A note on the characteristic function of the t-distribution
AbstractUtilizing the theory of positive definite densities we express the density of a t-random variable as the characteristic function of a convolution of two Gamma-variables. This allows us to obtain a simple interpretation and an expression for the characteristic function of the t-variable.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 57 (2002)
Issue (Month): 3 (April)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
- Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
- P. Peirano & D. Challet, 2012.
"Baldovin-Stella stochastic volatility process and Wiener process mixtures,"
The European Physical Journal B - Condensed Matter and Complex Systems,
Springer, vol. 85(8), pages 1-12, August.
- Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.