Let .

Q: Find the probability density function of .

I am not sure how to approach this problem. I tried using the mgf method, but failed to find a recognizable mgf. My teacher recomened that we use the transformation method to derive the pdf, but I not sure how with this function.

Here is what he showed on the board.

Let . Then, treat the preceeding quantity like and use the tranformation method to find .

I really don't know where to go from here. Do I let and ?