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alinastef
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Joined: July 18th, 2008, 6:39 pm

Fitting a Student's t distribution

August 10th, 2011, 10:11 am

Hello,I'm trying to fit a Student's t distribution to the data (because I have fatter tails), how can I do it and obtain the number of degrees of freedom? Matlab offers normfit for fitting a normal distribution, and it also offers fits for many other distributions but not for Student's t. Thanks.
 
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Alan
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Fitting a Student's t distribution

August 10th, 2011, 2:25 pm

Read about Maximum Likelihood estimation in any statistics text.
 
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alinastef
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Joined: July 18th, 2008, 6:39 pm

Fitting a Student's t distribution

August 10th, 2011, 2:34 pm

Thanks.
 
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ronm
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Joined: June 8th, 2007, 9:00 am

Fitting a Student's t distribution

August 11th, 2011, 5:14 pm

for estimating d.f., MLE may not be good approach. If you are really sure the DGP is some t distribution then you may try with standard statistical tests applied to infer the population distribution like KS test etc, with different d.f. values. Otherwise you can check graphically with Q-Q plot etc.However please be warned that those tests are just for rejection, not really for acceptance.Thanks,
 
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Alan
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Fitting a Student's t distribution

August 11th, 2011, 5:53 pm

QuoteOriginally posted by: ronmfor estimating d.f., MLE may not be good approachwhy not?
 
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yuryr
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Joined: November 5th, 2007, 12:47 pm

Fitting a Student's t distribution

August 17th, 2011, 9:38 am

Student-t can be fitted using EM iterative algorithm (which is maximum likelihood) Look at this paper for example.This distribution is more stable with regards to outliers (unlike Normal...).
 
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list
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Joined: October 26th, 2005, 2:08 pm

Fitting a Student's t distribution

August 17th, 2011, 10:20 am

Student-t compare Gaussian model distribution with a histogram of a given sample observation. From the common sense more degrees of freedom is better than less. From my memory in old statistics books that studied before software replaced hand calculations it was recommended that in each cell should be more than 30 observations. This somewhat guarantees reliability of the test.
 
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ACD
Posts: 107
Joined: April 19th, 2004, 8:09 am

Fitting a Student's t distribution

August 17th, 2011, 10:58 am

QuoteOriginally posted by: listStudent-t compare Gaussian model distribution with a histogram of a given sample observation. From the common sense more degrees of freedom is better than less. From my memory in old statistics books that studied before software replaced hand calculations it was recommended that in each cell should be more than 30 observations. This somewhat guarantees reliability of the test.I think you're referring to the t-test rather fitting a student-t distribution.
 
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list
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Fitting a Student's t distribution

August 17th, 2011, 11:05 am

QuoteI think you're referring to the t-test rather fitting a student-t distribution.Sorry, you are right
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