Stein's Lemma for elliptical random vectors

Zinoviy Landsman, Johanna Nešlehová*

*Korrespondierende*r Autor*in für diese Arbeit

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

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.

OriginalspracheEnglisch
Seiten (von - bis)912-927
Seitenumfang16
FachzeitschriftJournal of Multivariate Analysis
Jahrgang99
Ausgabenummer5
DOIs
PublikationsstatusVeröffentlicht - Mai 2008
Extern publiziertJa

Bibliographische Notiz

Funding Information:
The first author acknowledges financial support by the FIM, ETH Zurich. The second author was supported by RiskLab, ETH Zurich. The authors thank Paul Embrechts for bringing Froot [8] to their attention and for fruitful discussions. They are grateful to the referees for their thorough comments and suggestions.

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