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The Characteristic Function of the F Distribution



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.

Suggested Citation

  • Peter C.B. Phillips, 1980. "The Characteristic Function of the F Distribution," Cowles Foundation Discussion Papers 561, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:561
    Note: CFP 560.

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    References listed on IDEAS

    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. [科学][経済]F分布はx分布になるはずだった?
      by himaginary in himaginaryの日記 on 2012-08-24 12:00:00

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