Вы можете попробовать:
ggplot(data.frame(x = c(-4, 4)), aes(x)) +
stat_function(fun = dnorm, args = list(mean = 0, sd = 1), aes(colour = "mean = 0 / sd =1")) +
stat_function(fun = dnorm, args = list(mean = 0, sd = .5),aes(colour = "mean = 0 / sd =0.5"))+
scale_colour_manual("Parameters",values=c("blue","red"))