Normal Half-Plane by Symmetry
Let and be independent standard normal random variables. Find .
Work it out, then compare with the answer.
Answer
SolutionShow the worked solution
Since and are independent centred normals, the linear combination is normal with
so . A centred normal is symmetric about and puts no mass at . Hence
Alternative. The pair is rotationally symmetric about the origin. The event is an open half-plane whose boundary is a line through the origin, so it has probability .
Generalisation. The same argument gives for any .