Hello everyone,

If X1 and X2 are two normal random variables, then assuming

X = (X1)^2 + (X2)^2

X is Chi-Squared random variable with two degrees of freedom. My question is that if

Y = (X1)^2 - (X2)^2

then what is the distribution function of Y and what is its mean and variance?

Any help will be greatly appreciated.