Area Under a Real Gaussian


Corollary: Setting $ p=1/(2\sigma^2)$ in the previous theorem, where $ \sigma>0$ is real, we have

$\displaystyle \int_{-\infty}^\infty e^{-t^2/2\sigma^2}dt = \sqrt{2\pi\sigma^2}, \quad \sigma>0$ (D.9)

Therefore, we may normalize the Gaussian to unit area by defining

$\displaystyle f(t) \isdef \frac{1}{\sqrt{2\pi\sigma^2}} e^{-\frac{t^2}{2\sigma^2}}.$ (D.10)

Since

$\displaystyle f(t)>0\;\forall t$   and$\displaystyle \quad \int_{-\infty}^\infty f(t)\,dt = 1,$ (D.11)

it satisfies the requirements of a probability density function.


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Alternate Proof
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Product of Two Gaussian PDFs