Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146680 | Journal of Multivariate Analysis | 2008 | 16 Pages |
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