On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality

DOI10.1080/03610926.2017.1390134OpenAlexW2762023369MaRDI QIDQ5075569

Xiang Deng, Jing Yao

Publication date: 16 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1390134

zbMATH Keywords

Stein's lemmamultivariate generalized hyperbolic distributionStein-type inequalitybounds for \(\mathrm{Var}[h(X)\)]

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probability distributions: general theory (60E05)

Related Items (5)

Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ Likelihood-based inference for linear mixed-effects models using the generalized hyperbolic distribution ⋮ Closed-form approximations for spread options in Lévy markets ⋮ Family of bivariate distributions on the unit square: theoretical properties and applications ⋮ Tail moments and tail joint moments for multivariate generalized hyperbolic distribution

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