Variance matters more than mean in the extremes

from blog John D. Cook, | ↗ original
Suppose you have two normal random variables, X and Y, and that the variance of X is less than the variance of Y. Let M be an equal mixture of X and Y. That is, to sample from M, you first chose X or Y with equal probability, then you choose a sample from the […] The post Variance matters more than mean in the extremes first appeared on John D....