Normal scale mixture representation of Student t ($T=Z/\sqrt{\Lambda /\nu },\Lambda \sim {\chi }_{\nu }^2$)

For independent $Z\sim N(0,1)$ and $\Lambda \sim {\chi }_{\nu }^2$, the displayed ratio has the Student t-distribution with $\nu >0$ statistical degrees of freedom. Equivalently, conditional on $\Lambda =\lambda >0$, $T$ has normal distribution $N(0,\nu /\lambda )$. This is a normal scale mixture representation of Student t: a small latent denominator occasionally produces a much larger spread. The result is a heavy-tailed distribution even though every conditional probability distribution is a normal distribution.

For a short derivation, independence lets us multiply the conditional normal density and the chi-squared distribution's probability density function, then integrate over the unobserved $\lambda$:The resulting gamma function integral has shape $(\nu +1)/2$ and rate $(1+t^2/\nu )/2$, yielding the normalized probability density function above. Also, for $\nu >2$, conditional expectation gives $\mathbb{E}[T^2]=\nu \mathbb{E}[{\Lambda }^{-1}]=\nu /(\nu -2)$. Thus unit scale does not mean unit variance. Finally, $\mathbb{E}[\Lambda /\nu ]=1$ and $\mathrm{Var}(\Lambda /\nu )=2/\nu$ imply convergence in probability to 1 by Chebyshev's inequality; Slutsky's theorem then gives the standard normal distribution limit.