Stein's lemma for elliptical random vectors

DOI10.1016/j.jmva.2007.05.006zbMath1286.62018OpenAlexW2042335306WikidataQ56430131 ScholiaQ56430131MaRDI QIDQ2482135

Zinoviy Landsman, Johanna G. Nešlehová

Publication date: 16 April 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.05.006

zbMATH Keywords

normal distributionnormal mixtureselliptical distributiondensity generatorspherical distributionStein's lemmaStudent \(t\) distributionPearson type VII distributiongeneralized hyperbolic distribution

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (29)

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Uses Software

• QRM

Cites Work

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• On the theory of elliptically contoured distributions
• Estimation of the mean of a multivariate normal distribution
• Consistency property of elliptical probability density functions
• On the generalization of Stein's lemma for elliptical class of distributions
• Semi-parametric modelling in finance: theoretical foundations
• Tail Conditional Expectations for Elliptical Distributions

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