A note on Stein's lemma for multivariate elliptical distributions

DOI10.1016/J.JSPI.2013.06.003MaRDI QIDQ394113zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

conditional expectationSiegel's formulamultivariate elliptical distributionStein's lemma

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3354336 (Why is no real title available?)
• A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
• Analytic bounds and approximations for annuities and Asian options
• 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
• Bounds for some general sums of random variables
• Estimation of the mean of a multivariate normal distribution
• Extensions of Stein's Lemma for the Skew-Normal Distribution
• On the generalization of Stein's lemma for elliptical class of distributions
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Semi-parametric modelling in finance: theoretical foundations
• Siegel's formula via Stein's identities
• Stein's lemma for elliptical random vectors
• Tail Conditional Expectations for Elliptical Distributions
• The heat equation and Stein's identity: connections, applications

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
• Stein's lemma for truncated elliptical random vectors
• Generalizing Stein's lemma
• On an extension of Stein's lemma
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Testing normality in any dimension by Fourier methods in a multivariate Stein equation
• 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
• The bias and risk functions of some Stein-rules in elliptically contoured distributions
• A note on conditional covariance matrices for elliptical 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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