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
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
Journal title :
Journal of Multivariate Analysis