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A Note on the Characteristic Function of Multivariate t Distribution
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 Title & Authors
A Note on the Characteristic Function of Multivariate t Distribution
Song, Dae-Kun; Park, Hyoung-Jin; Kim, Hyoung-Moon;
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 Abstract
This study derives the characteristic functions of (multivariate/generalized) t distributions without contour integration. We extended Hursts method (1995) to (multivariate/generalized) t distributions based on the principle of randomization and mixtures. The derivation methods are relatively straightforward and are appropriate for graduate level statistics theory courses.
 Keywords
Randomization and mixtures;modified Bessel function of the third kind;contour integration;Laplace-Stieltjes transform;
 Language
English
 Cited by
 References
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