IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v32y1990i2p256-268.html
   My bibliography  Save this article

Some representations of the multivariate Bernoulli and binomial distributions

Author

Listed:
  • Teugels, Jozef L

Abstract

Multivariate but vectorized versions for Bernoulli and binomial distributions are established using the concept of Kronecker product from matrix calculus. The multivariate Bernoulli distribution entails a parameterized model, that provides an alternative to the traditional log-linear model for binary variables.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:jmvana:v:32:y:1990:i:2:p:256-268
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(90)90084-U
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
    2. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    3. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
    4. Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
    5. Lee, David, 2023. "Modeling Collateralization and Its Economic Significance," MPRA Paper 118678, University Library of Munich, Germany.
    6. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Papers 1803.07843, arXiv.org.
    7. White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
    8. Wermuth, Nanny & Marchetti, Giovanni M. & Zwiernik, Piotr, 2014. "Binary distributions of concentric rings," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 252-260.
    9. Ip, Edward H. & Wang, Yuchung J. & Yeh, Yeong-nan, 2004. "Structural decompositions of multivariate distributions with applications in moment and cumulant," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 119-134, April.
    10. Taylor, James W., 2017. "Probabilistic forecasting of wind power ramp events using autoregressive logit models," European Journal of Operational Research, Elsevier, vol. 259(2), pages 703-712.
    11. Tim, Xiao, 2019. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 94701, University Library of Munich, Germany.
    12. Teugels, J. L. & Van Horebeek, J., 1998. "Algebraic Descriptions of Nominal Multivariate Discrete Data," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 203-226, November.
    13. Lovison, Gianfranco, 2006. "A matrix-valued Bernoulli distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1573-1585, August.
    14. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Working Papers hal-01739310, HAL.
    15. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2022. "Stochastic representation of FGM copulas using multivariate Bernoulli random variables," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    16. Andrea Collevecchio & Robert Griffiths, 2023. "A Class of Non-Reversible Hypercube Long-Range Random Walks and Bernoulli Autoregression," Journal of Theoretical Probability, Springer, vol. 36(1), pages 623-645, March.
    17. Zhigang Li & Katherine Lee & Margaret R. Karagas & Juliette C. Madan & Anne G. Hoen & A. James O’Malley & Hongzhe Li, 2018. "Conditional Regression Based on a Multivariate Zero-Inflated Logistic-Normal Model for Microbiome Relative Abundance Data," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 10(3), pages 587-608, December.
    18. Albert Maydeu-Olivares & Harry Joe, 2006. "Limited Information Goodness-of-fit Testing in Multidimensional Contingency Tables," Psychometrika, Springer;The Psychometric Society, vol. 71(4), pages 713-732, December.
    19. Fontana, Roberto & Semeraro, Patrizia, 2018. "Representation of multivariate Bernoulli distributions with a given set of specified moments," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 290-303.
    20. Alberto Maydeu-Olivares & Rosa Montaño, 2013. "How Should We Assess the Fit of Rasch-Type Models? Approximating the Power of Goodness-of-Fit Statistics in Categorical Data Analysis," Psychometrika, Springer;The Psychometric Society, vol. 78(1), pages 116-133, January.
    21. Euán, Carolina & Sun, Ying, 2020. "Bernoulli vector autoregressive model," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
    22. Maydeu-Olivares, Albert, 2002. "Limited information estimation and testing of Thurstonian models for preference data," Mathematical Social Sciences, Elsevier, vol. 43(3), pages 467-483, July.
    23. Krause, Daniel & Scherer, Matthias & Schwinn, Jonas & Werner, Ralf, 2018. "Membership testing for Bernoulli and tail-dependence matrices," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 240-260.
    24. Wu, Jianmin & Bentler, Peter M., 2013. "Limited information estimation in binary factor analysis: A review and extension," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 392-403.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:32:y:1990:i:2:p:256-268. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.