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Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...

Define a function $\phi(x):\mathbb{R}\rightarrow\mathbb{R}$. Consider the expected value function defined as follows \begin{align*} \mu(\beta)=E[g\phi (\beta g)]\quad with \quad g\sim\mathcal{N}(0,1)\...