Approximating the difference of two t-variables for all degrees of freedom using truncated variables |
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Authors: | R. Willink |
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Affiliation: | Industrial Research Limited, Lower Hutt, New Zealand |
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Abstract: | A scaled t‐distribution is used to approximate the distribution of a linear combination of two independent t‐variables for any number of degrees of freedom, and in particular for low degrees of freedom where moments do not exist. The approximation is the method‐of‐moments solution to the analogous problem with truncated t‐variables. The approximation exists for all degrees of freedom, is very accurate for more than two degrees of freedom, and performs as well as other approximations of this form when they exist. |
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Keywords: | Behrens–Fisher distribution incomplete beta function method of moments truncated t-distribution |
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