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Probability: How to find the distribution of linear combinations of variables? E.g. If Y1, Y2 ~N(0,1) find the distribution of Z = Y2-Y1?
How would I find the distribution of Z?
1 Answer
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- cidyahLv 74 years agoFavorite Answer
Y2-Y1 is normally distributed with mean E(Y2-Y1) = E(Y2)-E(Y1) = 0 -0 = 0
and Variance V(Y2-Y1) = V(Y2)+V(Y1) = 1+1 = 2
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