User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Krause, D.; Scherer, M.; Schwinn, J.; Werner, R. 
Title:
Membership testing for Bernoulli and tail-dependence matrices 
Abstract:
Testing a given matrix for membership in the family of Bernoulli matrices is a longstanding problem, the many applications of Bernoulli vectors in computer science, finance, medicine, and operations research emphasize its practical relevance. A novel approach towards this problem was taken by [Fiebig et al., 2017] for low-dimensional settings d≤6. For the first time, they exploit the close relationship between the Bernoulli polytope (also known as correlation polytope) and the...    »
 
Keywords:
Bernoulli-compatible matrix, tail-dependence matrix, column generation, binary quadratic programming 
Journal title:
Journal of Multivariate Analysis 
Year:
2018 
Year / month:
2018-11 
Month:
Nov 
Journal issue:
168 
Pages contribution:
240-260 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik