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- W2762023369 abstract "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 is close under margining, conditioning, and linear transforms; however, such property does not hold for its subclasses. In the second part, we obtain the Stein-type inequality in the context of MGH distribution. Moreover, we apply the Stein-type inequality to prove a lower bound for Var[h(X)]. Particularly, we present examples when X belongs to some well-known subclasses in MGH family." @default.
- W2762023369 created "2017-10-20" @default.
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- W2762023369 date "2017-11-27" @default.
- W2762023369 modified "2023-10-18" @default.
- W2762023369 title "On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality" @default.
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- W2762023369 doi "https://doi.org/10.1080/03610926.2017.1390134" @default.
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