Exercises 5.10: 24, 47, 54
Exercises 6.10: 18
And:
Suppose $Z \sim \mathcal{N}(0, 1)$ and $W = Z^2$. Show that the probability density function of $W$ is $g_W(w) = \begin{cases}\frac{1}{\sqrt{2\pi w}}e^{-\frac{w}{2}},& \text{if } w > 0, \\ 0,& \text{otherwise}.\end{cases}$