How a probabilistic analogue of the mean value theorem yields stein-type covariance identities

DOI10.1017/JPR.2021.61zbMATH Open1492.60040OpenAlexW4206420010MaRDI QIDQ5086995FDOQ5086995

Publication date: 8 July 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2021.61

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risk measures hazard rate weighted distribution variance identity probabilistic mean value theorem Stein-type covariance identity

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Cites Work

Estimation of the mean of a multivariate normal distribution
Siegel's formula via Stein's identities
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Weighted Distributions and Size-Biased Sampling with Applications to Wildlife Populations and Human Families
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Cumulative Residual Entropy: A New Measure of Information
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An extended Stein-type covariance identity for the Pearson family with applications to lower variance bounds
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First-order covariance inequalities via Stein's method
Distances between distributions via Stein's method
Characterization of the Pearson family of distributions
General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
On a class of premium principles including the Esscher principle
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A differential version of the Efron-Stein inequality: Bounding the variance of a function of an infinitely divisible variable
The tail Stein's identity with applications to risk measures
A look at the structure of some extended Ginis
A quantile-based probabilistic mean value theorem
Increasing concave orderings of linear combinations of order statistics with applications to social welfare

Cited In (7)

On probabilistic mean value theorem and covariance identities
A family of variability measures based on the cumulative residual entropy and distortion functions
An extended Stein-type covariance identity for the Pearson family with applications to lower variance bounds
General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
The tail Stein's identity with applications to risk measures
First-order covariance inequalities via Stein's method
Calculating premium principles from the mode of a unimodal weighted distribution

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