require
computation of functions sin() and cos(). 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 one then the method starts over,
otherwise two quantities

are returned. Again, X and Y will be independent and standard normally distributed.
• The Ratio method[37] 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;
• If X2 ≤ 5 − 4e1/4U then accept X and terminate algorithm;
Normal distribution 23

• 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 ziggurat algorithm Marsaglia & Tsang (2000) 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, exponentials and more uniform random numbers has
to be employed.
• There is also some investigation 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 CDF

The standard normal CDF 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 [38]):

where ϕ(x) is the standard normal PDF, and b0 = 0.2316419, b1 = 0.319381530, b2 = −0.356563782, b3 =
1.781477937, b4 = −1.821255978, b5 = 1.330274429.
• Hart (1968) lists almost a hundred of rational function approximations 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[39] 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 CDF using Hart's algorithms and
approximations with Chebyshev polynomials.

History

Development
Some authors[40][41] attribute the credit for the discovery of the normal distribution to de Moivre, who in 1738[42]
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 expansion has the approximate magnitude of
, and that "If m or ½n 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 ."[43] 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
Normal distribution 24

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.[44]
In 1809 Gauss published his monograph "Theoria motus corporum
coelestium in sectionibus conicis solem ambientium" 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: the one which 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 law 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.[45] Starting from these
principles, Gauss demonstrates that the only law which rationalizes the
choice of arithmetic mean as an estimator of the location parameter, is
Carl Friedrich Gauss discovered the normal
the normal law of errors:[46]
distribution in 1809 as a way to rationalize the
method of least squares.

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 (NWLS) method.[47]
Although Gauss was the first to suggest the normal distribution law,
Laplace made significant contributions.[48] It was Laplace who first
posed the problem of aggregating several observations in 1774,[49]
although his own solution led to the Laplacian distribution. It was
Laplace who first calculated the value of the integral ∫ e−t ²dt = √π in
1782, providing the normalization constant for the normal
distribution.[50] 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.[51]

It is of interest to note that in 1809 an American mathematician Adrain

published two derivations of the normal probability law,
simultaneously and independently from Gauss.[52] His works remained
largely unnoticed by the scientific community, until in 1871 they were
"rediscovered" by Abbe.[53]
Marquis de Laplace proved the central limit
In the middle of the 19th century Maxwell demonstrated that the theorem in 1810, consolidating the importance of
the normal distribution in statistics.
normal distribution is not just a convenient mathematical tool, but may
also occur in natural phenomena:[54] "The number of particles whose
velocity, resolved in a certain direction, lies between x and x + dx is
Normal distribution 25

Naming
Since its introduction, the normal distribution has been known by many different names: the law of error, the law of
facility of errors, Laplace's second law, Gaussian law, etc. 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".[55] However, by the end of the 19th century some authors[56] 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."[57] Around the turn of the 20th century Pearson
popularized the term normal as a designation for this distribution.[58]
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 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".[59]
When the name is used, the "Gaussian distribution" was named after Carl Friedrich Gauss, who introduced the
distribution in 1809 as a way of rationalizing the method of least squares as outlined above. The related work of
Laplace, also outlined above has led to the normal distribution being sometimes called Laplacian, especially in
French-speaking countries. Among English speakers, both "normal distribution" and "Gaussian distribution" are in
common use, with different terms preferred by different communities.

Notes
[1] The designation "bell curve" is ambiguous: many other distributions are "bell"-shaped: the Cauchy distribution, Student's t-distribution, the
generalized normal, the logistic, etc.
[2] Casella & Berger (2001, p. 102)
[3] Normal Distribution (http:/ / findarticles. com/ p/ articles/ mi_g2699/ is_0002/ ai_2699000241), Gale Encyclopedia of Psychology
[4] Cover, Thomas M.; Thomas, Joy A. (2006). Elements of Information Theory. John Wiley and Sons. p. 254.
[5] Park, Sung Y.; Bera, Anil K. (2009). "Maximum Entropy Autoregressive Conditional Heteroskedasticity Model" (http:/ / www. wise. xmu.
edu. cn/ Master/ Download/ . . \. . \UploadFiles\paper-masterdownload\2009519932327055475115776. pdf). Journal of Econometrics
(Elsevier): 219–230. . Retrieved 2011-06-02.
[6] Halperin, Hartley & Hoel (1965, item 7)
[7] McPherson (1990, p. 110)
[8] Bernardo & Smith (2000, p. 121)
[9] Patel & Read (1996, [2.1.4])
[10] Fan (1991, p. 1258)
[11] Patel & Read (1996, [2.1.8])
[12] Scott, Clayton; Nowak, Robert (August 7, 2003). "The Q-function" (http:/ / cnx. org/ content/ m11537/ 1. 2/ ). Connexions. .
[13] Barak, Ohad (April 6, 2006). "Q Function and Error Function" (http:/ / www. eng. tau. ac. il/ ~jo/ academic/ Q. pdf). Tel Aviv University. .
[14] Weisstein, Eric W., " Normal Distribution Function (http:/ / mathworld. wolfram. com/ NormalDistributionFunction. html)" from
MathWorld.
[15] Bryc (1995, p. 23)
[16] Bryc (1995, p. 24)
Normal distribution 26

[17] WolframAlpha.com (http:/ / www. wolframalpha. com/ input/ ?i=Table[{N(Erf(n/ Sqrt(2)),+ 12),+ N(1-Erf(n/ Sqrt(2)),+ 12),+ N(1/
(1-Erf(n/ Sqrt(2))),+ 12)},+ {n,1,6}])
[18] part 1 (http:/ / www. wolframalpha. com/ input/ ?i=Table[Sqrt(2)*InverseErf(x),+ {x,+ N({8/ 10,+ 9/ 10,+ 19/ 20,+ 49/ 50,+ 99/ 100,+ 995/
1000,+ 998/ 1000},+ 13)}]), part 2 (http:/ / www. wolframalpha. com/ input/
?i=Table[{N(1-10^(-x),9),N(Sqrt(2)*InverseErf(1-10^(-x)),13)},{x,3,9}])
[19] Galambos & Simonelli (2004, Theorem 3.5)
[20] Bryc (1995, p. 35)
[21] Bryc (1995, p. 27)
[22] Lukacs & King (1954)
[23] Patel & Read (1996, [2.3.6])
[24] http:/ / www. allisons. org/ ll/ MML/ KL/ Normal/
[25] Jordan, Michael I. (February 8th, 2010). "Stat260: Bayesian Modeling and Inference: The Conjugate Prior for the Normal Distribution"
(http:/ / www. cs. berkeley. edu/ ~jordan/ courses/ 260-spring10/ lectures/ lecture5. pdf). .
[26] Cover & Thomas (2006, p. 254)
[27] Amari & Nagaoka (2000)
[28] Normal Product Distribution (http:/ / mathworld. wolfram. com/ NormalProductDistribution. html), Mathworld
[29] Krishnamoorthy (2006, p. 127)
[30] Krishnamoorthy (2006, p. 130)
[31] Krishnamoorthy (2006, p. 133)
[32] Huxley (1932)
[33] Jaynes, Edwin T. (2003). Probability Theory: The Logic of Science. Cambridge University Press. pp. 592–593.
[34] Oosterbaan, Roland J. (1994). "Chapter 6: Frequency and Regression Analysis of Hydrologic Data" (http:/ / www. waterlog. info/ pdf/
freqtxt. pdf). In Ritzema, Henk P.. Drainage Principles and Applications, Publication 16 (second revised ed.). Wageningen, The Netherlands:
International Institute for Land Reclamation and Improvement (ILRI). pp. 175–224. ISBN 90-70754-33-9. .
[35] Wichura, Michael J. (1988). "Algorithm AS241: The Percentage Points of the Normal Distribution". Applied Statistics (Blackwell
Publishing) 37 (3): 477–484. doi:10.2307/2347330. JSTOR 2347330.
[36] Johnson, Kotz & Balakrishnan (1995, Equation (26.48))
[37] Kinderman & Monahan (1977)
[38] http:/ / www. math. sfu. ca/ ~cbm/ aands/ page_932. htm
[39] For example, this algorithm is given in the article Bc programming language.
[40] Johnson, Kotz & Balakrishnan (1994, p. 85)
[41] Le Cam & Lo Yang (2000, p. 74)
[42] 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).
[43] De Moivre, Abraham (1733), Corollary I – see Walker (1985, p. 77)
[44] Stigler (1986, p. 76)
[45] "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)
[46] Gauss (1809, section 177)
[47] Gauss (1809, section 179)
[48] "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)
[49] Laplace (1774, Problem III)
[50] Pearson (1905, p. 189)
[51] Stigler (1986, p. 144)
[52] Stigler (1978, p. 243)
[53] Stigler (1978, p. 244)
[54] Maxwell (1860, p. 23)
[55] Jaynes, Edwin J.; Probability Theory: The Logic of Science, Ch 7 (http:/ / www-biba. inrialpes. fr/ Jaynes/ cc07s. pdf)
[56] 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)) approximately around 1875.
[57] Peirce, Charles S. (c. 1909 MS), Collected Papers v. 6, paragraph 327
[58] Kruskal & Stigler (1997)
[59] "Earliest uses… (entry STANDARD NORMAL CURVE)" (http:/ / jeff560. tripod. com/ s. html). .
Normal distribution 27

Citations

References
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fr/ark:/12148/bpt6k77596b/f32). Mémoires de l'Académie royale des Sciences de Paris (Savants étrangers),
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Normal distribution 29

External links
• Hazewinkel, Michiel, ed. (2001), "Normal distribution" (http://www.encyclopediaofmath.org/index.
php?title=p/n067460), Encyclopedia of Mathematics, Springer, ISBN 978-1-55608-010-4
• Normal Distribution Video Tutorial Part 1-2 (http://www.youtube.com/watch?v=kB_kYUbS_ig)
• An 8-foot-tall (2.4 m) Probability Machine (named Sir Francis) comparing stock market returns to the
randomness of the beans dropping through the quincunx pattern. (http://www.youtube.com/
watch?v=AUSKTk9ENzg) YouTube link originating from Index Funds Advisors (http://www.ifa.com)
• An interactive Normal (Gaussian) distribution plot (http://peter.freeshell.org/gaussian/)
Article Sources and Contributors 30

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