A note on Stein's lemma for multivariate elliptical distributions
From MaRDI portal
Publication:394113
DOI10.1016/j.jspi.2013.06.003zbMath1432.62152WikidataQ124841955 ScholiaQ124841955MaRDI QIDQ394113
Zinoviy Landsman, Steven Vanduffel, Jing Yao
Publication date: 24 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2013.06.003
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality, Stein’s Lemma for generalized skew-elliptical random vectors, Testing normality in any dimension by Fourier methods in a multivariate Stein equation, Stein's lemma for truncated elliptical random vectors, A Stein type lemma for the multivariate generalized hyperbolic distribution, Stein's lemma for truncated generalized skew-elliptical random vectors, First-order covariance inequalities via Stein's method, Some Stein-type inequalities for multivariate elliptical distributions and applications, Expressions for joint moments of elliptical distributions, Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bounds for some general sums of random variables
- Analytic bounds and approximations for annuities and Asian options
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Bounds and approximations for sums of dependent log-elliptical random variables
- Estimation of the mean of a multivariate normal distribution
- Siegel's formula via Stein's identities
- The heat equation and Stein's identity: connections, applications
- Stein's lemma for elliptical random vectors
- On the generalization of Stein's lemma for elliptical class of distributions
- Semi-parametric modelling in finance: theoretical foundations
- A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- Tail Conditional Expectations for Elliptical Distributions