
g[x_]:=PDF[NormalDistribution[0,1],x]
G[x_]:=CDF[NormalDistribution[0,1],x]
Manipulate[Plot[{g[x],
If[Abs[x]>Quantile[NormalDistribution[0,1],1-a],
g[x]]},{x,-4,4},PlotRange->All,Filling->{2->0},
PlotStyle->Thickness[0.01],
Epilog->{Thickness[0.01],Black,Line[{{2,0},{2,0.4}}]}],
{{a,0.2,Style["\[Alpha]=",FontSize->24]},0.2,0,0.01,
Appearance->"Open"}]

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