P(Z ≤ 1.96) for the standard normal
The classic critical value that gives roughly 97.5% of the standard normal mass.
Solution
- Distribution X ~ N(μ = 0, σ = 1)
- Z-score z = (x − μ) / σ = 1.96
- P(X ≤ x) Φ(z) = 0.975002
- P(X ≥ x) 1 − Φ(z) = 0.0249978
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