Tarjei Knapstad wrote:
> I recently ran into this problem when assisting my girlfriend
> with her studies for an exam in basic statistics, but I've been
> unable to solve it:
--snip--
Here's a hint:
If X1 and X2 are jointly normal, then: (1) y = X1-X2 is normally
distributed; and (2) the mean and standard deviation of y can be
expressed in terms of the means, standard deviations and correlation of
X1 and X2. The problem then reduces to one of finding the probability
that |y| > a.
Charles Metz
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