Some Stein-types Inequalities for Multivariate Elliptical Distributions and Applications
| Autor: | Jing Yao, Steven Vanduffel, Zinoviy Landsman |
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| Přispěvatelé: | Business |
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Multivariate statistics Stein's lemma Pure mathematics Inequality media_common.quotation_subject Mathematical analysis Function (mathematics) Variance (accounting) Type (model theory) Upper and lower bounds Multivariate elliptical distribution Statistics Probability and Uncertainty Random variable media_common Mathematics |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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