The Characteristic Function of the Dirichlet and Multivariate F Distributions

Formulae are derived for the characteristic function of the inverted Dirichlet distribution and hence the multivariate F. The analysis involves a new function with multiple arguments that extends the confluent hypergeometric function of the second kind. This function and its properties are studied in the paper and a simple integral representation is given which is useful for numerical work. A special case connected with the multivariate t distribution is also explored.

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Year of publication:	1988-01
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Hypergeometric function \| contour integral \| differential equation \| characteristic function

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is None Number 865 19 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005464063