Gw mau tau Statement of the lemma dari Stein's lemma. Jelasin dalam bahasa sunda

Suppose X is a normally distributed random variable with nilai ekspektasi μ and varian σ2.  Further suppose g is a function for which the two expectations E( g(X) (X − μ) ) and E( g ′(X) ) both exist (the existence of the expectation of any random variable is equivalent to the finiténess of the expectation of its absolute value).  Then

In order to prove this lemma, recall that the probability density function for the normal distribution with expectation 0 and variance 1 is

and that for a normal distribution with expectation μ and varian σ2 is

Then use integration by parts.