The product t density distribution arising from the product of two Student’s t PDFs
The product t density distribution arising from the product of two Student’s t PDFs
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DOI：
10.1007/s00362-007-0088-x
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发表时间：
2009-06
影响因子：
1.3
通讯作者：
S. Nadarajah
中科院分区：
文献类型：
--
作者：
S. Nadarajah
The Student’stdistribution 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 newtdistribution is introduced by taking the product of two Student’stpdfs. 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.
