CFDP 865

Distributions

Author(s): 

Publication Date: February 1988

Pages: 19

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

JEL Classification Codes:  211