Article ID Journal Published Year Pages File Type
1153908 Statistics & Probability Letters 2006 5 Pages PDF
Abstract

Stein's Lemma, important in statistics and also in capital asset pricing models, is generalized to the case of elliptical class of distributions. The case when the covariance matrix of the underlying distribution does not exist, is also considered. The results are illustrated by multivariate generalized Student-tt family.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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