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Statistical Inference for Models with Multivariate t-Distributed Errors by A. K. Md. Ehsanes Saleh, Mohammad Arashi, S M M Tabatabaey

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CHAPTER 2

PRELIMINARIES

Outline

2.1 Normal Distribution

2.2 Chi-Square Distribution

2.3 Student’s t-Distribution

2.4 F-Distribution

2.5 Multivariate Normal Distribution

2.6 Multivariate t-Distribution

2.7 Problems

In this chapter, we discuss some basic results on various distributions, particularly the normal, chi-square, Student’s t-, multivariate t-distributions.

2.1 Normal Distribution

The most basic distribution in statistical theory is the normal distribution, (θ, σ2), with pdf

(2.1.1) equation

where θ is the mean and σ2 is the variance of this distribution.

It is well known that

(i) If Y is N(θ, σ2), then .
(ii) If Y is (θ, σ2) and φ(Y) is a differentiable function satisfying |φ′(Y)| < ∞, then

(2.1.2) equation

For more information see Stein (1981).
(iii) If Z is N(θ, 1), then

(2.1.3) equation

where Φ(.) is the cumulative distribution function (cdf) of the standard normal (zero mean and unit variance) distribution. ...

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