# Variance of two jointly distributed Gaussian random variables

Let X and Y be two jointly distributed Gaussian random variables with means ηX and ηY and variance σ2X and σ2Y respectively. The correlation coefficient between X and Y is ρ. Let Z be a new random variable defined by Z = X-Y. Is Z Gaussian? What is the variance of Z?

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Let X and Y be two jointly distributed Gaussian random variables with means ηX and ηY and variance σ2X and ...

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The expert examines the variance of two jointly distributed Gaussian random variables.

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