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Mean absolute gap between two independent normals

Question

Let XX and YY be independent normal variables, where XX is standard normal and YY has mean 00 and variance 44. The expected absolute difference E ∣Y−X∣\mathbb{E}\,|Y-X| can be written as (Kπ)b\left(\tfrac{K}{\pi}\right)^b with KK and bb rational. Find bKbK.

Short answer

55. The difference Y−XY-X is normal with mean 00 and variance 1+4=51+4=5. For W∼N(0,σ2)W\sim N(0,\sigma^2), E∣W∣=σ2/π\mathbb{E}|W|=\sigma\sqrt{2/\pi}, so the answer is 52/π=(10/π)1/2\sqrt{5}\sqrt{2/\pi}=(10/\pi)^{1/2}, giving K=10K=10, b=12b=\tfrac12 and bK=5bK=5.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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