
Robert R. answered 04/09/15
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The answer is that it depends on how the question is interpreted. I can think of 2 ways to interpret it:
1. You're doing a 2-tailed hypothesis test to determine if Z is zero, with some level of confidence (that has not been specified in the question). For example, if you wanted to test at a 95% confidence level, then the critical Z value is 1.96. That value can be found in a standard normal table, or an online calculator, such as http://www.measuringu.com/pcalcz.php So, if you ran an experiment and computed the mean and standard deviation for your data sample, then
mean = (sum of Xi)/n, i = 1, ...n in the sample data
standard deviation = square root[ (sum of (Xi - mean)2)/(n - 1) ]
n = sample size
X = random observation which is distributed as Normal(mean, standard deviation)
Z = (X - mean)/(standard deviation) follows the normal distribution with mean 0 and standard deviation 1, or
Z = normalized observation which is distributed as Normal(0, 1)
Z = normalized observation which is distributed as Normal(0, 1)
See https://statistics.laerd.com/statistical-guides/measures-of-spread-standard-deviation.php for more details.
H0: Z = 0 (null hypothesis)
H1: Z <> 0 (alternate hypothesis)
See http://statistics.about.com/od/Inferential-Statistics/a/The-Difference-Between-The-Null-Hypothesis-And-Alternative-Hypothesis.htm for more details.
If you computed a Z-score that was less than -1.96 or greater than 1.96, you would say that the null hypothesis of Z=0 was rejected at the 95% confidence level.
2. Another possible, but less likely, way that the question could be interpreted is what is the probability that the Z-score is exactly 0, or P(Z = 0)? That is a bit of a trick question and the answer is 0 because the probability of a specific score with no confidence level specified is the area under the normal curve at that single point.