A simple proof of the characteristic function of Student's t-distribution

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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 languageEnglish
JournalCommunications in Statistics: Theory and Methods
Early online date23 Dec 2019
DOIs
Publication statusPublished - 2020

Keywords

  • Student's t-distribution;
  • characteristic function;
  • modified Bessel function.

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