Questions tagged [t-distribution]

t is the distribution of the t-statistic that results from a t-test. Use this tag only for questions about the distribution; use [t-test] for questions about the test.

$t$ is the name of a continuous probability distribution that describes the sampling distribution of an asymptotically normally-distributed inferential statistic when the variance must be estimated from the data and the sample size is sufficiently small that the variance estimate contains a large amount of uncertainty. As the sample size increases, such estimates of the variance become less uncertain and the $t$-distribution converges to the normal. A common rule of thumb is that when the sample size $\ge30$, $t$ is approximately normal.

The pdf of the $t$ distribution is: $$ t=\frac{\Gamma\left(\frac{\nu+1}{2}\right)}{\sqrt{\nu\pi}(\frac{\nu}{2})} \left(1+\frac{x^2}{\nu}\right)^{-\frac{\nu+1}{2}} $$ The $t$-distribution has only one parameter, $\nu$, which is the degrees of freedom.

Use this tag for questions about the $t$-distribution; use for questions about the test.

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Proof that the coefficients in an OLS model follow a t-distribution with (n-k) degrees of freedom

Background Suppose we have an Ordinary Least Squares model where we have $k$ coefficients in our regression model, $$\mathbf{y}=\mathbf{X}\mathbf{\beta} + \mathbf{\epsilon}$$ where $\mathbf{\beta}$ is an $(k\times1)$ vector of coefficients,…
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Student t as mixture of gaussian

Using the student t-distribution with $k > 0$ degrees of freedom, location parameter $l$ and scale parameter $s$ having density $$\frac{\Gamma \left(\frac{k+1}{2}\right)}{\Gamma\left(\frac{k}{2}\sqrt{k \pi s^2}\right)} \left\{ 1 + k^{-1}\left(…
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Estimating parameters of Student's t-distribution

What are the maximum-likelihood estimators for the parameters of Student's t-distribution? Do they exist in closed form? A quick Google search didn't give me any results. Today I am interested in the univariate case, but probably I will have to…
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What is the distribution of the difference of two-t-distributions

... and why ? Assuming $X_1$,$X_2$ are independent random-variables with mean $\mu_1,\mu_2$ and variance $\sigma^2_1,\sigma^2_2$ respectively. My basic statistics book tells me that the distribution of the $X_1-X_2$ has the following properties:…
mlwida
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What is the sum of squared t variates?

Let $t_i$ be drawn i.i.d from a Student t distribution with $n$ degrees of freedom, for moderately sized $n$ (say less than 100). Define $$T = \sum_{1\le i \le k} t_i^2$$ Is $T$ distributed nearly as a chi-square with $k$ degrees of freedom? Is…
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Why we don’t make use of the t-distribution for constructing a confidence interval for a proportion?

To calculate the confidence-interval (CI) for mean with unknown population standard deviation (sd) we estimate the population standard deviation by employing the t-distribution. Notably, $CI=\bar{X} \pm Z_{95\% }\sigma_{\bar X}$ where $\sigma_{\bar…
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Why is a T distribution used for hypothesis testing a linear regression coefficient?

In practice, using a standard T-test to check the significance of a linear regression coefficient is common practice. The mechanics of the calculation make sense to me. Why is it that the T-distribution can be used to model the standard test…
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Why does the t-distribution become more normal as sample size increases?

As per Wikipedia, I understand that the t-distribution is the sampling distribution of the t-value when the samples are iid observations from a normally distributed population. However, I don't intuitively understand why that causes the shape of the…
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simulating random samples with a given MLE

This Cross Validated question asking about simulating a sample conditional on having a fixed sum reminded me of a problem set to me by George Casella. Given a parametric model $f(x|\theta)$, and an iid sample from this model, $(X_1,\ldots,X_n)$,…
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Explanation for non-integer degrees of freedom in t test with unequal variances

The SPSS t-Test procedure reports 2 analyses when comparing 2 independent means, one analysis with equal variances assumed and one with equal variances not assumed. The degrees of freedom (df) when equal variances are assumed are always integer…
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Why not use the T-distribution to estimate the mean when the sample is large?

Basic statistics courses often suggest using a normal distribution to estimate the mean of a population parameter when the sample size n is large (typically over 30 or 50). Student's T-distribution is used for smaller sample sizes to account for the…
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Confusion regarding when to use $z$-statistics vs. $t$-statistics

I was referring to this video lecture for calculating the confidence interval. However, I have some confusion. This guy is using $z$-statistics for the calculation. However, I think it should have been a $t$-statistics. We aren't given the true…
user34790
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Intuition behind the t-distributions density function

I'm studying about Student's t-distribution and I started to wonder, how would one derive the t-distributions density function (from wikipedia, http://en.wikipedia.org/wiki/Student%27s_t-distribution): $$f(t) =…
jjepsuomi
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Is there a theorem that says that $\sqrt{n}\frac{\bar{X} - \mu}{S}$ converges in distribution to a normal as $n$ goes to infinity?

Let $X$ be any distribution with defined mean, $\mu$, and standard deviation, $\sigma$. The central limit theorem says that $$ \sqrt{n}\frac{\bar{X} - \mu}{\sigma} $$ converges in distribution to a standard normal distribution. If we replace…
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Not getting 95% coverage for 95% t-distribution CI

I'm simulating a bunch of 95% confidence intervals on samples taken from a normal distribution. Since the data is normal, then, I think, my 95% confidence should translate into a 95% coverage probability. However, I'm getting something like 94%. …
Him
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