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Linear combination of student's t r.v.
A linear combination of normally distributed random variables is still normally distributed, if I remember it correctly.How about student's t distributed random variables?For example,X = w1*Y + w2*Zwhere w1 and w2 are weights and Y and Z are student's t distributed random variable with d.f. v? Is X student's t distributed with some degrees of freedom?Thank you in advance,Jet
Linear combination of student's t r.v.
my guess is that they are not student's t distributed...
Linear combination of student's t r.v.
Don't think distribution of a linear combination of independent Student's t random variable is a Student's t as well. If you're interested in Matlab Viktor Witkovsky gives syntax of TDIST function. Try a google search for linear combination of random variables.Rgds,
Linear combination of student's t r.v.
I forgot to mention that Y and Z are independent. Thank you, mrbadguy.I will check out the MATLAB code as well.Cheers,Jet