Stein Type Lemmas for Location-Scale Mixture of Generalized Skew-Elliptical Random Vectors

Baishuai Zuo and Chuancun Yin

Mathematical Problems in Engineering, 2020, vol. 2020, 1-5

Abstract:

Inspired by the work of Adcock, Landsman, and Shushi (2019) which established the Stein’s lemma for generalized skew-elliptical random vectors, we derive Stein type lemmas for location-scale mixture of generalized skew-elliptical random vectors. Some special cases such as the location-scale mixture of elliptical random vectors, the location-scale mixture of generalized skew-normal random vectors, and the location-scale mixture of normal random vectors are also considered. As an application in risk theory, we give a result for optimal portfolio selection.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6759754

DOI: 10.1155/2020/6759754

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