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a method of estimating parameters of a statistical model by choosing the parameter value that optimizes the probability of observing the given sample.

4 votes

Estimating parameters of Student's t-distribution

Does a closed-form maximum-likelihood estimator for the Student's t distribution exist? The answer is now YES!! During the COVID pandemic, I dug into this problem and discovered a method I call Indep …
Kenric's user avatar
  • 214
2 votes

Fitting t-distribution in R: scaling parameter

The parameters of the t-distribution are referred to as the location, scale, and degrees of freedom $\nu$. The location can be estimated by the mean of the samples if $\nu > 1$; otherwise the mean is …
Kenric's user avatar
  • 214
1 vote

Student t-distribution parameter/s and MLE

Addressing your second question, if the location and scale parameters are known, then there is a nonlinear equation that defines the relationship between the scale and the degree of freedom (Dof) base …
Kenric's user avatar
  • 214