The product <Emphasis Type="Italic">t</Emphasis> density distribution arising from the product of two Student’s <Emphasis Type="Italic">t</Emphasis> PDFs |
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Authors: | Saralees Nadarajah |
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Institution: | (1) School of Mathematics, University of Manchester, Manchester, M60 1QD, UK |
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Abstract: | The Student’s t distribution has become increasingly prominent and is considered as a competitor to the normal distribution. Motivated by
real examples in Physics, decision sciences and Bayesian statistics, a new t distribution is introduced by taking the product of two Student’s t pdfs. Various structural properties of this distribution are derived, including its cdf, moments, mean deviation about the
mean, mean deviation about the median, entropy, asymptotic distribution of the extreme order statistics, maximum likelihood
estimates and the Fisher information matrix. Finally, an application to a Bayesian testing problem is illustrated. |
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Keywords: | Bayesian statistics Decision sciences Physics Product t density distribution Student’ s t distribution |
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