The Characteristic Function of the F Distribution
AbstractFormulae 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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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 561.
Length: 8 pages
Date of creation: Sep 1980
Date of revision:
Publication status: Published in Biometrika (1982), 69: 261-264
Note: CFP 560.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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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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- 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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