A Note on the Characteristic Function of Multivariate t Distribution
2014
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:
- Statistical theory
- Methods of contour integration
- Multivariate t-distribution
- Laplace transform applied to differential equations
- Laplace–Stieltjes transform
- Multivariate statistics
- Characteristic function (probability theory)
- Mathematics
- Mathematical analysis
- Two-sided Laplace transform
- Inverse Laplace transform
- Applied mathematics
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