Q. Let X1, X2 be two independent normal random variables with means µ1, µ2 and standard deviations s1, s2, respectively. Consider Y = X1 – X2; µ1 = µ2 =1, s1 = 1, s2 = 2. Then,
A. Y is normally distributed with mean 0 and variance 1
B. Y is normally distributed with mean 0 and variance 5
C. Y has mean 0 and variance 5, but is NOT normally distributed
D. Y has mean 0 and variance 1, but is NOT normally distributed
Ans: Y is normally distributed with mean 0 and variance 5