Extensions of Stein's Lemma for the Skew-Normal Distribution

DOI10.1080/03610920601126084zbMath1315.62016OpenAlexW2049537980MaRDI QIDQ5421527

C. J. Adcock

Publication date: 24 October 2007

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

Full work available at URL: http://eprints.whiterose.ac.uk/10953/1/Adcock_10953.pdf

zbMATH Keywords

multivariate skew-normal distributionutility functionsportfolio selectionSiegel's formulaStein's lemmahidden truncation models

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Portfolio theory (91G10)

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