Stein's Lemma for elliptical random vectors

For the family of multivariate normal distribution functions, Stein's Lemma presents a useful tool for calculating covariances between functions of the component random variables. Motivated by applications to corporate finance, we prove a generalization of Stein's Lemma to the family of elliptical distributions.

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Year of publication:	2008
Authors:	Landsman, Zinoviy ; Neslehová, Johanna
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 99.2008, 5, p. 912-927
Publisher:	Elsevier
Keywords:	Density generator Elliptical distribution Generalized hyperbolic distribution Normal distribution Normal mixtures Pearson Type VII distribution Stein's Lemma Spherical distribution Student t distribution

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

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