Let X1, X2 be two independent normal random variables with means µ1, µ2 and standard deviations s1, s2,

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