• Title/Summary/Keyword: Randomization and mixtures

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A Note on the Characteristic Function of Multivariate t Distribution

  • Song, Dae-Kun;Park, Hyoung-Jin;Kim, Hyoung-Moon
    • Communications for Statistical Applications and Methods
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    • v.21 no.1
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    • pp.81-91
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    • 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.