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

Statistics and Probability Letters

Volumn 76, Issue 10, 2006, Pages 1012-1016

  Landsman, Zinoviy ^a  

^a UNIVERSITY OF HAIFA   (Israel)

Author keywords

Associate measure and distribution; Elliptical family

Indexed keywords

EID: 33645544814     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.11.004     Document Type: Article

References (7)

1. N.H. Bingham R. Kiesel Semi-parametric modelling in finance: Theoretical foundations Quantitative Finance 2 2002 241-250
2. K.T. Fang S. Kotz K.W. Ng Symmetric Multivariate and Related Distributions 1990 Chapman & Hall London
3. Z. Landsman E. Valdez Tail conditional expectations for elliptical distribution North Amer. Actuarial J. 7 4 2003 55-71
4. K. Li On principal Hessian directions for data visualization and dimension reduction: Another application of Stein's Lemma J. Amer. Statist. Assoc. 87 420 1992 1025-1039
5. Panjer, H. (Ed.), (1998). Financial Economics: With Applications to Investments, Insurance and Pensions. Actuarial Foundation, Schaumburg.
6. Ch. M. Stein Estimation of the mean of a multivariate normal distribution Ann. Statist. 9 6 1981 1135-1151
7. Stein, Ch. M., 1986. Approximate Computation of Expectations. Lecture Notice Monograph Series, vol. 7. Institute of Mathematical Statistics, Hayward, CA.