[Math] Probability of Normal Distribution with Unknown Mean

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I am still quite new to the whole idea of probability and statistics and am not sure how to do this question.

The random variable R, also normally distributed, has a standard deviation of 3.59 with unknown mean is unknown. Find the greatest possible value of $P(-3.74<R<5.82)$.

I tried to integrate the normal distribution function using Maclaurin's expansion but it just got very messy and I'm sure there is a better way of doing it.

Best Answer

Look at the shape of the normal probability density function. It's unimodal and symmetric. So the probability of coverage is maximized if the mean of the distribution, $\mu$, coincides with the middle of your interval, that is, $1.04$. This result is independent of the standard deviation, $\sigma$. However, the attained probability does depend on $\sigma$.

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