Two independent variables X∼N(0,1)X \sim N(0, 1)X∼N(0,1) and Y∼N(0,1)Y \sim N(0, 1)Y∼N(0,1). What is the distribution of X−YX-YX−Y?
N(0,0)N(0, 0)N(0,0)
N(0,1)N(0, 1)N(0,1)
N(0,2)N(0, 2)N(0,2)
N(0,2)N(0, \sqrt{2})N(0,2)