Gaussian distribution

Standard normal distribution

This distribution has a mean of 0 and a variance of 1. It is denoted by

\[X \sim \NNN(0, 1).\]

The PDF is given by

\[f_X(x) = \frac{1}{\sqrt{2\pi}} \exp \left ( - \frac{x^2}{2} \right ).\]

The CDF is given by

\[F_X(x) = \int_{-\infty}^x f_X(t) d t = \frac{1}{\sqrt{2\pi}} \int_{-\infty}^{x} \exp \left ( - \frac{t^2}{2} \right ) d t.\]

Symmetry

\[f(-x) = f(x). \quad F(-x) + F(x) = 1.\]

Some specific values

\[F_X(-\infty) = 0, \quad F_X(0) = \frac{1}{2}, \quad F_X(\infty) = 1.\]

The Q-function is given as

\[Q(x) = \int_{x}^{\infty} f_X(t) d t = \frac{1}{\sqrt{2\pi}} \int_{x}^{\infty} \exp \left ( - \frac{t^2}{2} \right ) d t.\]

We have

\[F_X(x) + Q(x) = 1.\]

Alternatively

\[F_X(x) = 1 - Q(x).\]

Further

\[Q(x) + Q(-x) = 1.\]

This is due to the symmetry of normal distribution. Alternatively

\[Q(x) = 1 - Q(-x).\]

Probability of \(X\) falling in a range \([a,b]\)

\[\PP (a \leq X \leq b) = Q(a) - Q(b) = F(b) - F(a).\]

The characteristic function is

\[\Psi_X(j\omega) = \exp\left ( - \frac{\omega^2}{2}\right ).\]

Mean:

\[\mu = \EE (X) = 0.\]

Mean square value

\[\EE (X^2) = 1.\]

Variance:

\[\sigma^2 = \EE (X^2) - \EE(X)^2 = 1.\]

Standard deviation

\[\sigma = 1.\]

An upper bound on Q-function

\[Q(x) \leq \frac{1}{2} \exp \left ( - \frac{x^2}{2} \right ).\]

The moment generating function is

\[M_X(t) = \exp\left ( \frac{t^2}{2}\right ).\]

Error function and its properties

The error function is defined as

\[\erf(x) \triangleq \frac{2}{\sqrt{\pi}} \int_0^x \exp\left ( - t^2 \right) d t.\]

The complementary error function is defined as

\[\erfc(x) = 1 - \erf(x) = \frac{2}{\sqrt{\pi}} \int_x^{\infty} \exp\left ( - t^2 \right) d t.\]

Error function is an odd function.

\[\erf(-x) = - \erf(x).\]

Some specific values of error function.

\[\erf(0) = 0, \quad \erf(-\infty) = -1 , \quad \erf (\infty) = 1.\]

The relationship with normal CDF.

\[F_X(x) = \frac{1}{2} + \frac{1}{2} \erf \left ( \frac{x}{\sqrt{2}}\right) = \frac{1}{2} \erfc \left (- \frac{x}{\sqrt{2}}\right).\]

Relationship with Q function.

\[Q(x) = \frac{1}{2} \erfc\left (\frac{x}{\sqrt{2}} \right) = \frac{1}{2} - \frac{1}{2} \erf \left ( \frac{x}{\sqrt{2}} \right ).\]
\[\erfc(x) = 2 Q(\sqrt{2} x).\]

We also have some useful results:

\[\int_0^{\infty} \exp\left ( - \frac{t^2}{2}\right ) d t = \sqrt{\frac{\pi}{2}}.\]

General normal distribution

The general Gaussian (or normal) random variable is denoted as

\[X \sim \NNN (\mu, \sigma^2).\]

Its PDF is

\[f_X( x) = \frac{1}{\sqrt{2 \pi} \sigma} \exp \left ( \frac{1}{2} \frac{(x -\mu)^2}{\sigma^2}. \right)\]

A simple transformation

\[Y = \frac{X - \mu}{\sigma}\]

converts it into standard normal random variable.

The mean:

\[\EE (X) = \mu.\]

The mean square value:

\[\EE (X^2) = \sigma^2 + \mu^2.\]

The variance:

\[\EE (X^2) - \EE (X)^2 = \sigma^2.\]

The CDF:

\[F_X(x) = \frac{1}{2} + \frac{1}{2} \erf \left ( \frac{x - \mu}{\sigma\sqrt{2}}\right).\]

Notice the transformation from \(x\) to \((x - \mu) / \sigma\).

The characteristic function:

\[\Psi_X(j\omega) = \exp\left (j \omega \mu - \frac{\omega^2 \sigma^2}{2}\right ).\]

Naturally putting \(\mu = 0\) and \(\sigma = 1\), it reduces to the CF of the standard normal r.v.

Th MGF:

\[M_X(t) = \exp\left (\mu t + \frac{\sigma^2 t^2}{2}\right ).\]

Skewness is zero and Kurtosis is zero.

One sided Gaussian distribution

Truncated normal distribution