The Univariate t-Distribution Information Matrix

8 Pages Posted: 15 Dec 2017

Date Written: December 12, 2017

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

Suggested Citation

Zhang, Shengyu and Green, Christopher G, The Univariate t-Distribution Information Matrix (December 12, 2017). Available at SSRN: https://ssrn.com/abstract=3086998 or http://dx.doi.org/10.2139/ssrn.3086998

Shengyu Zhang (Contact Author)

HomeStreet Bank ( email )

601 Union Street
Ste. 2000
Seattle, WA 98101
United States

Christopher G Green

Independent ( email )

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