Mike,
It seems to be a problem of how the PDF function is mapping itself onto a list, rather than a problem with TransformedDistribution.
I get the correct answer with:
PDF[z, #] & /@ Range[-2, 2]
{0, 1/2, 0, 1/2, 0}
Which shows that the PDF function itself is fine. I get the wrong answer even if I do:
PDF[z, {-1, 0}]
{1/2, 2/\[Pi]}
Cannot say that I understand why. The function description states that it is Listable.
Best,
OL.
