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Date: 4-5-2021
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Date: 14-2-2016
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Date: 15-2-2021
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The probability density function for Student's -distribution is given by
(1) |
Now define
(2) |
then the cumulative distribution function is given by
(3) |
The mean is 0, so the moments are
(4) |
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(5) |
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(6) |
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(7) |
The mean, variance, skewness, and kurtosis excess are
(8) |
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(9) |
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(10) |
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(11) |
The characteristic function is
(12) |
where is a modified Bessel function of the second kind.
Letting
(13) |
where is the sample mean and is the population mean gives Student's t-distribution.
REFERENCES:
Kenney, J. F. and Keeping, E. S. "'Student's' -Distribution." §7.11 in Mathematics of Statistics, Pt. 2, 2nd ed. Princeton, NJ: Van Nostrand, pp. 174-175, 1951.
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