Linear combinations of independent normal random variables

Theorem Let X1 , . . . , Xn be n independent normal random variables with mean 1 , . . . , n and variance
12 , . . . , n2 . Then for arbitrary scalars ak R, the random variable
Y = a1 X1 + + an Xn =

n
X

ak Xk

k=1

is again a normal random variable with mean

E [Y ] = a1 1 + + an n =

n
X

ak k

k=1

and variance
Var (Y ) =

a21 12

+ +

a2n n2

n
X

a2k k2

k=1

Notation


The usual notation for a normal random variable X with mean and variance 2 is X N , 2 .
However, the solution key you have there describes the
normal random variable with the standard deviation
(, ) where = 2 . (The hat on the N is not standard; I have added
instead of the variance, i.e. X N
it so it is easier to tell which N (, ) we are talking about.)
In the theorem above, we can also restate as




independent Xk N k , k2 | k = 1, . . . , n

n
X

n
X

ak Xk = Y N

k=1

k=1

ak k ,

n
X

!
a2k k2

k=1

Using the notation that uses the standard deviation, we would have instead
n
o
(k , k ) | k = 1, . . . , n
independent Xk N

n
X

n
X

u n
uX
ak k , t
a2k k2

k=1

k=1

ak Xk = Y N

k=1

Regarding problem #18

(1 , 1 ) and X2 N
(2 , 2 ) where 1 = 2 = 0, 1 = 0.0056h, and 2 = 0.0044h.
We are given X1 N
The random variable Y is given by
Y =

X1 + X2
1
1
= X1 + X2
2
2
2

from which we have

Y = a1 1 + a2 2 =

a1 = a2 =

1
2

1
1
0+ 0=0
2
2

and

 2
 2
2
2
1
1
(0.0056h) + (0.0044h)
2
2
(0.0056h) +
(0.0044h) =
= 0.1268h2
2
2
4
s
2
2
(0.0056h) + (0.0044h)
=
Y =
0.356h
4


(0, 0.356h).
so we say Y N 0, 0.1268h2 , or equivalently, Y N
Y2 =

Extra note: the significance of independence

It is important that the normal random variables in the theorem be independent: Suppose X1 N (0, 1) and
X2 = X1 . Then Y = X1 X2 (i.e., a1 = 1 and a2 = 1) is always 0 and thus not a normal random variable.
1