How to find standard deviation of a random variable - AP Statistics

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Question

We have two independent, normally distributed random variables and such that has mean and variance and has mean and variance . What is the probability distribution of the difference of the random variables, ?

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Answer

The mean for any set of random variables is additive in the sense that

The difference is also additive, so we have

This means the mean of is .

The variance is additive when the random variables are independent, which they are in this case. But it's additive in the sense that for any real numbers (even when negative), we have

.

So for this difference, we have

.

So the mean and variance are and , respectively. In addition to that, is normally distributed because the sum or difference of any set of independent normal random variables is also normally distributed.

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