Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Note on the Characteristic Function of Multivariate t Distribution

  • Received : 2013.10.31
  • Accepted : 2013.12.18
  • Published : 2014.01.31
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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.

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References

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