is a standard normal random variable. Show that the PDF of is
I've tried this loads of times but I can't get anywhere near the answer
I've already shown you the technique.
Why don't you post what you've done and we can find what's wrong.
There's a basic formula in most books for 2-1 transforms, so all you have to do is plug into that.
I'm sure you can find it online, but it's easy to do it from scratch.
I know you have, and I tried applying that (along with using a similar example we had in our notes) but didn't get anywhere near the required answer (that I'm aware of). I'll just type exactly what I've written.
That's practically identical to what we wrote for the example in our notes. Then we wrote
Then I've got that so
And then this is where I start going off miles away from the answer.