1.

Student-T Distribution
This section will introduce the readers to the Student-T distribution

Student-T is one of the most important statistical distributions to understand. It is

also known as T distribution.

Student-t distribution is heavily used in the world of statistics. In particular, where

the sample size is small and/or the population standard deviation is unknown. Plus,

it’s important for the distribution to have a bell-shaped curve. Student-t distribution

can help us obtain meaningful statistical information out from the sample.

Furthermore, it is used in statistical inference.

Student-T distribution is used when we do not have a

large sample set, ~30 observations or when the standard
deviation of the population is not available

Student T is considered to be one of the biggest breakthrough distributions in

statistics. It can be used to infer meaning out of smaller samples when the standard

deviation of the population is unknown. This can be applied to a large number of

world problems.

The student t distribution is an approximation of normal

distribution

If we plot Student T distribution, it would look very much like a bell-shaped curve.

Therefore the student-t distribution resembles a normal distribution. Furthermore,

the properties of t-distribution are closer to the normal distribution. As an instance,

the mean of the distribution is 0.

The most important point to note is that the student-t

distribution has fatter tails than the normal distribution.
This means that there is a higher dispersion in variables.

The most important component is the degrees of freedom which is always 1 minus the

number of samples.

Let’s consider that we gather N independent observations from a normally distributed

population. We can convert the distribution to the student-t distribution by applying

the formula:

What we need to do is to get the population and sample mean along with the standard

deviation of the sample. In the equation above, the population is normally distributed,

has a mean M and standard deviation S with n-1 degrees of freedom (df) where n is

the size of the sample.

The bigger the sample, the closer the Student T
distribution will converge towards the normal distribution.
The median of T-distribution is 0.

As the degrees of freedom increases, the distribution

converges towards the normal distribution. This is
according to the central limit theorem.

This sketch shows the probability distribution curve of the normal distribution and

the Student-t distribution:

This sketch shows that the tails of T distribution narrow down when the degrees of freedom are increased and
the distribution curve starts resembling the normal distribution.

Student-t is symmetric around 0. It has a lower peak than the normal distribution and

has fatter tails. This means that there is a higher dispersion in the sample.

Now the keynote to take is that if we assume that our variable has a Student t

distribution then it means that the probability of us obtaining a value away from the

mean is higher than it would be if we were using a sample generated using the normal

distribution.

2. Chi-Squared Distribution
The section will introduce the chi-squared distribution. It is pronounced as Kai-

Squared distribution.

The word squared is important as it means squaring the normal distribution. I will

explain its significance in this article too.

Chi-Squared is a continuous probability distribution. It is also used heavily in the

statistical inference. We utilise chi-squared distribution when we are interested in

confidence intervals and their standard deviation.

Just like student-t distribution, the chi-squared

distribution is also closely related to the standard normal
distribution.

Let’s consider that we gather data for N (a number > 1) independent random variables

that have a standard normal distribution. Each of the random variables has a σ

standard deviation.

If we square the distributions and sum them then the

squared-sum of the distributions will have the Chi-
squared distribution with N degrees of freedom.

As we squared the normal distribution, Chi-squared distribution is always greater

than 0 because all of the negative values are squared.

It’s important to note that the mean of the distribution is

equal to the degrees of freedom.

Each random variable is considered to have a 1 degree of freedom.

As we increase the degrees of freedom, the distribution will start resembling the
standard normal distribution. However, as we square the distribution values, the Chi-
Squared distribution is always shifted towards the right-hand side of the y-axis as the

negatives will not be present in the distribution. Subsequently, the right skewness is

decreased as we add more random variables. This is again due to the central limit

theorem.

The variance and mean also increases as the degrees of

freedom are increased.

This sketch shows how Chi-Squared distribution looks:

This sketch shows the Chi-Squared distribution. As the degree of freedom is increased, the distribution closely
resembles the normal distribution.

The area under the curve is always equal to 1.

3. F Distribution
This section will outline the basics of F-distribution.

F distribution is one of the most important statistical distributions to understand too.

It is very closely related to the Chi-Squared distribution hence I have explained it after

Chi-Squared distribution. It’s also important to note that F distribution has two

different types of degrees of freedom. The first degree of freedom in the numerator

and the second type is the denominator degree of freedom.

Let’s assume that there are two independent random variables. The first random

variable A has dA degrees of freedom and the second random variable B has a dB

degree of freedom. Let’s also consider that both of the random variables had chi-

squared distribution. Remember, chi-squared distribution is when the random

variable has a normal distribution and its values are squared.

The ratio of the distribution, over their degrees of freedom, will have an F-distribution

with degrees of freedom dA (numerator) and dB (denominator).

F-distribution is used when we want to assess the variation in variances of two

samples. If we look at the plot of F-distribution, as the degrees of freedom increase,

the chart closely resembles the Chi-squared distribution.

Additionally, the distributions are right-skewed. When we increase the degrees of

freedom on the numerator, the right-skewness is decreased. Mean of the F

distribution = dB/dB-1.
We can note that the curve of the distribution depends on the degrees of freedom. It is

positively skewed indicating that the mean is greater than the median.