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Other Properties of the Normal Distribution:
- Recall, if X is a normal random variable and a and b are constants, then Y = aX + b will be have a normal distribution as well.
In fact if X ~ N(μ, σ), then Y ~ N(aμ + b, |a|σ).
- If X and Y are independent random variables who each have a normal distribution then X + Y and X – Y also have a normal distribution.