This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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44
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Type:
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Contributed
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Date/Time:
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Sunday, August 1, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Biometrics Section
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Abstract - #308564 |
Title:
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A Distribution for the Sum of Correlated Bernoulli Trials
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Author(s):
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Gary Witt*+
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Companies:
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Temple University
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Address:
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, Philadelphia, PA, ,
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Keywords:
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Correlated Bernoulli Trials
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Abstract:
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This paper describes a generalization of the binomial distribution that has been used to model defaults in portfolios of correlated bonds. The closed form distribution function for the probability of k successes out of n correlated, exchangeable Bernoulli trials depends on its three parameters: the number of trials, the common default probability and the common correlation. The distribution is derived from the assumption that the common correlation between all pairs of Bernoulli trials remains unchanged conditional on successes in all completed trials. The distribution may be suited to biostatical applications involving clusters of binary data as are often encountered in repeated measurements or toxicology studies of families of organisms.
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Authors who are presenting talks have a * after their name.
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