A Note on the Characteristic Function of Multivariate t Distribution

DOI10.5351/CSAM.2014.21.1.081MaRDI QIDQ5171919zbMATH OpenOpenAlexFDO

Authors Dae-Kun Song, Hyoung-Jin Park, Hyoung-Moon Kim

Publication date 12 February 2015

Published in Communications for Statistical Applications and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5351/csam.2014.21.1.081

zbMATH Keywords

contour integrationLaplace-Stieltjes transformmodified Bessel function of the third kindrandomization and mixtures

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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• On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
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