Abstract
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.
Original language | English |
---|---|
Pages (from-to) | 54-62 |
Number of pages | 9 |
Journal | Statistics and Probability Letters |
Volume | 97 |
DOIs | |
Publication status | Published - Feb 2015 |
Keywords
- Chernoff-type inequality
- Inadmissibility
- Multivariate elliptical distribution
- Stein's lemma
- Stein-type inequality
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty