TheoremBase

The Standard Normal Densities in Closed Form

The standard normal density on the real line is exp(-x^2/2) divided by the square root of 2π, and on RkR^k it is exp(-|x|^2/2) divided by the k-th power of that square root.

Statement

In the setting of Gaussian Random Vectors: Standing Notation, let k∈Nk\in\mathbb{N}, let exp⁡\exp be the exponential function, π\pi the number of The Number Pi (i) and 2π\sqrt{2\pi} the square root of 2π>02\pi>0 (Quarter-Turn Identities and Periodicity of Sine and Cosine (i)).

On the real line. The standard normal density is

φ(x)=12πexp⁡(−x2/2)(x∈R).\varphi(x)=\frac{1}{\sqrt{2\pi}}\exp(-x^{2}/2)\qquad(x\in\mathbb{R}).

On Rk\mathbb{R}^{k}. The standard normal density on Rk\mathbb{R}^{k} is

φk(x)=1(2π)kexp⁡(−∥x∥2/2)(x∈Rk).\varphi_{k}(x)=\frac{1}{(\sqrt{2\pi})^{k}}\exp\bigl(-\lVert x\rVert^{2}/2\bigr)\qquad(x\in\mathbb{R}^{k}).

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