Advanced Distributions

We meet a few more standard probability distributions that will become very important later in statistics and econometrics.

In particular, we introduce the chi-squared, t-, and F-distributions. Though new and complex-looking, these can in fact all be constructed from different combinations of normal random variables!

At first, they may seem like a rather abstract and strange collection of new definitions and formulae. But their importance will become much clearer later, appearing naturally in topics like estimation, confidence intervals, and hypothesis testing.

For now, the main goal is to understand where they come from, how to recognise them, and what their key properties are.