T distribution

1.
t location-scale distribution, which has three parameters, a scale parameter , a location parameter , and a shape parameter . The density function for this distribution is as follows:

Note that if  is t location-scale distributed,  is Student's t distributed with  degrees of freedom.

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Hansen, B.E. (1994),  Autoregressive conditional density estimation ,  Intern. Econ. Rev. , vol. 35, no. 3, 705–730.