Article ID Journal Published Year Pages File Type
7549395 Statistics & Probability Letters 2015 9 Pages PDF
Abstract
Brown et al. (2006) derive a Stein-type inequality for the multivariate Student's t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Some Stein-type inequalities for multivariate elliptical distributions and applications
Authors
, , ,