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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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  • 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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    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d05/d0561.pdf
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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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    As found by EconAcademics.org, the blog aggregator for Economics research:
    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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