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Stein’s lemma for elliptical random vectors. (English) Zbl 1286.62018

Summary: 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.

MSC:

62E10 Characterization and structure theory of statistical distributions
62H05 Characterization and structure theory for multivariate probability distributions; copulas
91G50 Corporate finance (dividends, real options, etc.)

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