Abstract
This note presents a simple proof of the characteristic function of Student's t-distribution. The method of proof, which involves finding a differential equation satisfied by the characteristic function, is applicable to many other distributions.
| Original language | English |
|---|---|
| Journal | Communications in Statistics: Theory and Methods |
| Early online date | 23 Dec 2019 |
| DOIs | |
| Publication status | Published - 2020 |
Keywords
- Student's t-distribution;
- characteristic function;
- modified Bessel function.