T Distribution
Overview
The t-distribution is similar to the
normal distribution
which has a bell shaped pattern. However, it pushed more
of the probability to the tails of the distribution. As such,
the t-distribution is sometimes used in the place of the normal
distribution where there is an expectation of fatter tails, as
in financial time series.
The t-distribution is often used in
hypothesis testing
in particular in
OLS regression.
Definition
T is distributed with a students-t distribution if
{% T = Z/\sqrt{U/n} %}
where Z is a standard normal, and U is the chi square distribution with n degrees of freedom. U and Z are independent.
Library
T Distribution
