Title of article
Steinʹs Lemma for elliptical random vectors
Author/Authors
Landsman، نويسنده , , Zinoviy and Ne?lehov?، نويسنده , , Johanna، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2008
Pages
16
From page
912
To page
927
Abstract
For the family of multivariate normal distribution functions, Steinʹs 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 Steinʹs Lemma to the family of elliptical distributions.
Keywords
Density generator , Elliptical distribution , Generalized hyperbolic distribution , Normal distribution , Pearson Type VII distribution , Steinיs Lemma , Spherical distribution , Student t distribution , Normal mixtures
Journal title
Journal of Multivariate Analysis
Serial Year
2008
Journal title
Journal of Multivariate Analysis
Record number
1558897
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