Mathematica's statistics capabilities are part of Mathematica's
standard add-on packages. These packages are part of the Mathematica
distribution, but they are not by default loaded into Mathematica's
kernel at startup. To load the statistics packages, use the following
command:
<<Statistics`
More about Mathematica's statistics packages can also be found
in the Documentation
Center, or in the Help Browser by clicking the Add-ons radio
button, choosing "Standard Packages", and then choosing "Statistics".