3 citations · 4 across the 4 of their papers we have counts for
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High dimensional Bernoulli distributions: algebraic representation and applications
Roberto Fontana, Patrizia Semeraro
The main contribution of this paper is to find a representation of the class of multivariate Bernoulli distributions with the same mean that allows us to fin…
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…
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…