2021/01/19 by Roberto Fontana, Fontana, Roberto, Patrizia Semeraro +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Risk and Portfolio Optimization #Statistical Methods and Inference #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.ST #stat.TH
paper · pdf · doi:10.48550/arxiv.2101.07693
arxiv created 2021/01/19 · openalex publication_date 2021/01/19 · arxiv updated 2021/01/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We explore the class of exchangeable Bernoulli distributions building on their geometrical structure. Exchangeable Bernoulli probability mass functions are points in a convex polytope and we have found analytical expressions for their extremal generators. The geometrical structure turns out to be crucial to simulate high dimensional and negatively correlated binary data. Furthermore, for a wide class of statistical indices and measures of a probability mass function we are able to find not only their sharp bounds in the class, but also their distribution across the class. Estimate and testing are also addressed.