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Hi,
I have a question reagrding the normal distribution.
Suppose there are 3 normal distribution equations as follows
X1~N(5,9)
X2~N(10,16)
X3~N(5+10,9+16)
And I used Excel to generate random numbers for different normal distributions.
Then I found that the sum of X1+X2 equals X3.
Can anyone please explain me why X1+X2 equals X3?
Hey theconman12345.
You can use the moment generating function of the sum of two independent normal distributions is a normal and you can use the fact that E[X+Y] = E[X] + E[Y] and Var[X+Y] = Var[X] + Var[Y] to show you get the mean and variance added when they are independent.
The MGF proof is obtained by considering that if X and Y are independent, then E[e^(t{X+Y})] = E[e^tX]E[e^tY] = MGF_x(t)*MGF_y(t) and you can take it from there.
thank you for your help!