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Student's t Distribution
We have just one more topic to tackle in this lesson, namely, Student's t distribution.
Let's just jump right in and define it!

Definition. If Z ~ N(0, 1) and U ~ χ2 (r) are independent, then the random

variable:

T=ZU/r−−−√

follows a t-distribution with r degrees of freedom. We write T ~ t(r). The p.d.f.

of T is:

f(t)=Γ((r+1)/2)πr−−√Γ(r/2)⋅1(1+t2/r)(r+1)/2

for −∞ < t < ∞.

By the way, the t distribution was first discovered by a man named W.S. Gosset. He
discovered the distribution when working for an Irish brewery. Because he published
under the pseudonym Student, the t distribution is often called Student's t distribution.

History aside, the above definition is probably not particularly enlightening. Let's try to
get a feel for the t distribution by way of simulation. Let's randomly generate 1000
standard normal values (Z) and 1000 chi-square(3) values (U). Then, the above
definition tells us that, if we take those randomly generated values, calculate:

T=ZU/3−−−−√

and create a histogram of the 1000 resulting T values, we should get a histogram that
looks like a t distribution with 3 degrees of freedom. Well, here's a subset of the
resulting values from one such simulation:
Note, for example, in the first row:

T(3)=−2.6048110.2497/3−−−−−−−−√=−1.4092

Here's what the resulting histogram of the 1000 randomly generated T(3) values looks
like, with a standard N(0,1) curve superimposed:

Hmmm. The t-distribution seems to be quite similar to the standard normal distribution.
Using the formula given above for the p.d.f. of T, we can plot the density curve of
various t random variables, say when r = 1, r = 4, and r = 7, to see that that is indeed the
case:
In fact, it looks as if, as the degrees of freedom r increases, the t density curve gets
closer and closer to the standard normal curve. Let's summarize what we've learned in
our little investigation about the characteristics of the t distribution:

(1) The support appears to be −∞ < t < ∞. (It is!)

(2) The probability distribution appears to be symmetric about t = 0. (It is!)

(3) The probability distribution appears to be bell-shaped. (It is!)

(4) The density curve looks like a standard normal curve, but the tails of the t-
distribution are "heavier" than the tails of the normal distribution. That is, we are more
likely to get extreme t-values than extreme z-values.

(5) As the degrees of freedom r increases, the t-distribution appears to approach the
standard normal z-distribution. (It does!)

As you'll soon see, we'll need to look up t-values, as well as probabilities concerning T
random variables, quite often in Stat 415. Therefore, we better make sure we know how
to read a t table.

The t Table

If you take a look at Table VI in the back of your text book, you'll find what looks like
a typical t table. Here's what the top of Table VI looks like (well, minus the shading that
I've added):
The t-table is similar to the chi-square table in that the inside of the t-table (shaded in
purple) contains the t-values for various cumulative probabilities (shaded in red), such
as 0.60, 0.75, 0.90, 0.95, 0.975, 0.99, and 0.995, and for various t distributions
with r degrees of freedom (shaded in blue). The row shaded in green indicates the
upper α probability that corresponds to the 1−α cumulative probability. For example, if
you're interested in either a cumulative probability of 0.60, or an upper probability of
0.40, you'll want to look for the t-value in the first column.

Let's use the t-table to read a few probabilities and t-values off of the table:

Let's take a look at a few more examples.

Example

Let T follow a t-distribution with r = 8 df. What is the probability that the absolute
value of T is less than 2.306?

Solution. The probability calculation is quite similar to a calculation we'd have to make
for a normal random variable. First, rewriting the probability in terms of T instead of the
absolute value of T, we get:
P(|T | < 2.306) = P(−2.306 < T < 2.306)

Then, we have to rewrite the probability in terms of cumulative probabilities that we can
actually find, that is:

P(|T | < 2.306) = P(T < 2.306) − P(T < −2.306)

Pictorially, the probability we are looking for looks something like this:

But the t-table doesn't contain negative t-values, so we'll have to take advantage of the
symmetry of the T distribution. That is:

P(|T | < 2.306) = P(T < 2.306) − P(T > 2.306)

Can you find the necessary t-values on the t-table?

Do you need a hint? [1]

The t-table tells us that P(T < 2.306) = 0.975 and P(T > 2.306) = 0.025. Therefore:

P(|T | < 2.306) = 0.975 − 0.025 = 0.95

What is t 0.05 (8)?

Solution. The value t 0.05 (8) is the value t 0.05 such that the probability that a T random
variable with 8 degrees of freedom is greater than the value t 0.05 is 0.05. That is:

Can you find the value t 0.05 on the t-table?

Do you need a hint? [2]

We have determined that the probability that a T random variable with 8 degrees of
freedom is greater than the value 1.860 is 0.05.

Why will we encounter a T random variable?

Given a random sample X1 , X2 , ..., Xn from a normal distribution, we know that:

Z=X¯−μσ/n√∼N(0,1)

Earlier in this lesson, we learned that:

U=(n−1)S2σ2
follows a chi-square distribution with n−1 degrees of freedom. We also learned that Z
and U are independent. Therefore, using the definition of a T random variable, we get:

It is the resulting quantity, that is:

T=X¯−μs/n√

that will help us, in Stat 415, to use a mean from a random sample, that is X¯ , to learn,
with confidence, something about the population mean μ.

Source URL: https://onlinecourses.science.psu.edu/stat414/node/175

Links:
[1]
https://onlinecourses.science.psu.edu/stat414/sites/onlinecourses.science.psu.edu.stat41
4/files/lesson26/TTable_8DF.gif
[2]
https://onlinecourses.science.psu.edu/stat414/sites/onlinecourses.science.psu.edu.stat41
4/files/lesson26/TTable_8DF_T05.gif