How to deduct mean and variance of Normal Distribution(Gaussian Distribution)?

Benny_WEI

已于 2022-05-04 17:33:06 修改

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分类专栏： Probability&Statistics 文章标签：概率论

于 2022-05-04 17:03:35 首次发布

本文链接：https://blog.csdn.net/qq_46261795/article/details/124573412

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本文详细解析了正态分布的概率密度函数形式，并通过积分计算了均值和方差。重点在于展示如何利用对称性和PDF标准化性质简化计算过程。

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This is Chinese version
[中文版]

Probability density function(pdf) of normal distribution is
$f(x)=\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^{2}}{2\sigma^{2}}}$

Mean

$\begin{aligned} E\left ( x \right )&=\int_{-\infty}^{+\infty}xf(x)dx\\ &=\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma}xe^{-\frac{\left(x-\mu\right)^{2}}{2\sigma^{2}}}dx\\ &=\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma}(x-\mu)e^{-\frac{\left(x-\mu\right)^{2}}{2\sigma^{2}}}dx+\mu\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{\left(x-\mu\right)^{2}}{2\sigma^{2}}}dx\\ &=\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma}xe^{-\frac{x^{2}}{2\sigma^{2}}}dx+\mu\int_{-\infty}^{+\infty}f(x)dx\\ &=\mu \end{aligned}$

Focus on the penult line, the 1st integral is 0 due to symmetry, the 2nd equals 1 due to the pdf normalization property.

Variance

A.
$\begin{aligned} \int_{-\infty}^{+\infty}f(x)dx&=\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{x^{2}}{2\sigma^{2}}}dx\\ &=\frac{1}{\sqrt{2\pi}\sigma}\left [ \left ( xe^{-\frac{x^{2}}{2\sigma^{2}}} \right )_{-\infty}^{+\infty} -\int_{-\infty }^{+\infty }xde^{-\frac{x^{2}}{2\sigma^{2}}}\right] \\ &=\int_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi}\sigma^{3}}x^{2}e^{-\frac{x^{2}}{2\sigma^{2}}}\\ &=1 \end{aligned}$

Follows from the pdf normalization property.

Focus on the 2nd line, where partial integral is been used.

B.
$\begin{aligned} D(x)&=E\left[(x-\mu)^2\right]\\ &=\int_{-\infty}^{+\infty}\frac{1}{\sqrt{2\pi}\sigma}(x-\mu)^2e^{-\frac{(x-\mu)^2}{2\sigma^2}}dx\\ &=\int_{-\infty}^{+\infty}\frac{1}{\sqrt{2\pi}\sigma}x^2e^{-\frac{x^2}{2\sigma^2}} \end{aligned}$
Using this in A yields
$D(x)=\sigma^2$