A note on Stein's lemma for multivariate elliptical distributions
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Publication:394113
DOI10.1016/J.JSPI.2013.06.003zbMATH Open1432.62152OpenAlexW3121721271WikidataQ124841955 ScholiaQ124841955MaRDI QIDQ394113FDOQ394113
Authors: 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
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Cites Work
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- Siegel's formula via Stein's identities
- Title not available (Why is that?)
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- Tail Conditional Expectations for Elliptical Distributions
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- Semi-parametric modelling in finance: theoretical foundations
- On the generalization of Stein's lemma for elliptical class of distributions
- 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
- The heat equation and Stein's identity: connections, applications
- Stein's lemma for elliptical random vectors
- A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- Bounds for some general sums of random variables
- Analytic bounds and approximations for annuities and Asian options
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Cited In (20)
- On Stein's lemma, dependent covariates and functional monotonicity in multi-dimensional modeling
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- On rereading Stein's lemma: its intrinsic connection with Cramér-Rao identity and some new identities
- Stein’s Lemma for generalized skew-elliptical random vectors
- On the generalization of Stein's lemma for elliptical class of distributions
- Expressions for joint moments of elliptical distributions
- Generalizing Stein's lemma
- On an extension of Stein's lemma
- Stein's lemma for truncated elliptical random vectors
- Testing normality in any dimension by Fourier methods in a multivariate Stein equation
- A Stein type lemma for the multivariate generalized hyperbolic distribution
- Stein's lemma for elliptical random vectors
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
- Stein's lemma for truncated generalized skew-elliptical random vectors
- A note on conditional covariance matrices for elliptical distributions
- The bias and risk functions of some Stein-rules in elliptically contoured distributions
- Some Stein-type inequalities for multivariate elliptical distributions and applications
- First-order covariance inequalities via Stein's method
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
- Stein type lemmas for location-scale mixture of generalized skew-elliptical random vectors
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