Exercise. Let X be a normal random variable with X • N (1µ, o²) Let Y = aX + B. Show that Y~ Vαμ + β, ασ). Corollary. If X ~ N(µ, o²), then - N(0,1). Y = Y is said to have the standard normal...

If needed utilize Moment Generating Functions (MGF), or PGF

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Extracted text: Exercise. Let X be a normal random variable with X • N (1µ, o²) Let Y = aX + B. Show that Y~ Vαμ + β, ασ). Corollary. If X ~ N(µ, o²), then - N(0,1). Y = Y is said to have the standard normal distribution.