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Please see the problem in the attachment. Let Xi and X2 are independent Gaussian random variables with means /1 and /2, respec- tively, and variances

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Please see the problem in the attachment.

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Let Xi and X2 are independent Gaussian random variables with means /1 and /2, respec- tively, and variances of and ?, respectively. Let Y = aX1 + bX2 + c for some constants a, b, and c. Find the PDF of Y using the moment generating functions (MGF)

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