The Univariate t-Distribution Information Matrix

Abstract

The information matrix for a univariate t-distribution is available as a special case of a number of results dealing with multivariate t-distributions, e.g., Lange et al. (1989). However, specializing such multivariate results to the case of a univariate t-distribution requires the reader to deal with complex multivariate notation. On the other hand, we have not found a derivation of the information matrix for the simple case of a univariate t-distribution with a three-parameter model in the statistics literature. Therefore, we provide here a straightforward (though tedious) derivation, the results of which we use in Martin and Zhang (2017).

Keywords: t-Distribution, Information Matrix

JEL Classification: C13