A Note on Generalizing and Extending Stein's Lemma

8 Pages Posted: 6 Apr 2016 Last revised: 13 Aug 2020

See all articles by Moawia Alghalith

Moawia Alghalith

University of the West Indies (UWI)

Date Written: April 3, 2016

Abstract

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

Alghalith, Moawia, A Note on Generalizing and Extending Stein's Lemma (April 3, 2016). Available at SSRN: https://ssrn.com/abstract=2758304 or http://dx.doi.org/10.2139/ssrn.2758304

Moawia Alghalith (Contact Author)

University of the West Indies (UWI) ( email )

Trinidad and Tobago

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