Question: Most of the calculation in Example 3.8.4 is quite general. Suppose that X has a continuous distribution with p.d.f. f. Let Y = X2, and

Most of the calculation in Example 3.8.4 is quite general. Suppose that X has a continuous distribution with p.d.f. f. Let Y = X2, and show that the p.d.f. of Y is
g(y) = 1/2y1/2 [f(y1/2) + f(−y1/2)].

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