Let Z be a standard normal random variable and let Y = Z2. Use transformation of variables to find the distribution of Z, which distribution is it?
Include the domain as part of your answer.
PDF of standard normal variable Z is
CDF of standard normal variable Z is
And for standard normal variable
Since range of Z is to so range of Y is 0 to . The CDF of Y will be
So CDF of Y is
Differentiating above gives the PDF of Y so
So pdf of Y is
It is PDF of Chi-square distribution .
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