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Math Help - Simple Normal Random Variable Problem. Help!

  1. #1
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    Unhappy Simple Normal Random Variable Problem. Help!

    Let X ∼ N(0, σ2)
    find the density function of X2
    .
    This is # 24 on p.283 in the book "Fundamentals of Probability"

    Simply put, I have no idea how to proceed. Use normal random variables relations
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  2. #2
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    Re: Simple Normal Random Variable Problem. Help!

    Hello,

    Ever heard of the method using the Jacobian of a transformation to get the new pdf ?
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