Stein's Lemma for elliptical random vectors

Zinoviy Landsman and Johanna Neslehová

Journal of Multivariate Analysis, 2008, vol. 99, issue 5, 912-927

Abstract: For the family of multivariate normal distribution functions, Stein's Lemma presents a useful tool for calculating covariances between functions of the component random variables. Motivated by applications to corporate finance, we prove a generalization of Stein's Lemma to the family of elliptical distributions.

Keywords: Density; generator; Elliptical; distribution; Generalized; hyperbolic; distribution; Normal; distribution; Normal; mixtures; Pearson; Type; VII; distribution; Stein's; Lemma; Spherical; distribution; Student; t; distribution (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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