Student-t as a mixture of normals

You can express a Student-t distribution as a continuous mixture of normal distributions. Some properties of the t distribution are easier to prove in this form. Here are notes with details.

I ran across this tidbit reading Bayesian Data Analysis by Gelman et al.

Related post: Beer, Wine, and Statistics (origin of the Student-t distribution)

2 thoughts on “Student-t as a mixture of normals

  1. I’m doing some research on mixtures, and I was surprised to see that Gelman (in that book, which I will one day find a cheap copy of) does a much better job of explaining the EM algorithm than any of my mixture references.

    And it was hands down the best Bayesian book I looked at when trying to do a readings course on the topic last semester.

    I think I’m trying to say: Yay Gelman!

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