If we zoom in on the tails of the distribution, we see that more of the simulated of t-statistics lie in those tails than the normal distribution would predict.

To model the sampling distribution of the t-statistic = (𝑥̅ − 𝜇)/(s/√𝑛), we need a probability model with heavier tails than the standard normal distribution. William S. Gosset, a chemist turned statistician, showed in 1908, while working for the Guinness Breweries in Dublin Ireland, that, when the population of observations follows a normal distribution, a “t probability curve” provides a better model for the sampling distribution of this standardized statistic .

All that means for us is we will compare the t-statistic to the t-distribution rather than to the normal distribution to convert our standardized statistic to a p-value.