Some Stein-type inequalities for multivariate elliptical distributions and applications

Zinoviy Landsman; Steven Vanduffel; Jing Yao

doi:10.1016/j.spl.2014.11.005

Some Stein-type inequalities for multivariate elliptical distributions and applications

Zinoviy Landsman, Steven Vanduffel, Jing Yao^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

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	https://doi.org/10.1016/j.spl.2014.11.005
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

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10.1016/j.spl.2014.11.005

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@article{e14caf665083494d84942d99e765dbfa,

title = "Some Stein-type inequalities for multivariate elliptical distributions and applications",

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.",

keywords = "Chernoff-type inequality, Inadmissibility, Multivariate elliptical distribution, Stein's lemma, Stein-type inequality",

author = "Zinoviy Landsman and Steven Vanduffel and Jing Yao",

year = "2015",

month = feb,

doi = "10.1016/j.spl.2014.11.005",

language = "English",

volume = "97",

pages = "54--62",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

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TY - JOUR

T1 - Some Stein-type inequalities for multivariate elliptical distributions and applications

AU - Landsman, Zinoviy

AU - Vanduffel, Steven

AU - Yao, Jing

PY - 2015/2

Y1 - 2015/2

N2 - 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.

AB - 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.

KW - Chernoff-type inequality

KW - Inadmissibility

KW - Multivariate elliptical distribution

KW - Stein's lemma

KW - Stein-type inequality

UR - https://www.scopus.com/pages/publications/84912551829

U2 - 10.1016/j.spl.2014.11.005

DO - 10.1016/j.spl.2014.11.005

M3 - Article

AN - SCOPUS:84912551829

SN - 0167-7152

VL - 97

SP - 54

EP - 62

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Some Stein-type inequalities for multivariate elliptical distributions and applications

Abstract

Keywords

ASJC Scopus subject areas

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