Representation of multivariate Bernoulli distributions with a given set of specified moments

Roberto Fontana and Patrizia Semeraro

Journal of Multivariate Analysis, 2018, vol. 168, issue C, 290-303

Abstract: We propose a simple but new method of characterizing multivariate Bernoulli variables belonging to a given class, i.e., with some specified moments. Within a given class, this characterization allows us to generate easily a sample of mass functions. It also provides the bounds that all the moments must satisfy to be compatible and the possibility to choose the best distribution according to a certain criterion. For the special case of the Fréchet class of the multivariate Bernoulli distributions with given margins, we find a polynomial characterization of the class. Our characterization allows us to have bounds for the higher order moments. An algorithm is presented and illustrated.

Keywords: Algebraic statistics; Correlation; Fréchet class; Multivariate binary distribution; Simulation (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2018.08.003

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