Some Stein-type inequalities for multivariate elliptical distributions and applications

Brown et al. (2006) derive a Stein-type inequality for the multivariate Student’s t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

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Year of publication:	2015
Authors:	Landsman, Zinoviy ; Vanduffel, Steven ; Yao, Jing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 54-62
Publisher:	Elsevier
Subject:	Stein’s lemma \| Stein-type inequality \| Multivariate elliptical distribution \| Inadmissibility \| Chernoff-type inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189321