Statistics/Distributions/Student-t

Student-t Distribution

Student’s t

Probability density function
Cumulative distribution function
Parameters	ν > 0 degrees of freedom (real)
Support	x ∈ (−∞; +∞)
PDF	$\textstyle {\frac {\Gamma \left({\frac {\nu +1}{2}}\right)}{{\sqrt {\nu \pi }}\,\Gamma \left({\frac {\nu }{2}}\right)}}\left(1+{\frac {x^{2}}{\nu }}\right)^{-{\frac {\nu +1}{2}}}\!$
CDF	${\begin{matrix}{\frac {1}{2}}+x\Gamma \left({\frac {\nu +1}{2}}\right)\cdot \\[0.5em]{\frac {\,_{2}F_{1}\left({\frac {1}{2}},{\frac {\nu +1}{2}};{\frac {3}{2}};-{\frac {x^{2}}{\nu }}\right)}{{\sqrt {\pi \nu }}\,\Gamma \left({\frac {\nu }{2}}\right)}}\end{matrix}}$ where 2F1 is the hypergeometric function
Mean	0 for ν > 1, otherwise undefined
Median	0
Mode	0
Variance	$\textstyle {\frac {\nu }{\nu -2}}$ for ν > 2, ∞ for 1 < ν ≤ 2, otherwise undefined
Skewness	0 for ν > 3, otherwise undefined
Ex. kurtosis	$\textstyle {\frac {6}{\nu -4}}$ for ν > 4, ∞ for 2 < ν ≤ 4, otherwise undefined
Entropy	...
MGF	undefined
CF	$\textstyle {\frac {K_{\nu /2}\left({\sqrt {\nu }}|t|)({\sqrt {\nu }}|t|\right)^{\nu /2}}{\Gamma (\nu /2)2^{\nu /2-1}}}$ for ν > 0 $K_{\nu }$(x): Bessel function

Student t-distribution (or just t-distribution for short) is derived from the chi-square and normal distributions. We divide the standard normally distributed value of one variable over the root of a chi-square value over its r degrees of freedom. Mathematically, this appears as:

$t={\frac {\mbox{Z}}{\sqrt {\chi _{r}^{2}/r}}}$

where $Z={\frac {X-{\bar {X}}}{\sigma }}$ and $\chi _{r}^{2}=\chi _{r_{1}}^{2}+...+\chi _{r_{n}}^{2}$.

External links

• Interactive Student-T Distribution Web Applet (Java)