Show that if X and Y are independent normal random variables with parameters (1, 2 1 )

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Show that if X and Y are independent normal random variables with parameters (μ1, σ2 1 ) and

(μ2, σ2 2 ), respectively, then X + Y is normal with mean μ1 + μ2 and variance

σ2 1

+ σ2 2 .

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