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ImportError: No module named RealDistribution

I'm fairly new to sage, so this may be a dumb question. On the web interface the following code

T=RealDistribution('gaussian',.5)

runs without issue, however on my local machine, sage throws a not defined error

NameError: name 'RealDistribution' is not defined

I found this strange because it worked fine on the web interface and is almost a line strait from the manual, but I thought that maybe just something wasn't importing or something like that, so I tried the following import statements, but to no avail.

import sage.all
import sage.gsl.probability_distribution.RealDistribution

My questions are: why does it work on the online sagemath but not on my local machine, and what can I do to make it work?