[Math] Normal distribution problem – “6 times the standard deviation”

statistics

An old textbook says the range of data can be estimated as 6 times the standard deviation. If the data is normally distributed what percentage of the data is within the range?

By 'range of data', does the question mean biggest – smallest? In that case, how do I write an expression for it if it's normally distributed?

Best Answer

Let $X$ be normally distributed with mean $\mu$ and standard deviation $\sigma$. Then $$\Pr(\mu-3\sigma\le X\le \mu+3\sigma)=\Pr\left(\left|\frac{X-\mu}{\sigma}\right|\le 3\right)=\Pr(|Z|\le 3),$$ where $Z$ is standard normal. From tables, we find that $\Pr(Z\le 3)\approx 0.99865$. Thus $$\Pr(\mu-3\sigma\le X\le \mu+3\sigma)\approx 2(0.99865-0.5)=0.9973.$$ Informally, the probability that $X$ is more than $3$ standard deviation units away from the mean is $\approx 2.7\times 10^{-3}$, quite small. Thus only a small proportion of observations will lie outside the interval $\mu\pm 3\sigma$, which has width $6\sigma$.

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