Archive for truncated t distribution

truncated t’s [typo]

Posted in pictures, Statistics with tags , , , , , on March 14, 2014 by xi'an

Last night, I received this email from Piero Foscari (im Hamburg) about my moment derivations for the absolute and the positive t distribution:

Elben, Hamburg, Feb. 21, 2013There might be two typos in the final second moment formula and its derivation (assuming no silly symmetric mistakes in my validation code): the first ν ought to be -ν, and there should be a corresponding scaling factor also for the boundary μ in Pμ,ν-2 since it arises from a change of variable. Btw in the text reference to Fig. 2 |X| wasn’t updated to X+. I hope that this is of some use.

and I checked that indeed I had forgotten the scale factor ν/(ν-2) in the t distribution with ν-2 degrees of freedom as well as the sign… So I modified the note and rearXived it. Sorry about this lack of attention to the derivation!