Building on a new but simple method to characterize multivariate Bernoulli variables with given means, we investigate their dependence structure. We evaluate on some computational examples whether the assumption of exchangeability is binding. This is useful in applications where exchangeability is a standard assumption, such as credit risk.

Computational and Analytical Bounds for Multivariate Bernoulli Distributions / Fontana, Roberto; Semeraro, Patrizia. - In: JOURNAL OF STATISTICAL THEORY AND PRACTICE. - ISSN 1559-8616. - 16:1(2022), pp. 1-12. [10.1007/s42519-021-00231-x]

Computational and Analytical Bounds for Multivariate Bernoulli Distributions

Fontana, Roberto;Semeraro, Patrizia
2022

Abstract

Building on a new but simple method to characterize multivariate Bernoulli variables with given means, we investigate their dependence structure. We evaluate on some computational examples whether the assumption of exchangeability is binding. This is useful in applications where exchangeability is a standard assumption, such as credit risk.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11583/2951774