Let X<sub>1</sub>, X<sub>2</sub> be two independent normal random variables with means μ<sub>1</sub>, μ<sub>2</sub> and standard deviations σ<sub>1</sub>, σ<sub>2</sub> respectively. Consider Y = X<sub>1</sub> - X<sub>2</sub>; μ<sub>1</sub> = μ<sub>2</sub> = 1, σ<sub>1</sub> = 1, σ<sub>2</sub> = 2, Then,

Correct Answer: Y is normally distributed with mean 0 and variance 5