Ok, so Let X be normally-distributed. For simplicity, assume X $ \~ N(0,1)$
We know Affine transformations preserve the normality of X, i.e., if X is
normal, so are $aX$ and $aX +b$ for $a,b$ Real. I guess we can show this
using either the MGF or just the general form $\frac {1}{\sqrt 2\pi} e^{\frac {(x-\mu)^2}{\sigma}}$
And pretty sure the transformations that preserve normality are a group.
Are there transformations other than the affine ones that preserve the
normality of $X$
What about $\varphi(X)$ where $\varphi(X)=-X \text{ when }|X|<1$ and $\varphi(X)=X$ otherwise?