Stein’s Lemma for generalized skew-elliptical random vectors

Chris Adcock, Zinoviy Landsman, Tomer Shushi

Research output: Contribution to journalArticlepeer-review


This paper generalizes Stein's Lemma recently obtained for elliptical class distributions to the generalized skew-elliptical family of distributions. Stein's Lemma provides a useful tool for deriving covariances between functions of component random variables. This Lemma has applications in finance, notably for portfolio selection and hence for the capital asset pricing model (CAPM), as well as technical applications such as the computation of moments. It also leads to important propositions concerning the mean and variance of generalized skew-elliptical variables.

Original languageEnglish
Pages (from-to)3014-3029
Number of pages16
JournalCommunications in Statistics - Theory and Methods
Issue number13
StatePublished - 2021

Bibliographical note

Publisher Copyright:
© 2019 Taylor & Francis Group, LLC.


  • Density generator
  • Stein’s Lemma
  • multivariate generalized skew elliptical distributions
  • normal distributions
  • spherical distributions

ASJC Scopus subject areas

  • Statistics and Probability


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