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Considering two Gaussian distributions N1~(μ1,σ1^2) and N2~(μ2,σ2^2), we pick two random variables x1 and x2 in...

Considering two Gaussian distributions N1~(μ1,σ1^2) and N2~(μ2,σ2^2), we pick two random variables x1 and x2 in order to compute the sum x3=x1+x2. We want to prove that:

a) x3 follows a gaussian distribution

b) estimate mean value μ3 and variance σ3^2

c) repeat the above steps for multivariate Gaussian distributions N1~(μ1,Σ1) and N2~(μ2,Σ2)

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