Compare Student's t and Normal Distribution pdfs
Compute the pdf for a Student's t distribution with parameter nu = 5, and for a standard normal distribution.
x = -5:0.1:5; y = tpdf(x,5); z = normpdf(x,0,1);
Plot the Student's t and standard normal pdfs on the same figure. The standard normal pdf (dashed line) has shorter tails than the Student's t pdf (solid line).