Normal distribution var(x)=sigma^2

[badgerbadger]

suppose that X is normally distributed with mean u and standard deviation sigma. show that var(x)=sigma^2.[you many use the fact that if Z is standard normally distributed, then EZ=0 and var(x)=1]

 

[HallsofIvy]

Okay, what is the definition of "variance"? What is the definition of "standard deviation"? The result should be immediate from the definitions.