The RV X, is normally distributed with meanu, and variance o, for i=1, 2, and X, and X, are independent. Find the distribution of Z=a,X,+a,X, where a1, az e R. (You may assume that Ee = exp (0p, + 0o/2).)

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The RV X, is normally distributed with mean u, and variance o, for
i=1, 2, and X, and X, are independent. Find the distribution of Z=a;X,+a,X,, where
a1, az e R.
(You may assume that Ee"x = exp (Oµ, + 0²o}/2).)
Transcribed Image Text:The RV X, is normally distributed with mean u, and variance o, for i=1, 2, and X, and X, are independent. Find the distribution of Z=a;X,+a,X,, where a1, az e R. (You may assume that Ee"x = exp (Oµ, + 0²o}/2).)
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