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Cardiff University School of Mathematics
Standard Normal Distribution
Definition

The normal distribution with mean zero and variance 1 is referred to as the standard normal distribution. This is often denoted by Z ~ N(0,1) and has the probability density function,

phi(z) = 1/sqrt(2 pi) e^-(z^2/2)

The corresponding cumulative distribution function of Z is therefore, by definition

Phi(z) = 1/sqrt(2 pi)  Integral e^-(x^2/2) dx

Any Normal Distribution X ~ N(a, b2), where a and b2 represent the mean and variance respectively, can be standardised into the above form. See the examples below on Standardising and the use of Standard normal tables. Full tables for the Normal Distribution and tables for the percentage points of the Normal Distribution can be found here. Printable versions of both tables are also available.

Note!   Example   Test yourself