Title: High dimensional simulation of exchangeable Bernoulli distributions
Authors: Roberto Fontana - Politecnico di Torino (Italy) [presenting]
Patrizia Semeraro - Politecnico di Torino (Italy)
Abstract: High-dimensional simulation of exchangeable multivariate Bernoulli distributions is a challenging and important issue in applications, as for example in credit risk models. The main contribution is, even for high dimensions, algorithms to sample from exchangeable multivariate Bernoulli distributions and to determine the distributions and the bounds of a wide class of indices and measures of probability mass functions. Unlike the algorithms present in the literature the proposed method gives the possibility to simulate also from negatively correlated distributions. Such a method is based on the geometrical structure of the class of exchangeable Bernoulli probability mass functions, which are points in a convex polytope whose extremal points are analytically known. Estimation and testing are also briefly addressed.