Stein’s Lemma for generalized skew-elliptical random vectors

DOI10.1080/03610926.2019.1678642MaRDI QIDQ5078520zbMATH OpenOpenAlexFDO

Authors Chris Adcock, Zinoviy Landsman, Tomer Shushi

Publication date 23 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2019.1678642

zbMATH Keywords

density generatormultivariate generalized skew elliptical distributionsnormal distributionsspherical distributionsStein's Lemma

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(10)

• Stein's lemma for truncated elliptical random vectors
• Multivariate tail covariance risk measure for generalized skew-elliptical distributions
• A general class of univariate skew distributions considering Stein's lemma and infinite divisibility
• TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
• Tail conditional moment for generalized skew-elliptical distributions
• Empirical Bayes on a shoestring and other applications
• Stein type lemmas for location-scale mixture of generalized skew-elliptical random vectors
• Multivariate doubly truncated moments for generalized skew-elliptical distributions with applications
• Doubly truncated expectation and variance of univariate generalized skew-elliptical distributions with applications
• A proof for the existence of multivariate singular generalized skew-elliptical density functions

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