Characteristic function of the SGT distribution

摘要

An explicit closed form is derived for the characteristic function for the skew generalized t distribution studied by Arslan and Genc [The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation. Statistics 43(5) (2009), pp. 481 -498]. The expression involves the Wright generalized hypergeometric Ψ-function.