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 Homework Statement

We randomly generate points in 4 dimensional Euclidean space. The expecte value ##\mu## of the coordinates is 0 and the standard deviation is ##\sigma = 2.5##. Their distribution is normal.
What's the distribution of the distance of these points from the origin?
 Homework Equations
 Density of the normal distribution: ##\rho (x)=\frac{1}{\sqrt{2 \pi \sigma}}e^{\frac{(x\mu)^2}{2\sigma^2}}##
I'm not really sure how to do this. Maybe somehow I should transform the density function. Can you give me a hint?