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.
- Chernoff-type inequality
- Multivariate elliptical distribution
- Stein's lemma
- Stein-type inequality
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty