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

DOI10.1016/j.spl.2005.11.004zbMath1089.62055OpenAlexW2089070598WikidataQ125030750 ScholiaQ125030750MaRDI QIDQ2493870

Zinoviy Landsman

Publication date: 16 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.11.004

zbMATH Keywords

elliptical familyassociate measure and distributioncumulative generators

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites Work

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• Estimation of the mean of a multivariate normal distribution
• On Principal Hessian Directions for Data Visualization and Dimension Reduction: Another Application of Stein's Lemma
• Semi-parametric modelling in finance: theoretical foundations
• Tail Conditional Expectations for Elliptical Distributions