[Tex/LaTex] Can someone pgfplots the following picture concerning confidence intervals

pgfplotstikz-pgf

Confidence Interval picture

I've been trying to use the following code to produce it, but have no idea how to shade in the tails I am interested in. By the way, the line pointing the (100-C/2)% can be an arrow, does not have to be squiggly as depicted in the picture. 

\begin{tikzpicture}[
every pin edge/.style={<-},
every pin/.style={fill=yellow!50,rectangle,rounded corners=3pt,font=\small}]
\begin{axis}[every axis plot post/.append style={
  mark=none,domain=-3:3,samples=50,smooth},
clip=false,
axis y line=none,
axis x line*=bottom,
ymin=0,
xtick=\empty,
]
\addplot {\gauss{0}{0.5}};
\addplot {\gauss{0}{1}};
\node[pin=70:{$\hat{\theta}_1$}] at (axis cs:0.57,0.5) {};
\node[pin=270:{$E(\hat{\theta} = 0$}] at (axis cs:0,0) {};
\draw[dashed] (axis description cs:0.5,0) -- (axis description cs:0.5,0.92);
\end{axis}
\end{tikzpicture}

Best Answer

Using the code and approach from gauss function Plotting bell shaped curve in TikZ-PGF for plotting the bell curves and shading the areas, you can get the following:

Note that you shouldn't put the domain key into every axis plot post/.style, because then you can't override it locally. Also, smooth doesn't work properly when filling curves, so you should deactivate it and use a higher sample number. For drawing the zero line, I've used an approach from How can I add a zero line to a plot?

\documentclass[11pt]{article}
\usepackage{pgfplots}
\usepackage{siunitx}
\begin{document}
\pgfmathdeclarefunction{gauss}{2}{%
  \pgfmathparse{1/(#2*sqrt(2*pi))*exp(-((x-#1)^2)/(2*#2^2))}%
}

\begin{tikzpicture}[
    every pin edge/.style={<-},
    every pin/.style={
        fill=yellow!50,
        rectangle,
        rounded corners=3pt,
        font=\small}
    ]
\begin{axis}[
    every axis plot post/.append style={
        mark=none
    },
    domain=-3:3,
    samples=100,
    clip=false,
    axis y line=none,
    axis x line*=bottom,
    xmin=-3,xmax=3,
    ymin=0,
    xtick=\empty,
]
\addplot [fill=cyan!50, draw=none, domain=-3:-0.8, forget plot] {gauss(0,0.5)} \closedcycle;
\addplot [fill=cyan!50, draw=none, domain=0.8:3, forget plot] {gauss(0,0.5)} \closedcycle;
\addplot {gauss(0,0.5)};
\addplot {gauss(0,1)};
\node[pin=70:{$\hat{\theta}_1$}] at (axis cs:0.57,0.5) {};
\node[pin=270:{$E(\hat{\theta} = 0$}] at (axis cs:0,0) {};
\draw [gray] ({rel axis cs:0,0}-|{axis cs:0,0}) -- ({rel axis cs:0,1}-|{axis cs:0,0});
\end{axis}
\end{tikzpicture}
\end{document}
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