The Characteristic Function of the F Distribution

Peter C. B. Phillips ()

No 561, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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.

Date: 1980-09
Note: CFP 560.
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Published in Biometrika (1982), 69: 261-264

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