(Statistics Review)
(a) Suppose a random variable $x$ follow a normal distribution of $N[0, (\frac{1}{3})^2]$. If we let $w = 3x$, what is the distribution of $w$? Let $z = 9x^2 = (3x)^2$, what is the distribution for $z$? Find the mean of the random variable $z$, i.e. $E(z)$. [Hint: use the property of the normal distribution and Chi-square distribution in Lecture Note 1.]