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The Characteristic Function of the F Distribution

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Abstract

Formulae that are given in the literature for the characteristic function of the F distribution are incorrect and imply that the distribution has finite moments of all orders. Correct formulae are derived and the asymptotic behavior of the characteristic function in the neighborhood of the origin is characterized.

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File URL: http://cowles.econ.yale.edu/P/cp/p05b/p0560.pdf
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File URL: http://cowles.econ.yale.edu/P/cd/d05b/d0561.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 561.

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Length: 8 pages
Date of creation: Sep 1980
Date of revision:
Publication status: Published in Biometrika (1982), 69: 261-264
Handle: RePEc:cwl:cwldpp:561

Note: CFP 560.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Peter C.B. Phillips, 1980. "Best Uniform Approximation to Probability Densities in Econometrics," Cowles Foundation Discussion Papers 562, Cowles Foundation for Research in Economics, Yale University.
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  1. [??][??]F???x???????????
    by himaginary in himaginaryの日記 on 2012-08-24 07:00:00

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