Let X=X=X= the weighted average: X∼N(μ,σ2).X\sim N(\mu, \sigma^2).X∼N(μ,σ2).
Then Z=X−μσ∼N(0,1)Z=\dfrac{X-\mu}{\sigma}\sim N(0,1)Z=σX−μ∼N(0,1)
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