Monday, April 11, 2011

Student's t-Distribution

StudentsTDistribution
A statistical distribution published by William Gosset in 1908. His employer, Guinness Breweries, required him to publish under a pseudonym, so he chose "Student." Given N independent measurements x_i, let
 t=(x^_-mu)/(s/sqrt(N)),
(1)
where mu is the population mean, x^_ is the sample mean, and s is the estimator for population standard deviation (i.e., the sample variance) defined by
 s^2=1/(N-1)sum_(i=1)^N(x_i-x^_)^2.
(2)
Student's t-distribution is defined as the distribution of the random variable t which is (very loosely) the "best" that we can do not knowing sigma.
The Student's t-distribution with n degrees of freedom is implemented in Mathematica as StudentTDistribution[n]. 

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