`Student' and small-sample theory

January, 1999
Report Number: 
E. L. Lehmann
Electronic Journal of Probability</em>, Vol. 4 (1999) Paper no. 11, pages 1-33

The paper discusses the contributions Student (W. S. Gosset) made to the three stages in which small-sample methodology was established in the period 1908--1033: (i) the distributions of the test-statistics under the assumption of normality; (ii) the robustness of these distributions against non-normality; (iii) the optimal choice of test statistics. The conclusions are based on a careful reading of the correspondence of Gosset with Fisher and E. S. Pearson.

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