Statistics expected values problem

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SUMMARY

The discussion focuses on calculating the expected values and variance of a random variable U defined as U = 2X1 − X2, where X1 and X2 are independent normal random variables distributed as N(μ1,σ^2) and N(μ2,σ^2), respectively. The mean of U is determined to be E(U) = 2μ1 - μ2. The variance of U is calculated as Var(U) = 5σ^2. Finally, the distribution of U is confirmed to be Gaussian, expressed as N(2μ1 - μ2, 5σ^2).

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Homework Statement


  1. Let X1 and X2 be independent normal random variables, distributed as N(μ1,σ^2) and N(μ2,σ^2), respectively. Consider a random variable U = 2X1 − X2.

    (a) Find the mean of U.
    (b) Find the variance of U.
    (c) Find the distribution of U.

The Attempt at a Solution


a) E(U) = 2E(X1) - E(X2) = 2μ1 - μ2

b) Var(U) = 2^2 Var(X1) + (-1)^2 Var(X2)
= 4σ^2 + σ^2 = 5σ^2
c) This part I am not really sure what they are asking. Do they just want me to write N(2μ1 - μ2, 5σ^2) like they did for the other ones?
 
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Probably.
It is not trivial that the distribution is a Gaussian distribution, but it is true here.
 

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