Question: The error function ? is defined as follows: ?(x) = 2 x 0 exp(u2)du. Show that ? is the distribution function of |W|,

The “error function” ? is defined as follows:

?(x) = 2

√π

 x 0

exp(−u2)du.

Show that ? is the distribution function of |W|, where W is N (0, σ2).

Find σ2. If Z is N (0, 1), how would you compute P (Z < x) from ??

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