In probability theory and statistics, the half-normal distribution is a special case of the folded normal distribution. Let X {\displaystyle X} follow an ordinary normal distribution, N ( 0 , σ 2 ) {\displaystyle N(0,\sigma ^{2})} . Then, Y = | X | {\displaystyle Y=|X|} follows a half-normal distribution. Thus, the half-normal distribution is a fold at the mean of an ordinary normal distribution with mean zero.
Properties Using the σ {\displaystyle \sigma } parametrization of the normal distribution, the probability density function (PDF) of the half-normal is given by
f Y ( y ; σ ) = 2 σ π exp ( − y 2 2 σ 2 ) y ≥ 0 , {\displaystyle f_{Y}(y;\sigma )={\frac {\sqrt {2}}{\sigma {\sqrt {\pi }}}}\exp \left(-{\frac {y^{2}}{2\sigma ^{2}}}\right)\quad y\geq 0,}
where E [ Y ] = μ = σ 2 π {\displaystyle E[Y]=\mu ={\frac {\sigma {\sqrt {2}}}{\sqrt {\pi }}}} . Alternatively using a scaled precision (inverse of the variance) parametrization (to avoid issues if σ {\displaystyle \sigma } is near zero), obtained by setting θ = π σ 2 {\displaystyle \theta ={\frac {\sqrt {\pi }}{\sigma {\sqrt {2}}}}} , the probability density function is given by
f Y ( y ; θ ) = 2 θ π exp ( − y 2 θ 2 π ) y ≥ 0 , {\displaystyle f_{Y}(y;\theta )={\frac {2\theta }{\pi }}\exp \left(-{\frac {y^{2}\theta ^{2}}{\pi }}\right)\quad y\geq 0,}
where E [ Y ] = μ = 1 θ {\displaystyle E[Y]=\mu ={\frac {1}{\theta }}} . The cumulative distribution function (CDF) is given by
F Y ( y ; σ ) = ∫ 0 y 1 σ 2 π exp ( − x 2 2 σ 2 ) d x {\displaystyle F_{Y}(y;\sigma )=\int _{0}^{y}{\frac {1}{\sigma }}{\sqrt {\frac {2}{\pi }}}\,\exp \left(-{\frac {x^{2}}{2\sigma ^{2}}}\right)\,dx}
Using the change-of-variables z = x / ( 2 σ ) {\displaystyle z=x/({\sqrt {2}}\sigma )} , the CDF can be written as
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