Some Stein-type inequalities for multivariate elliptical distributions and applications

Zinoviy Landsman; Steven Vanduffel; Jing Yao

doi:10.1016/j.spl.2014.11.005

Some Stein-type inequalities for multivariate elliptical distributions and applications

Zinoviy Landsman, Steven Vanduffel, Jing Yao

Department of Statistics

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

Abstract

Brown et al. (2006) derive a Stein-type inequality for the multivariate Student's t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

Original language	English
Pages (from-to)	54-62
Number of pages	9
Journal	Statistics and Probability Letters
Volume	97
DOIs	https://doi.org/10.1016/j.spl.2014.11.005
State	Published - 1 Feb 2015

Bibliographical note

Publisher Copyright:
© 2014 Elsevier B.V.

Keywords

Chernoff-type inequality
Inadmissibility
Multivariate elliptical distribution
Stein's lemma
Stein-type inequality

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2014.11.005

Cite this

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title = "Some Stein-type inequalities for multivariate elliptical distributions and applications",

abstract = "Brown et al. (2006) derive a Stein-type inequality for the multivariate Student's t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.",

keywords = "Chernoff-type inequality, Inadmissibility, Multivariate elliptical distribution, Stein's lemma, Stein-type inequality",

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AU - Landsman, Zinoviy

AU - Vanduffel, Steven

AU - Yao, Jing

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N2 - Brown et al. (2006) derive a Stein-type inequality for the multivariate Student's t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

AB - Brown et al. (2006) derive a Stein-type inequality for the multivariate Student's t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

KW - Chernoff-type inequality

KW - Inadmissibility

KW - Multivariate elliptical distribution

KW - Stein's lemma

KW - Stein-type inequality

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DO - 10.1016/j.spl.2014.11.005

M3 - Article

AN - SCOPUS:84912551829

SN - 0167-7152

VL - 97

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EP - 62

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Some Stein-type inequalities for multivariate elliptical distributions and applications

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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