On the generalization of Stein's Lemma for elliptical class of distributions

Zinoviy Landsman

doi:10.1016/j.spl.2005.11.004

On the generalization of Stein's Lemma for elliptical class of distributions

Zinoviy Landsman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	1012-1016
Number of pages	5
Journal	Statistics and Probability Letters
Volume	76
Issue number	10
DOIs	https://doi.org/10.1016/j.spl.2005.11.004
State	Published - 15 May 2006

Keywords

Associate measure and distribution
Elliptical family

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1016/j.spl.2005.11.004

Cite this

@article{84124138f62549298de512582b1fe794,

title = "On the generalization of Stein's Lemma for elliptical class of distributions",

abstract = "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.",

keywords = "Associate measure and distribution, Elliptical family",

author = "Zinoviy Landsman",

year = "2006",

month = may,

day = "15",

doi = "10.1016/j.spl.2005.11.004",

language = "English",

volume = "76",

pages = "1012--1016",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "10",

}

TY - JOUR

T1 - On the generalization of Stein's Lemma for elliptical class of distributions

AU - Landsman, Zinoviy

PY - 2006/5/15

Y1 - 2006/5/15

N2 - 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.

AB - 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.

KW - Associate measure and distribution

KW - Elliptical family

UR - http://www.scopus.com/inward/record.url?scp=33645544814&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2005.11.004

DO - 10.1016/j.spl.2005.11.004

M3 - Article

AN - SCOPUS:33645544814

SN - 0167-7152

VL - 76

SP - 1012

EP - 1016

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 10

ER -

On the generalization of Stein's Lemma for elliptical class of distributions

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this