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Let \(X_1\), \(\ldots\), \(X_n\) be independent and identically distributed as \(N(\mu, \sigma^2)\), i.e. this is a sample of size \(n\) from a normally distributed population with expected value \(\mu\) and variance \(\sigma^2\).
Let
\begin{align}
{\bar {X}}={\frac{1}{n}}\sum_{i=1}^{n}X_{i}
\end{align}
be the sample mean and let
\begin{align}
S^{2}={\frac{1}{n-1}}\sum_{i=1}^{n}(X_{i}-{\bar{X}})^{2}
\end{align}

be the (Bessel-corrected) sample variance. Then the random variable
\begin{align}
\frac{\bar{X} - \mu}{\sigma / \sqrt{n}}
\end{align}
has a standard normal distribution (i.e. normal with expected value 0 and variance 1), and the random variable
\begin{align}
\frac{\bar{X} - \mu}{S / \sqrt{n}}
\end{align}
(where we have simply put \(S\) (the square root of the sample variance) where \(\sigma\) had appeared) has a Student's \(t\)-distribution with \(n − 1\) degrees of freedom.

Reference: https://en.wikipedia.org/wiki/Student%27s_t-distribution
http://shujuren.org/article/104.html

转载于:https://www.cnblogs.com/songtianyu/p/6078065.html