Question

Let X1 and X2 be independent random variables. Suppose the mean and variance of X1 are 1 and 1, respectively. Suppose, the mean and variance of X2 are 4 and 8 respectively. What is the standard deviation of X2 - 3X1

Answer 1

Since X₁ and X₂ are independent, we have

Var[X₂ - 3X₁] = Var[X₂] + (-3)² Var[X₁]

Var[X₂ - 3X₁] = 8 + 9 × 1

Var[X₂ - 3X₁] = 17

Then the standard deviation of X₂ - 3X₁ is the square root of the variance, √17.