Normal distribution

A normal or Gaussian distribution has the following form

p(x)=12πσ2exp⁡((x−μ)22σ2). p(x) = \frac{1}{\sqrt{2\pi \sigma^2}} \exp\left( \frac{(x-\mu)^2}{2\sigma^2}\right).

Where μ\mu is the mean and σ\sigma is the standard deviation. The normal distribution occurs almost everywhere. Most other distributions such as the binomial and Poisson distributions approach a normal distribution when the sample size is large.

The cumulative distribution function for a normal distribution is

P(x)=∫−∞x12πσ2exp⁡((y−μ)22σ2) ⁣dy=1−12erfc⁡(x−μ2σ). \begin{align*} P(x) &= \int_{-\infty}^x \frac{1}{\sqrt{2\pi \sigma^2}} \exp\left( \frac{(y-\mu)^2}{2\sigma^2}\right) \d y \\ &= 1 - \frac12 \erfc\left(\frac{x-\mu}{\sqrt 2\sigma} \right). \end{align*}