Expected gap between two normals

Let XN(0,1)X \sim \mathcal N(0,1) and YN(0,4)Y \sim \mathcal N(0,4) be independent. Compute EYX\mathbb{E}\,|Y - X|. The answer has the form (Kπ)b\left(\dfrac{K}{\pi}\right)^{b} for rational KK and bb; report bKb\cdot K.

Show hints (2)+
  1. YXY-X is normal with variance Var(Y)+Var(X)=5\operatorname{Var}(Y)+\operatorname{Var}(X)=5 (variances add).
  2. For ZN(0,σ2)Z\sim\mathcal N(0,\sigma^2), EZ=σ2/π\mathbb{E}|Z|=\sigma\sqrt{2/\pi}. Plug σ=5\sigma=\sqrt5.

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5

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Asked at: SIG, Two Sigma

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