#### Guinness, Gosset, Fisher, and Small Samples

Student’s t-distribution is somewhat underrepresented in the astronomical community. Having an article with nice stories, it looks to me the best way to introduce the t distribution. This article describing historic anecdotes about monumental statistical developments occurred about 100 years ago.

Guinness, Gosset, Fisher, and Small Samples by Joan Fisher Box
Source: Statist. Sci. Volume 2, Number 1 (1987), 45-52.

No time for reading the whole article? I hope you have a few minutes to read following quotes, which are quite enchanting to me.

[p.45] One of the first things you learn in statistics is to distinguish between the true parameter value of the standard deviation σ and the sample standard deviation s. But at the turn of the century statisticians did not. They called both σ and s the standard deviation. They always used such large samples that their estimate really did approximate the parameter value, so it did not make much difference to their results. But their methods would not do for experimental work. You cannot get samples of thousands of experimental points. …

[p.49] …, the main question was exactly how much wider should the error limits be to make allowance for the error introduced by using the estimates m and s instead of the parameters μ and σ. Pearson could not answer that question for Gosset in 1905, nor the one that followed, which was: what level of probability should be called significant?

[p.49] …, Gosset worked out the exact answer to his question about the probable error of the mean and tabulated the probability values of his criterion z=(m-μ)/s for samples of N=2,3,…,10. He tried also to calculate the distribution of the correlation coefficient by the same method but managed to get the answer only for the case when the true correlation is zero. …