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Student's Simplest Distribution

M. C. Jones
Journal of the Royal Statistical Society. Series D (The Statistician)
Vol. 51, No. 1 (2002), pp. 41-49
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/3650389
Page Count: 9
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Student's Simplest Distribution
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Abstract

In this paper, I note the pedagogical advantages of an existing, but largely ignored, simple symmetric distribution on the real line: Student's t-distribution on 2 degrees of freedom. The $t_{2}-distribution$ has particularly simple forms for its distribution and quantile functions, and these lead to simply calculated values for a whole host of basic properties of the distribution. In addition, distributions of order statistics from the $t_{2}-distribution$ lead to a recently introduced skew t family of distributions.

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