Stein's Lemma for elliptical random vectors

  • Authors:

  • Zinoviy Landsman;Johanna Nešlehová

  • Affiliations:

  • Department of Statistics, University of Haifa, Mount Carmel, 31905 Haifa, Israel;Department of Mathematics, ETH Zurich, CH-8092 Zurich, Switzerland

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2008

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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.