Timeline for Fitting t-distribution in R: scaling parameter
Current License: CC BY-SA 3.0
10 events
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Feb 5, 2018 at 6:35 | comment | added | purple51 | @PeterFlom how would simulate a density with these scale and location parameters using R's rt function? All I see there is the non-centrality parameter ncp and it's not clear how to get from one formulation to the other. | |
Feb 10, 2016 at 18:01 | comment | added | kjetil b halvorsen♦ | MASS (the book, 4th edition, page 110) advices against trying to fit $\nu$,thedegrees of freedom parameters (with references to literature). The problem is that the likelihood function is unbounded as a function of $\nu$, which leads to the mle lacking its usually good properties! | |
Feb 9, 2016 at 17:30 | comment | added | Sergey Bushmanov |
@PeterFlom BTW, if you read the help file couple of lines above your citation, you'll find why df=9 is good in their example and irrelevant here.
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Feb 9, 2016 at 17:23 | comment | added | Sergey Bushmanov |
@PeterFlom Does this citation from the R's help file imply that df is always 9 for students distribution? Don't you think df should be estimated as well? Actually, the absence of df is the cause for the error, and the right answer should provide some recipe to finding it.
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Dec 13, 2012 at 15:32 | vote | accept | user12719 | ||
Feb 10, 2016 at 22:56 | |||||
Dec 12, 2012 at 22:09 | comment | added | user10525 |
@PeterFlom In the case of the Cauchy distribution it is explicit that m and s are the location and scale. I agree the notation m and s suggests that they represent the mean and standard deviation, respectively. But this may just be a simplification of \mu and \sigma as well. +1 long ago, by the way.
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Dec 12, 2012 at 21:58 | comment | added | Peter Flom | @Procrastinator I was just going from the help files - m and s are shown, which clearly stand for mean and sd, right? Is this an error in the help files for MASS? (If so, who will tell them?????). Of course df can vary too. | |
Dec 12, 2012 at 21:25 | comment | added | user10525 | @user12719 The Student's-t distribution has three parameters: location, scale and degrees of freedom. They are not referred as mean, standard deviation and df because the mean and the variance of this distribution depend on the three parameters. Also, they do not exists in some cases. Peter Flom is fixing the df but this can be considered as an unknown parameter as well. | |
Dec 12, 2012 at 21:10 | comment | added | user12719 | I guess I am confused about the parameters of a t-distribution. Does it have 2 (mean,df) or 3 (mean, standard deviation, df) parameters? I was wondering if one could fit the parameter 'df'. | |
Dec 12, 2012 at 19:55 | history | answered | Peter Flom | CC BY-SA 3.0 |