The Characteristic Function of the Dirichlet and Multivariate F Distributions

Peter C. B. Phillips ()

No 865, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: Hypergeometric function; contour integral; differential equation; characteristic function (search for similar items in EconPapers)
Date: 1988-01
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