What is Normal Distribution?

A normal distribution is determined by two parameters the mean and the variance. A normal distribution with a mean of 0 and a standard deviation of 1 is called a standard normal distribution.
One important phenomena of a normal distribution is that it retains the normal shape throughout, unlike other probability distributions that change their properties after a transformation. For a Normal Distribution:

  • Product of two Normal Distribution results in a Normal Distribution
  • The Sum of two Normal Distributions is a Normal Distribution
  • Convolution of two Normal Distribution is also a Normal Distribution
  • Fourier Transformation of a Normal Distribution is also Normal

A normal distribution is determined by two parameters the mean and the variance. A normal distribution with a mean of 0 and a standard deviation of 1 is called a standard normal distribution.