Membership testing for Bernoulli and tail-dependence matrices
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DOI: 10.1016/j.jmva.2018.07.014
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References listed on IDEAS
- N. Rao Chaganty & Harry Joe, 2006. "Range of correlation matrices for dependent Bernoulli random variables," Biometrika, Biometrika Trust, vol. 93(1), pages 197-206, March.
- Bahjat F. Qaqish, 2003. "A family of multivariate binary distributions for simulating correlated binary variables with specified marginal means and correlations," Biometrika, Biometrika Trust, vol. 90(2), pages 455-463, June.
- Teugels, Jozef L, 1990. "Some representations of the multivariate Bernoulli and binomial distributions," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 256-268, February.
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Cited by:
- Hirbod Assa & Liyuan Lin & Ruodu Wang, 2022. "Calibrating distribution models from PELVE," Papers 2204.08882, arXiv.org, revised Jun 2023.
- Janusz Milek, 2020. "Quantum Implementation of Risk Analysis-relevant Copulas," Papers 2002.07389, arXiv.org, revised Mar 2020.
- Shyamalkumar, Nariankadu D. & Tao, Siyang, 2022. "t-copula from the viewpoint of tail dependence matrices," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
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Keywords
Bernoulli-compatible matrix; Binary quadratic programming; Column generation; Tail-dependence matrix;All these keywords.
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