A note on Stein's lemma for multivariate elliptical distributions

DOI10.1016/j.jspi.2013.06.003zbMath1432.62152OpenAlexW3121721271WikidataQ124841955 ScholiaQ124841955MaRDI QIDQ394113

Zinoviy Landsman, Steven Vanduffel, Jing Yao

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.06.003

zbMATH Keywords

conditional expectationSiegel's formulamultivariate elliptical distributionStein's lemma

Mathematics Subject Classification ID

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

Related Items (10)

Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ Stein's lemma for truncated elliptical random vectors ⋮ On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ Expressions for joint moments of elliptical distributions ⋮ Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ First-order covariance inequalities via Stein's method ⋮ Testing normality in any dimension by Fourier methods in a multivariate Stein equation ⋮ A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Some Stein-type inequalities for multivariate elliptical distributions and applications

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