Let $X_1, \: X_2$ be two independent normal random variables with means $\mu_1, \: \ \mu_2$ and standard deviations $\sigma_1, \: \sigma_2$, respectively. Consider $Y=X_1-X_2; \: \mu_1 = \mu_2 =1, \: \sigma_1=1, \: \sigma_2=2$. Then, $Y$ is normally distributed ... $Y$ has mean $0$ and variance $5$, but is NOT normally distributed $Y$ has mean $0$ and variance $1$, but is NOT normally distributed

asked
Feb 17, 2018
in Probability and Statistics
Arjun
24.6k points