Plot[
{
CDF[NormalDistribution[0, Sqrt[0.2]], x],
CDF[NormalDistribution[0, 1], x],
CDF[NormalDistribution[0, Sqrt[5]], x],
CDF[NormalDistribution[-2, Sqrt[0.5]], x]
},
{x, -5, 5},
PlotRange -> All,
Axes -> False]
# Normal Distribution - Cumulative Density Function (CDF)
#range
x=seq(-5,5,length=200)
#plot each curve
plot(x,pnorm(x,mean=0,sd=sqrt(.2)),type="l",lwd=2,col="blue",main='Cumulative Density Function CDF',xlim=c(-5,5),ylim=c(0,1),xlab='X',
ylab='φμ, σ²(X)')
curve(pnorm(x,mean=0,sd=1), add=TRUE,type="l",lwd=2,col="red")
curve(pnorm(x,mean=0,sd=sqrt(5)), add=TRUE,type="l",lwd=2,col="yellow")
curve(pnorm(x,mean=-2,sd=sqrt(.5)), add=TRUE,type="l",lwd=2,col="green")