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On Stein's identity and its applications

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  • Kumar Kattumannil, Sudheesh

Abstract

Stein's identity and its role in inference procedures has been widely discussed in the literature. In this paper, we provide a generalization of this identity applicable to a general class of distributions. We derive several existing results as special cases of our general identity and discuss some applications.

Suggested Citation

  • Kumar Kattumannil, Sudheesh, 2009. "On Stein's identity and its applications," Statistics & Probability Letters, Elsevier, vol. 79(12), pages 1444-1449, June.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:12:p:1444-1449
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    1. P. Sankaran & N. Nair & T. Sindhu, 2003. "A generalized Pearson system useful in reliability analysis," Statistical Papers, Springer, vol. 44(1), pages 125-130, January.
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    3. Zhang, Lingyun, 2007. "Sample Mean and Sample Variance: Their Covariance and Their (In)Dependence," The American Statistician, American Statistical Association, vol. 61, pages 159-160, May.
    4. Landsman, Zinoviy & Neslehová, Johanna, 2008. "Stein's Lemma for elliptical random vectors," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 912-927, May.
    5. Nicoleris, Theodoros & Sagris, Anthony, 2002. "Random function prediction and Stein's identity," Statistics & Probability Letters, Elsevier, vol. 59(3), pages 293-305, October.
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    Cited by:

    1. Ravi Kashyap, 2016. "The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance," Papers 1603.09060, arXiv.org, revised Jul 2019.
    2. Kashyap, Ravi, 2019. "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).

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