On the Generalization of Stein's Lemma for Elliptical Class of Distributions

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

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Year of publication:	2018
Authors:	Landsman, Zinoviy
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Statistische Verteilung \| Statistical distribution

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Extent:	1 Online-Ressource (14 p)
Series:	Mathematics Preprint Archive ; Vol. 2003, Issue 12, pp 211-224
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2003 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012918151