Normal distribution

Definition and stakes

Portrait of William Sealy Gosset William Sealy Gosset,  The Probable Error of a Mean (1908)

“ It is usual, however, to assume a normal distribution, because, in a very large number of cases, this gives an approximation so close that a small sample will give no real information as to the manner in which the population deviates from normality: since some law of distribution must be assumed it is better to work with a curve whose area and ordinates are tabled, and whose properties are well known. ”
Source: Wikisource

David M. Lane, David Scott, Mikki Hebl, Rudy Guerra, Dan Osherson, and Heidi Zimmer,  Introduction to Statistics (2022)

“ Distributions have different shapes; they don't all look like the normal distribution in Figure 4. For example, the normal probability density is higher in the middle compared to its two tails. Other distributions need not have this feature. There is even variation among the distributions that we call “normal.” For example, some normal distributions are more spread out than the one shown in Figure 4 (their tails begin to hit the X-axis further from the middle of the curve --for example, at 10 and 90 if drawn in place of Figure 4) . ”
Source: Wikisource

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