Solve using the moment-generating function technique. Let X1, . . . , Xn be independent random variables, such that Xi ∼ N(µi, σ2)  for i = 1, . . . , n. Find the distribution of Y = a1X1 + · · · + anXn.

A First Course in Probability (10th Edition)
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Chapter1: Combinatorial Analysis
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Solve using the moment-generating function technique.

Let X1, . . . , Xn be independent random variables, such that Xi ∼ N(µi, σ2)
 for i = 1, . . . , n. Find the distribution of Y = a1X1 + · · · + anXn.

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Step 1

Introduction:

The random variable Xi has a normal distribution with parameters mean, μi, and variance, σ2, so that its standard deviation is σ, for i = 1, 2, …, n.

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