# A Simple Intuition Behind The Normal Distribution Equation

Ever since I learned about the Normal Distribution Equation in school it always looked menacing to me. I could not memorize it and I could not make any sense of it. I can kind of understand why the equation includes the sigma, mean, and the x’s. But where did e come from? Pi? And these strange fractions everywhere.

In this article we are going to derive the equation for the normal distribution (pdf) from scratch, step-by-step, using simple examples. I guarantee you by the end of this article you will be able to do it on your own with minimal algebra and probability knowledge required.

## Table of Contents:

- From Darts to Exponents
- A “Normal Distribution” with Two Parameters
- From Two to One
- From One to Spread
- The Final Form: Spread and Mean

The full code is available on my GitHub. The resources that were used in preparation for this article are: [1], [2], [3], [4].

# 1. From Darts to Exponents

Let’s imagine we are throwing darts at a dartboard. As we do this, we record each dart’s position on the board. Below is a scatter plot of the final result, where the bullseye is centered on the origin (0, 0).

As we can expect, most of the darts on the board cluster in the close proximity to the desired target. As we move further away from the bullseye, fewer and fewer darts fall there. How can we come up with a function to calculate a probability of a dart in a particular location on the board? In other words, *how can we define a pdf that would take a location on the board and produce a probability of a dart being there?*

Let’s define a pdf called *phi* that would take a point on the dartboard and produce a probability of finding a dart near that point. We are going to define a small box *dA* to describe how near to that point we want to find the darts.

Then, the probability of finding a dart inside that box can be described by the following formula:

Please note that boxes that lie closer to the origin will produce higher probability, as it naturally follows from our assumptions that there are more darts closer to the bullseye. Also, if two boxes are the same distance away from the origin, then the larger box will have a higher probability, since it has a larger area.

You might have noticed that I use the word *distance *as opposed to specific coordinates of *x *and *y*. This is because *y *and *x *are independent of each other: knowing one does not tell you anything about the other. If you aim your dart too high, say at *y=2.5*, then it does not tell you anything about which side of the board (i.e., *x*) you are going to hit. It follows that **if you rotate a box dA preserving it’s distance r and its area dA, you will get the same value from phi.**

Let’s define a new pdf *f(x)* that would take a coordinate *x* and produce the probability of a dart at that coordinate. Rewriting the previous formula, we get

where *f* can be thought of some pdf independently operating on the *x* and *y* coordinates. Since *x* and *y* are independent, we can safely multiply them like this, following the probability independence rule. By cancelling out *dA*’s we get the following:

Recall, that by the Pythagorean theorem, in the right triangle, the hypothenuse equals the squared root of the squared sum of two legs. Graphically, this can be depicted like so

Using this information, we can rewrite the previous equation like this

Let’s set *y=0* and plug it into our equation

Since* f(0)* is some unknown constant, let’s name it *lambda*

The resultant equation tells us that **the function phi operating on some input x is a scalar multiple of f operating on the same input**. Using this property, let’s rewrite the previous equation like so

In other words,

Let’s divide both sides by *lambda *squared and simplify a bit

Substitute

Our goal now is to find a certain function g that would satisfy the property above. That is, **if we take a function g and apply it on the x input times the y input we should get a squared root of the sum of squares of those x and y inputs**. To find such a function, let’s consider a simpler case

What kind of functions have this property? Recalling High School algebra, we can notice that exponentiation functions satisfy the property above. For example,

Although the function *h* looks similar to the function *g*, they are not exactly the same. The function *g* has a squared root in the right hand side of the equation. Therefore, to get rid of it, we can square our inputs of the function *g*. Squaring *x* gives us *x²*, squaring *y* gives us *y²*, and squaring *sqrt(x²+y²)* gives us *x²+y²*. We are ready to substitute these values back

You might notice that we chose the base 5 for our formula. In fact, we can choose any base, like 1, 2 or *e*. To generalize over all the bases, let’s pick the base of *e^A*, where *A* is some unknown constant.

Substituting back into *g* we finally get the following

# 2. A “Normal Distribution” with Two Parameters

Let’s plot the resultant distribution using various values for the *lambda *and *A*

Oh no, our distribution is upside down. So let’s fix that by substituting *A* for the following:

We get the following equation

Now, by plotting our distributions with various parameters of *lambda *and *h* we can observe how to shape of the distribution changes depending on the values of *lambda *and *h*.

# 3. From Two to One

So far so good, the curve looks like a normal distribution. However, one problem still persists: for this curve to be considered a true pdf, the area under our curve should be equal to 1. Mathematically,

Let’s solve this integral. Substituting our equation we get

The resultant integral is called Gaussian integral and is equal to the square root of *pi*. I don’t know why that is, but the complete derivation can be looked up on the Wikipedia. So we get

Let’s substitute* h²* in our original equation we derived earlier. We finally get

There are 2 important things we did. **First**, we got rid of the unknown *h*, leaving only a single unknown — *lambda*. **Second**, since we computed the integral equals 1, we are now **guaranteed **to have the area under the curve equal to 1. By constraining ourselves with a single parameter *lambda*, we can see how, unlike our previous examples, the width of the distribution now depends on the value of *lambda.*

# 4. From One to Spread

What *lambda *essentially controls is the **spread **of the values (variance- sigma²). The higher the value — the lower the spread — the narrower the distribution is. Let’s define that relationship between *lambda *and *sigma *mathematically.

We know that the variance of a pdf is calculated by the following formula:

Substituting for the *f(x)* gives us

**Now we can clearly see that lambda and sigma are inversely proportional: the higher the lambda — the lower the sigma, and vice versa.**

Performing the final substitution for *lambda *we get

# 5. The Final Form: Spread and Mean

The formula above describes a normal distribution that is centered on 0. That is, the mean is 0. Suppose we want to be able to center it on different values. From the perspective of the distribution, it means shifting it along the x-axis to the right (positive mean) and to the left (negative mean).

In other words, we need to add (substract) a constant value *mu *to (from) each of the *x*’s. As the previous equation shows, there is only one *x* in that equation, so we simply modify it like so

Recall that to move a curve on the x-axis to the **right **we need to **subtract **the constant, and to move it to the **left**, we need to **add** it. Since we want positive means to be on the right, we substract it from the *x*’s.

And this is it, we have finally arrived at the final equation for the normal distribution. I hope this article helped you to gain a bit of intuition behind the normal distribution formula!