This paper generalizes Stein's Lemma recently obtained for elliptical class distributions to the generalized skew-elliptical family of distributions. Stein's Lemma provides a useful tool …
We study a novel class of affine‐invariant and consistent tests for multivariate normality. The tests are based on a characterization of the standard d‐variate normal distribution by way of …
G Mijoule, G Reinert, Y Swan - arXiv preprint arXiv:1806.03478, 2018 - arxiv.org
In this paper we present a general framework for Stein's method for multivariate continuous distributions. The approach gives a collection of Stein characterisations, among which we …
B Zuo, C Yin, N Balakrishnan - Journal of Computational and Applied …, 2021 - Elsevier
Inspired by Stein's lemma, we derive two expressions for the joint moments of elliptical distributions. We use two different methods to derive E [X 1 2 f (X)] for any measurable …
Some Stein-type inequalities for multivariate elliptical distributions and applications - ScienceDirect Skip to main contentSkip to article Elsevier logo Journals & Books Search …
X Deng, J Yao - Communications in Statistics-Theory and Methods, 2018 - Taylor & Francis
This note consists of two parts. In the first part, we provide a pedagogic review on the multivariate generalized hyperbolic (MGH) distribution. We show that this probability family …
S Vanduffel, J Yao - European Journal of Operational Research, 2017 - Elsevier
When two variables are bivariate normally distributed, Stein's (1973, 1981) seminal lemma provides a convenient expression for the covariance of the first variable with a function of the …
T Shushi - Statistics & Probability Letters, 2018 - Elsevier
In this letter we derive the multivariate Stein's lemma for truncated elliptical random vectors. The results in this letter generalize Stein's lemma for elliptical random vectors given in …