Supporting information and underlying calculations for the article: ANALYSING ASSETS’ PERFORMANCE INSIDE A PORTFOLIO: FROM CROSSED BETA TO THE NET RISK PREMIUM RATIO Bosch-Badia et al.,
Irreversible and rejection-free Monte Carlo methods, recently developed in physics under the name event-chain and known in statistics as piecewise deterministic Monte Carlo (PDMC), have proven to prod
In many practical applications, high-dimensional regression analyses have to take into account measurement error in the covariates. It is thus necessary to extend regularization methods, that can hand
