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http://dx.doi.org/10.5351/CSAM.2014.21.1.081

A Note on the Characteristic Function of Multivariate t Distribution  

Song, Dae-Kun (Department of Statistics, Colorado State University)
Park, Hyoung-Jin (Department of Applied Statistics, Konkuk University)
Kim, Hyoung-Moon (Department of Applied Statistics, Konkuk University)
Publication Information
Communications for Statistical Applications and Methods / v.21, no.1, 2014 , pp. 81-91 More about this Journal
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;
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