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, Volume 69, Issue 2, pp 175–183 | Cite as

Examples of non-normal observations for which a studentized sample mean has a student’s T-distribution

Article

Summary

Statistical methodologies and their practice often rely upon tests and confidence interval procedures based on Studentized sample means of independent observations from a normal parent population and their Student’s t distributions. This is specially so when the sample size n is small. An unmistakable impression one is left with, whether implied or not, is that such exact Student’s t distributions may not be valid when the observations are dependent or non-normal. We show that one cannot discard the possibility of an exact Student’s t distribution for a Studentized sample mean, or its suitable multiple, simply because the observations may be dependent or non-normal. In arriving at this conclusion, we have uncovered a very interesting and seemingly unknown feature (Theorem 2.1) of an n-dimensional multivariate t distribution with equi-correlation p, arbitrary degree of freedom v, and arbitrary n.

Key Words

Dependent data Equi-correlated t Multi-modal data Multivariate Cauchy Multivariate F Multivariate t Non-normal data Peaked data 

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Copyright information

© Sapienza Università di Roma 2011

Authors and Affiliations

  1. 1.Department of StatisticsUniversity of Connecticut StorrsConnecticut StorrsU.S.A

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