Stein's Lemma, important in statistics and also in capital asset pricing models, is generalized to the case of elliptical class of distributions. The case when the covariance matrix of the underlying distribution does not exist, is also considered. The results are illustrated by multivariate generalized Student-t family.
- Associate measure and distribution
- Elliptical family
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty