Characterization of multivariate Bernoulli distributions with given margins

Abstract

We express each Fr\'echet class of multivariate Bernoulli distributions with given margins as the convex hull of a set of densities, which belong to the same Fr\'echet class. This characterisation allows us to establish whether a given correlation matrix is compatible with the assigned margins and, if it is, to easily construct one of the corresponding joint densities. % Such %representation is based on a polynomial expression of the distributions of a Fr\'echet class. We reduce the problem of finding a density belonging to a Fr\'echet class and with given correlation matrix to the solution of a linear system of equations. Our methodology also provides the bounds that each correlation must satisfy to be compatible with the assigned margins. An algorithm and its use in some examples is shown.