Let $X_1 \in \text{Gaussian}(\mu_1, \sigma^2_1), \ldots, X_N \in \text{Gaussian}(\mu_N, \sigma^2_N)$ each be a D210: Gaussian random real number such that
(i) | $X_1, \ldots, X_N$ is an D3842: Uncorrelated random collection |
(ii) | \begin{equation} \overline{X}_N : = \frac{1}{N} \sum_{n = 1}^N X_n \end{equation} |
Then
\begin{equation}
\overline{X}_N
\overset{d}{=} \text{Gaussian} \left( \sum_{n = 1}^N \frac{\mu_n}{N}, \sum_{n = 1}^N \frac{\sigma^2_n}{N^2} \right)
\end{equation}