Article ID Journal Published Year Pages File Type
1146680 Journal of Multivariate Analysis 2008 16 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis