Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153908 | Statistics & Probability Letters | 2006 | 5 Pages |
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
Zinoviy Landsman,