Simple addition to random module - Student's t

Thomas Philips tkpmep at gmail.com
Wed Sep 2 21:31:10 CEST 2009


On Sep 2, 2:37 pm, Mark Dickinson <dicki... at gmail.com> wrote:
> On Sep 2, 6:15 pm, Thomas Philips <tkp... at gmail.com> wrote:
>
> > I mis-spoke - the variance is infinite when df=2 (the variance is df/
> > (df-2),
>
> Yes:  the variance is infinite both for df=2 and df=1, and Student's t
> with df=1 doesn't even have an expectation.  I don't see why this
> would stop you from generating meaningful samples, though.
>
> > and you get the Cauchy when df=2.
>
> Are you sure about this?  All my statistics books are currently hiding
> in my mother-in-law's attic, several hundred miles away, but wikipedia
> and mathworld seem to say that df=1 gives you the Cauchy distribution.
>
> > I made the mistake because the denominator is  equivalent to the
> > square root of the sample variance of df normal observations,
>
> As I'm reading it, the denominator is the square root of the sample
> variance of *df+1* independent standard normal observations.  I agree
> that the wikipedia description is a bit confusing.
>
> It seems that there are uses for Student's t distribution with
> non-integral degrees of freedom.  The Boost library, and the R
> programming language both allow non-integral degrees of freedom.
> So (as Robert Kern already suggested), you could drop the test
> for integrality of df.  In fact, you could just drop the tests
> on df entirely:  df <= 0.0 will be picked up in the gammavariate
> call.
>
> --
> Mark

To tell you the truth, I have never used it with a non-integer number
of degrees of freedom, but that's not the same as saying that df
should be an integer. When df is an integer, one can interpret the t-
distribution as the ratio of a unit normal (i.e. N(0,1)) to the sample
standard deviation of a set of df+1 unit normals divided by sqrt(df
+1). However, as Robert Kern correctly observes, the distribution is
defined for all positive non-integer df, though we then lose the above
interpretation, and must think of it in abstract terms. The
distribution has infinite variance when df=2 and an undefined mean
when df<=1, but the code can still be used to generate samples.
Whether or not these samples make sense is altogether another
question, but it's easy enough to remmove the restrictions.



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