The (univariate) normal PDF is given by .

When is standard normal, , so that the standard normal PDF is .

is also a standard normal random variable, so its PDF is similarly .

Now, If and are INDEPENDENT, then .

So, .

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- November 13th 2012, 08:21 AM #1

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- November 13th 2012, 09:17 AM #2

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- November 13th 2012, 09:42 AM #3

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