3 citations · 3 across the 2 of their papers we have counts for
5 papers
Exchangeable Bernoulli distributions: high dimensional simulation, estimate and testing
Roberto Fontana, Patrizia Semeraro
We explore the class of exchangeable Bernoulli distributions building on their geometrical structure. Exchangeable Bernoulli probability mass functions are points in a convex polyt…
On non-linear dependence of multivariate subordinated Lévy processes
Elvira Di Nardo, Marina Marena, Patrizia Semeraro
Multivariate subordinated Lévy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets…
Model Risk in Credit Risk
Roberto Fontana, Elisa Luciano, Patrizia Semeraro
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the…
Characterization of multivariate Bernoulli distributions with given margins
Roberto Fontana, Patrizia Semeraro
We express each Fréchet class of multivariate Bernoulli distributions with given margins as the convex hull of a set of densities, which belong to the same Fréchet class. This char…
Graphical models for studying museum networks: the Abbonamento Musei Torino Piemonte
Cristina Coscia, Roberto Fontana, Patrizia Semeraro
Probabilistic graphical models are a powerful tool to represent real-word phenomena and to learn network structures starting from data. This paper applies graphical models in a new…