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Deriving Student's t-Distribution Basics

The document explains the derivation of the Student's t-distribution, which is used for estimating the mean of a normally distributed population with unknown standard deviation, particularly for small sample sizes. It outlines the process of standardization, estimating the population standard deviation, and incorporating the chi-square distribution to derive the probability density function (PDF) of the t-distribution. Key points include the t-distribution's similarity to the normal distribution, its heavier tails, and its application in hypothesis testing and confidence interval estimation.

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31 views2 pages

Deriving Student's t-Distribution Basics

The document explains the derivation of the Student's t-distribution, which is used for estimating the mean of a normally distributed population with unknown standard deviation, particularly for small sample sizes. It outlines the process of standardization, estimating the population standard deviation, and incorporating the chi-square distribution to derive the probability density function (PDF) of the t-distribution. Key points include the t-distribution's similarity to the normal distribution, its heavier tails, and its application in hypothesis testing and confidence interval estimation.

Uploaded by

ggggggkul143
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Deriving the Student's t-distribution

Understanding the Basics:


●​ Normal Distribution: A bell-shaped curve that describes the distribution of many natural
phenomena.
●​ Chi-Square Distribution: The distribution of the sum of squared standard normal random
variables.
●​ Student's t-distribution: A probability distribution that arises when estimating the mean of a
normally distributed population when the sample size1 is small and the population standard
deviation is unknown.2

Derivation:

Let's assume we have a random sample of size n drawn from a normally distributed population
with mean μ and standard deviation σ.
1.​ Standardization: We standardize the sample mean (x̄) using the population standard
deviation (σ):​
Z = (x̄ - μ) / (σ / √n)​
​
Z follows a standard normal distribution (N(0,1)).
2.​ Estimating the Population Standard Deviation: Since σ is unknown, we estimate it using
the sample standard deviation (s):​
t = (x̄ - μ) / (s / √n)​
​
This t-statistic follows a t-distribution with (n-1) degrees of freedom.
3.​ Incorporating the Chi-Square Distribution: The square of the t-statistic can be related to
a chi-square distribution:​
t² = [(x̄ - μ) / (s / √n)]²​
​
The denominator, (s² / σ²), follows a chi-square distribution with (n-1) degrees of freedom.
4.​ Deriving the Probability Density Function (PDF): By combining the distributions of Z and
the chi-square variable, and using techniques from probability theory (like transformation of
variables and integration), we can derive the PDF of the t-distribution:​
f(t) = (Γ[(ν+1)/2]) / (√(νπ) Γ(ν/2)) * (1 + (t²/ν))^(-(ν+1)/2)​
​
Where:
○​ f(t) is the probability density function of the t-distribution.
○​ ν (nu) is the degrees of freedom (n-1).
○​ Γ is the gamma function.

Key Points:
●​ The t-distribution is similar to the normal distribution but has heavier tails, especially for
smaller degrees of freedom.
●​ As the degrees of freedom increase, the t-distribution approaches the normal distribution.
●​ The t-distribution is widely used in hypothesis testing and confidence interval estimation when
the population standard deviation is unknown.
This derivation provides a foundational understanding of the t-distribution and its relationship to
the normal and chi-square distributions.

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