ON SOME CHARACTERIZATIONS OF THE T-DISTRIBUTION

被引:70
作者
ARELLANOVALLE, RB [1 ]
BOLFARINE, H [1 ]
机构
[1] UNIV SAO PAULO,IME,DEPT ESTAT,BR-01452990 SAO PAULO,BRAZIL
关键词
SPHERICAL; ELLIPTIC AND GENERALIZED T-DISTRIBUTIONS; CONDITIONAL AND MARGINAL DISTRIBUTIONS; COMPOUND NORMAL DISTRIBUTIONS; QUADRATIC FORMS;
D O I
10.1016/0167-7152(94)00208-P
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper we discuss three different characterizations of the generalized t-distribution within the class of the eliptical distributions. We show that this distribution can be characterized in terms of its unconditional and conditional marginals and in terms of quadratic forms. Similar results have been proved for the normal distribution. An additional characterization of the t distribution within the subclass of the compound normal distributions (or scale mixture of normal distributions) is also studied.
引用
收藏
页码:79 / 85
页数:7
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