Let X1, X2 be two independent normal random variables with

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Let X₁, X₂ be two independent normal random variables with means μ₁, μ₂ and standard deviations σ₁, σ₂ respectively. Consider Y = X₁ – X₂; μ₁ = μ₂ = 1, σ₁ = 1, σ₂ = 2, Then,

1. Y is normal distributed with mean 0 and variance 1
2. Y is normally distributed with mean 0 and variance 5
3. Y has mean 0 and variance 5, but is NOT normally distributed
4. Y has mean 0 and variance 1, but is NOT normally distributed

Correct Option: B

Y is normally distributed wit h mean 0 and variance 5.