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I'm trying to test some data for the best distribution fit, and am looking to try the t-dist (all theoretically, no R computations) I think the best way to do this is to assume the distribution is true, use MLE or MoM to estimate parameters and then conduct a goodness-of-fit test. Firstly, is this an appropriate way to do it? Secondly, what is the theoretical derivation for the parameters of the t-dist (using MLE or Mom) And thirdly, how do you estimate the degrees of freedom for a t-test?

Thanks

user40124
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    If you are fitting a t distribution the number of degrees of freedom is a parameter being estimated; it is not given independently. – Nick Cox Feb 12 '14 at 16:05
  • Take a look: http://stats.stackexchange.com/questions/63647/estimating-parameters-of-students-t-distribution – Zen Feb 12 '14 at 16:33

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