The distribution of the difference between two t-variates

In this paper, the difference between two correlated t variables is divided by a function of their sample correlation and the distribution of the resulting quantity is examined. Functions of the sample correlation are found for which this quantity is approximately pivotal and has a t distribution, asymptotically. Simulations show that the asymptotic results hold well for small sample sizes. The results yield a useful test for comparing the difference in standardised scores of an individual with those of a group of controls. The test assumes that sampling is from a bivariate normal distribution and robustness of the test to departure from normality is examined. Copyright 2004, Oxford University Press.