This is a question about linear combinations of independent random variables.
X and Y are independent random variables.
$X$ has mean 2 and standard deviation 4.
$Y$ has mean 3 and standard deviation 2.
How would you calculate the mean and standard deviation of $X – Y$?
I know that if a set of random variables are all added by k then the mean becomes mean+k
but since we are adding the numbers by different numbers, how would this work?
Best Answer
Mean is linear in its argument, i.e. $$ \mathsf E(X-Y) = \mathsf EX-\mathsf EY. $$
About the standard deviation you know that the variance of sum of independent random variables is equal to the sum of their variances, i.e. $$ V(X+Y) = V(X)+V(Y) $$ and the standard deviation is a positive square root of the variance: $\sigma_X = +\sqrt{V(X)}$. What you still need to do is to recall that $V(Y) = V(-Y)$, so $$ \sigma_{X-Y} = \sqrt{V(X-Y)} = \sqrt{V(X+(-Y))} = \sqrt{V(X)+V(-Y)} $$ $$ =\sqrt{V(X)+V(Y)} = \sqrt{\sigma_X^2+\sigma_Y^2} = \sqrt{20} = 2\sqrt{5}. $$
For more information see these articles: expectation and variance.