On Brascamp–Lieb and Poincaré type inequalities for generalized tempered stable distribution

Kalyan Barman and Neelesh S. Upadhye

Statistics & Probability Letters, 2022, vol. 189, issue C

Abstract: In this article, we obtain a Stein’s lemma for generalized tempered stable distribution. In particular, we derive a Stein operator for the class generalized tempered stable distributions and discuss its implications on the existing literature. Using this lemma, we obtain Brascamp–Lieb and Poincaré type inequalities for generalized tempered stable distribution.

Keywords: Generalized tempered stable distributions; Stable distributions; Stein’s method (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109600

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