On the sum of t and Gaussian random variables
Guy P. Nason
Statistics & Probability Letters, 2006, vol. 76, issue 12, 1280-1286
Abstract:
This article derives the probability density function (pdf) of the sum of a normal random variable and a (sphered) Student's t-distribution on odd degrees of freedom greater than or equal to three. Apart from its intrinsic interest applications of this result include Bayesian wavelet shrinkage, Bayesian posterior density derivations, calculations in the theoretical analysis of projection indices and computation of certain moments.
Keywords: Sum; of; Gaussian; and; Student's; t; Characteristic; function; Wavelet; shrinkage; Error; function (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)
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