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

Zinoviy Landsman

Statistics & Probability Letters, 2006, vol. 76, issue 10, 1012-1016

Abstract: Stein's Lemma, important in statistics and also in capital asset pricing models, is generalized to the case of elliptical class of distributions. The case when the covariance matrix of the underlying distribution does not exist, is also considered. The results are illustrated by multivariate generalized Student-t family.

Keywords: Elliptical; family; Associate; measure; and; distribution (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (6)

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