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A first-order Stein characterization for absolutely continuous bivariate distributions

Author

Listed:
  • Lester Charles A. Umali
  • Richard B. Eden
  • Timothy Robin Y. Teng

Abstract

A random variable X has a standard normal distribution if and only if E[f′(X)]=E[Xf(X)] for any continuous and piecewise continuously differentiable function f such that the expectations exist. This first-order characterizing equation, called the Stein identity, has been extended to other univariate distributions. For the multivariate normal distribution, a number of Stein identities have already been developed, all of them second order equations. In this study, we developed a new Stein characterization for the bivariate normal distribution. Unlike many existing multivariate versions in the literature, ours is a system of first-order equations which has the univariate Stein identity as a special case. We also constructed a generalized Stein characterization for other absolutely continuous bivariate distributions. Finally, we illustrated how this Stein characterization looks like for some known absolutely continuous bivariate distributions.

Suggested Citation

  • Lester Charles A. Umali & Richard B. Eden & Timothy Robin Y. Teng, 2024. "A first-order Stein characterization for absolutely continuous bivariate distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(18), pages 6695-6716, September.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:18:p:6695-6716
    DOI: 10.1080/03610926.2023.2250485
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