a p_random vector X has a multivariate Cauchy distribution if its
probability density function is of the form:
f(x; m, S)={ c |S| ^(-1/2) } / { [1 + (x-m)'S^{-1}(x-m) ] ^ (1+p)/2 }
(m is a p_vector and S a definite positive matrix)
How can I show that its charateristic function is: exp {i m' t - (t' S
t)^1/2} ?
Thanks in advance
Paolo
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