If $X \sim \mathcal{N}(\mu,\sigma^2)$ where $\mu > 0$ and $\sigma > 2$, how do I find the PDF of $X^2$, and will it correspond to non-central Chi-square distribution?
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1Your questions are answered in the Wikipedia article. – whuber Apr 26 '18 at 22:59
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Thanks for the quick comment but in article indicates unit variance, how does variance fit in the PDF – Ahmed Cheema Apr 26 '18 at 23:10
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It merely establishes the units in which $X$ is measured and therefore is extremely easy to incorporate in all formulas. – whuber Apr 26 '18 at 23:22
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@AhmedCheema make sure my edits were right. In particular the one with $\sigma > 2$. – Taylor Apr 27 '18 at 00:52