Stein's lemma for truncated elliptical random vectors

DOI10.1016/j.spl.2018.02.008zbMath1406.60024OpenAlexW2792336983WikidataQ125027806 ScholiaQ125027806MaRDI QIDQ1640970

Tomer Shushi

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.008

zbMATH Keywords

elliptical distributionsSiegel's formuladensity generatorStein's lemmacapital asset pricing modelstruncated random vectors

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (3)

Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ Expressions for joint moments of elliptical distributions ⋮ The Minkowski length of a spherical random vector

Cites Work

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