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In a comment on this question Nick Cox mentioned that Jeffreys suggested that errors in data approximate t distributions with 7 degrees of freedom.

Does anyone have a source/citation for this?

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Simon Woodward
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    Who is "you" in your question? If you're referring to an answer or comment on another question please link to it in your question (If you don't know how to link directly to it, at least paste in the URL of the question and mention who you mean) – Glen_b Jun 10 '16 at 07:51
  • Comment by Nick Cox is this thread: http://stats.stackexchange.com/questions/68596/model-fitting-when-errors-take-a-cauchy-distribution – Simon Woodward Jun 11 '16 at 10:24
  • I was intending to send a personal query to Nick and was surprised when it appeared as a new thread. – Simon Woodward Jun 11 '16 at 10:25
  • Thanks for clarifying. I've edited your question as I was suggesting in my earlier comment. – Glen_b Jun 11 '16 at 11:52

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See

Jeffreys, [Sir] Harold. 1961, paperback 1983. Theory of probability Oxford: Oxford University Press. Ch.5.7 for discussion of various error distributions.

The original paper is

Jeffreys, Harold. 1938. The law of error and the combination of observations. Philosophical Transactions of the Royal Society, Series A 237: 231-271; DOI: 10.1098/rsta.1938.0008.

Nick Cox
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  • I just read the 1938 paper, and am I right that his parameter 'm' is half of 'v the degrees of freedom parameter in the t-distribution? – Simon Woodward Jun 13 '16 at 02:07
  • Jeffreys was never wilfully obscure but he tended to assume that his readers were about as smart as he was and his notation necessarily ignores later majority conventions. I have never read the 1938 paper, being disappointed once I found that the original datasets were not easily accessible; the 7 df punchline is clear in his Theory of Probability. – Nick Cox Jun 13 '16 at 07:46
  • The 1938 paper is freely available online, and is a fun read :) I don't have access to the book, unless I interloan it through a library, and my library is far away. – Simon Woodward Jun 14 '16 at 09:16