Normal cumulative distribution function (cdf)
computes the normal cdf at each of the values in
X using the corresponding parameters in MU and SIGMA. Vector or matrix inputs for X, MU, and SIGMA must all have the same size. A scalar input is expanded to a constant matrix with the same dimensions as the other inputs. The parameters in SIGMA must be positive.
The normal cdf is
The result, p, is the probability that a single observation from a normal distribution with parameters µ and will fall in the interval (- x].
The standard normal distribution has µ= 0 and = 1.
What is the probability that an observation from a standard normal distribution will fall on the interval [-1 1]?
More generally, about 68% of the observations from a normal distribution fall within one standard deviation, , of the mean, µ.