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Consider two normal distributions, both with a mean of 0 but have different variances: N(0, 1) and N(0, 3). If we take the standard procedure to mix them, which of the following correctly describes the resulting mixture distribution?
A
The resulting distribution will also be normal, with a mean of 0 and a variance of 2.
B
The resulting distribution will not be normal. In fact, it will be bimodal.
C
The resulting distribution will not be normal. In fact, it will be very heavily tailed.
D
The resulting distribution will not be normal. In fact, it will be skewed and heavily tailed.
