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A note on the characteristic function of the t-distribution

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Author Info
Dreier, I.
Kotz, S.
Abstract

Utilizing 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.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 57 (2002)
Issue (Month): 3 (April)
Pages: 221-224
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Handle: RePEc:eee:stapro:v:57:y:2002:i:3:p:221-224

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