A Note on Generalizing and Extending Stein's Lemma
8 Pages Posted: 6 Apr 2016 Last revised: 13 Aug 2020
Date Written: April 3, 2016
We generalize and extend Stein's lemma. That is, we do not assume a specific probability distribution.
Keywords: Stein's Lemma, Probability Distribution, Exact Taylor Expansion, Variance, Covariance
JEL Classification: C0
Suggested Citation: Suggested Citation