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Relations Between the Normal, 2 , t and F Distributions

Let z N (0, 1) be a standard normal variable. If n random values z1 , z2 , . . . , zn are drawn from this distribution, squared, and summed, the resultant statistic is said to be a 2 distribution with n degrees of freedom,
2 2 2 (z1 + z2 + + zn ) 2 (n)

The precise mathematical form of the 2 distribution need not worry us here. Rather, the important point is that it constitutes a one-parameter family of distributions, which is conventionally labelled the degrees of freedom (d.f) of the distribution. As the d.f tend to innity, the2 distribution approaches the normal distribution. Critical values of the 2 distribution can be found in statistical tables. The t distribution may be dened in terms of the normal and an independent 2 variable. Let z N (0, 1) and 2 () where z and are independently distributed. Then z t=

(1)

has Students t distribution with d.f. The t distribution, like 2 , is a one-parameter family. It is symmetric about zero and tends asymptotically to the standard normal distribution. Its critical values can be found in statistical tables. The F distribution is dened in terms of two independent 2 variables. Let u and be independently distributed 2 variables with 1 and 2 degrees of freedom, respectively. Then the statistic F = u/1 /2 (2)

has the F distribution with (1 , 2 ) degrees of freedom (critical values can be found in statistical tables). If we square the expression for t, the result may be written as t2 = z 2 /1 /2 (3)

where z 2 , being the square of a standard normal variable, has the 2 (1) distribution. Thus t2 = F (1, ), that is, the square of a t variable with degrees of freedom is an F distribution with (1.) degrees of freedom.