Appendix 2: Significance of a t Statistic

An exact formula is used for 30 or fewer degrees of freedom, the Cornish-Fisher

approximation otherwise.

Notation
The following notation is used in this appendix:

X Absolute value of the t variable

k Integer degrees of freedom
Q Two-sided significance level

Computation (Abramowitz and Stegun, 1965)

(1) For k ≤ 30 ,

Q = 1− A k bg
where, for k odd

R| 2 R| L 2 2 ⋅ 4Kb k − 3g k −2 OPU|V
Sθ + sin θ Mcosθ + cos θ + L +
3
cos θ k ≠1
| π |T M
N 3 3 ⋅ 5Kb k − 2g PQ|W
Ab k g = S
|| 2θ k =1
Tπ
For k even,

R|S
A k = sin θ 1 +
bg 1
cos2 θ +
1⋅ 3
cos4 θ + L +
b g
1 ⋅ 3K k − 3
cos k − 2 θ
U|V
|T 2 2⋅4 b g
2 ⋅ 4K k − 2 |W

552
 Appendix 2 553

and

X
θ = arctan
k
~
θ
sin θ =
bg ~
1+ θ 2
1
cos θ =
bg ~
1+ θ 2

where

~ X
θ=
k

(2) If k > 30 and X < 5 × 10 −5 ,

Q =1

If k > 30 and X ≥ 5 × 10 −5 ,

F XR expe − X 2
2 j IJ
Q = 2G Q b X g +
GH N
2π JK

b g
where Q N X is the normal one-tailed significance probability, and
554 Appendix 2

R=
e X 2 + 1j + −3 + X 2 e−5 + X 2 e−7 + 3X 2 jj
4k 96 k 2

a−15f + X 2 FH −3 + X 2 FH 6 + X 2 e14 + X 2 e−11 + X 2 jjIK IK

+
384 k 3
FG FG F FH
945 + X 2 −915 + X 2 −213 + X 2 −939 + X 2 −2141 + X 2 2225 + X 2 −375 + 15 X 2
e e jjIK IK IJK IJK
+
H H H
92160 k 4
F F I
GH GH FG
H
FG
H
F
H FH
17955 + X 2 5355 + X 2 180 + X 2 1140 + X 2 2490 + X 2 5994 + X 2 −7516 + X 2 1764 + X 2 −133 + 3 X 2
e e jjIK IK IJK IJK IJK JK
+
368640 k 5

References
Abramowitz and Stegun (1965)