Question: Suppose and are jointly normal variables, with E( ) = , var( ) = 2, E( ) = , var( ) =

Suppose ξ and ζ are jointly normal variables, with E(ξ ) = α, var(ξ ) =

σ2, E(ζ ) = β, var(ζ ) = τ 2, and cov(ξ , ζ ) = ρστ . Find the mean and variance of ξ + ζ . Is ξ + ζ normal?

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