I know that:
$$ X = \mu + Z\sigma$$
for a normal distribution. I'm having a tough time understanding where this is derived from, though. How is it found and how is it found for other distributions?
2026-03-25 17:40:23.1774460423
How can I find the percentile function of a distribution that isn't normal?
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Hint: If $X\sim N(\mu, \sigma^2)$ then $Z:= \frac 1\sigma (X-\mu)$ is also a normal variable. What are its mean and variance?