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Preserve the absolute deviation when relating two normal tails

Independent X,Y have distributions N(2μ,σ2)N(2\mu,\sigma^2) and N(3μ,3σ2)N(3\mu,3\sigma^2) respectively, with σ>0. Let Z∼N(0,1)Z\sim N(0,1).

(i) Given P(X<2μ+2σ2)=kP(X<2\mu+2\sigma^2)=k, show that P(Z<2σ)=kP(Z<2\sigma)=k.

(ii) Write down the mean and variance of Y−X. Hence find P(∣Y−X−μ∣>4σ2)P(|Y-X-\mu|>4\sigma^2) in terms of k.

[2008/VJC/BT/II/14]

CJC · Discussion · Question 12

Use the standard deviation 2σ of the difference, and keep both tails of the absolute deviation.

Read the worked solution