I am currently an Associate Professor of Statistics (with tenure) at
Rice University's Department of Statistics.
I was recently promoted to
Full Professor of Statistics (with tenure) at Rice University, effective July 1, 2022.
My research interests include applied probability, exact distribution theory, mathematical finance, mathematical statistics, operations research, optimal stopping, queueing systems, statistical inference for stochastic processes, and stochastic control.
I am currently a Guest Editor for "In Memoriam: Larry Shepp," a special issue of
Stochastic Processes and their Applications.
I serve as an Associate Editor of
Mathematics of Operations Research, as an Associate Editor of
Statistics & Probability Letters, and as an Associate Editor of
Stochastics.
I also serve as an Editor of
Journal of Stochastic Analysis.
To get a taste of some of my current research interests, please see this
video
of a talk given at the Institute for Mathematics and its Applications.
I gratefully acknowledge support from the U.S. Army Research Office Young Investigator Program (ARO-YIP-71636-MA), the U.S. Office of Naval Research (N00014-21-1-2672 and N00014-18-1-2192), and the National Science Foundation (DMS-1811936).
Employment
(Jan 2019-present) Associate Professor of Statistics (with tenure)
(July 2018-Dec 2018) Assistant Professor of Statistics and Dobelman Family Junior Chair of Statistics
(July 2014-June 2018) Assistant Professor of Statistics
Education
Ph.D. in Statistics, The Wharton School of the University of Pennsylvania (2014)
M.A. in Statistics, The Wharton School of the University of Pennsylvania (2010)
B.A.
cum laude in Statistics, Harvard University (2007)
Research In The News
A 90 Year Old Problem Solved
News
-
May 17, 2022: Ernst promoted to Full Professor of Statistics (with tenure) at Rice University!
-
April 25, 2022: Ernst awarded the 2022 George R. Brown Award for Excellence in Teaching (Rice University's most prestigious teaching award). Rice University Anouncement
-
January 31, 2022: Ernst Elected to 2022 COPSS Leadership Academy! Link to COPSS
- November 1, 2021: Appointed ``Chaire Internationale'' (visiting international research chair) at Department of Mathematics, Université Libre de Bruxelles for June 2022.
Rice University Announcement
-
October 20, 2021: The Gerber statistic: a robust co-movement measure for portfolio optimization accepted by The Journal of Portfolio Management
with co-author Harry Markowitz, 1990 Nobel Prize Winner in Economics.
-
August 18, 2021: Quickest real-time detection of a Brownian coordinate drift accepted by The Annals of Applied Probability
-
June 9, 2021: Ernst receives Office of Naval Research (ONR) grant N00014-21-1-2672, entitled Nonparametric tests of independence for pairs of paths of stochastic processes.
-
April 19, 2021: Ernst receives Rice University's George R. Brown Award for Superior Teaching Press Release Rice News
-
March 8, 2021: Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary
accepted by The Annals of Applied Probability
-
January 6, 2021: Ernst joins editorial board of Mathematics of Operations Research
-
September 21, 2020: Ernst named inaugural winner of 2020 INFORMS Donald P. Gaver, Jr. Early Career Award for Excellence in Operations Research (inaugural winner)
Rice University Announcement
IMS Announcement IMS Bulletin (page 2)
-
October 14, 2019: Ernst gives talk at ONR Review at Duke University Talk Slides
-
March 25, 2019: Ernst named recipient of Rice University School of Engineering Teaching and Research Excellence Award
-
January 1, 2019: Ernst promoted to Associate Professor of Statistics (with tenure) [Early Tenure]
-
July 27, 2018: Ernst joins editorial board of Stochastics
-
June 11, 2018: Ernst named plenary speaker at Michigan State Symposium on Mathematical Statistics and Applications.
-
May 21, 2018: Ernst awarded Young Investigator Award from the Mathematical Sciences Division of the Army Research Office (ARO)
-
April 1, 2018: Ernst appears on front cover of April/May 2018 IMS Bulletin
-
February 19, 2018: Ernst invited to present the Tweedie New Researcher Invited Lecture at the 2018 New Researchers Conference in Burnaby, BC, Canada
-
February 16, 2018: Ernst named recipient of 2018 IMS Tweedie New Researcher Award
-
October 31, 2017: Ernst named keynote speaker at SRCOS Summer Research Conference
Selected Works
Legend: (*) denotes a postdoctoral fellow co-author. (**) denotes a Ph.D. student co-author.
(***) denotes a co-author who is a Nobel Prize winner.
- Ernst, P.A. and Peskir, G. (2021+) Quickest real-time detection of a Brownian coordinate drift. The Annals of Applied Probability, to appear. PDF
Link to Journal
-
Ernst, P.A. and Franceschi, S. (2021) Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary. The Annals of Applied Probability, 31(6): 2991-3016. PDF
Link to Journal
-
Ernst, P.A., Peskir, G., and Zhou, Q.* (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
-
Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal
-
Ernst, P.A., Rogers, L.C.G, and Zhou, Q.* (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF
Link to Journal
Video Talk
Papers Under Invited Revision
- Ernst, P.A. and Mei, H.* (2021) Exact optimal stopping for multidimensional linear switching diffusions. PDF
- Bednarz, E., Ernst, P.A., and Osekowski, A. (2021) On the diameter of the stopped spider process. PDF
- Ernst, P.A., Brown, L.D., and Shepp, L.A. (2019) Multiple collection estimation of population size: A generalization of "capture-recapture." PDF
Papers Under Review
- Ernst, P.A., Huang, D.** and Viens, F.G. (2021) Yule’s “nonsense correlation” for Gaussian random
walks. PDF
- Ernst, P.A., Rogers, L.C.G., and Zhou, Q.* (2020) The distribution of Yule's "nonsense correlation." PDF
Published Papers and Papers in Press
- Ernst, P.A. and Peskir, G. (2022+) Quickest real-time detection of a Brownian coordinate drift. The Annals of Applied Probability, to appear. PDF
Link to Journal
- Ernst, P.A., Imerman, M.B., Shepp, L.A., and Zhou, Q.* (2022+) Fiscal stimulus as an optimal control problem. Stochastic Processes and their Applications, to appear. PDF Link to Journal
- Bruss, F.T., Ernst, P.A., and Huang, D.** (2022+) The rencontre problem. Stochastic Processes and their Applications, to appear. PDF Link to Journal
- Ernst, P.A., Kagan, A.M., and Rogers, L.C.G. (2022) The least favorable noise. Electronic Communications in Probability, 27: 1-11. Link to Journal (with PDF)
- Gerber, S., Markowitz, H.M.***, Ernst, P.A., Miao, Y.**, Javid, B., and Sargen, P. (2022) The Gerber statistic: a robust co-movement measure for portfolio optimization.
The Journal of Portfolio Management, 48(3): 87-102. PDF Link to Journal
- Ernst, P.A. and Franceschi, S. (2021) Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary. The Annals of Applied Probability, 31(6): 2991-3016. PDF
Link to Journal
- Ernst, P.A., Franceschi, S., and Huang, D.** (2021) Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. Stochastic Processes and their Applications, 142: 634-670.
Link to Journal (with PDF)
-
Ernst, P.A. and Rogers, L.C.G. (2020) The value of insight. Mathematics of Operations Research, 45(4): 1193-1209. PDF Link to Journal
-
Ernst, P.A., Peskir, G., and Zhou, Q.* (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30(3): 1032-1065. PDF Link to Journal
-
Ernst, P.A., Rogers, L.C.G., and Zhou, Q.* (2020) When is it best to follow the leader? Stochastic Processes and their Applications, 130(6): 3394-3407. PDF Link to Journal
-
Ernst, P.A. and Shaman, P. (2019) The bias mapping of the Yule-Walker estimator is a contraction. Statistica Sinica, 29(4):1831-1849. Link to Journal
-
Ernst, P.A. and Viens, F.G. (2019) In memory of Larry Shepp: An editorial. High Frequency, 2(2): 74-75. Link to Journal
-
Ernst, P.A., Kendall, W.S., Roberts, G.O, and Rosenthal, J.S. (2019) MEXIT: Maximal un-coupling times for stochastic processes. Stochastic Processes and their Applications, 129(2): 355-380. PDF Link to Journal
-
Ernst, P.A. and Soleymani, F. (2019) A Legendre-based computational method for solving a class of Ito stochastic delay differential equations. Numerical Algorithms, 80(4): 1267-1282. PDF Link to Journal
-
Ernst, P.A., Kimmel, M., Kurpas, M., and Zhou, Q.* (2018) Heavy-tailed distributions in branching process models of secondary cancerous tumors. Advances in Applied Probability, 50(A): 99-114. PDF Link to Journal
-
Ernst, P.A., Asmussen, S., and Hasenbein, J.J. (2018) Stability and busy periods in a multiclass queue with state-dependent arrival rates. Queueing Systems, 90: 207-224. PDF Link to Journal
-
Zhou, Q.*, Ernst, P.A., Morgan, K.L, Rubin, D.B., and Zhang, A. (2018) Sequential rerandomization. Biometrika, 105(3): 745-752. PDF Link to Journal
-
Ernst, P.A., Rogers, L.C.G, and Zhou, Q.* (2017) The value of foresight. Stochastic Processes and their Applications, 127(12): 3913-3927. PDF Link to Journal
-
Ernst, P.A., Shepp, L.A., and Wyner, A.J. (2017) Yule's "nonsense correlation" solved! The Annals of Statistics 45(4): 1789-1809. PDF Link to Journal
-
Ernst, P.A. (2017) Minimizing Fisher information with absolute moment constraints. Statistics and Probability Letters 129: 167-170. Link to Journal
-
Ernst, P.A. and Grigorescu, I. (2017) Asymptotics for the time of ruin in the war of attrition. Advances in Applied Probability 49(2): 388-410. PDF Link to Journal
-
Ernst, P.A., Thompson, J.R., and Miao, Y.** (2017). Portfolio selection: the power of equal weight. In Models and Reality: A Festschrift for James R. Thompson , pp. 225-236.
PDF
-
Ernst, P.A., Thompson, J.R., and Miao, Y.** (2017) Tukey's transformational ladder for portfolio management. Financial Markets and Portfolio Management 31(3): 317-355. PDF Link to Journal
-
Ernst, P.A. and Shepp, L.A. (2017) On occupation times of the first and third quadrants for planar Brownian motion. Journal of Applied Probability 54(1): 337-342. PDF Link to Journal
-
Ernst, P.A., Brown, L.D., Shepp, L.A., and Wolpert, R.L. (2017) Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis 155: 180-186. Link to Journal
-
Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Journal
-
Ernst, P.A. and Shepp, L.A. (2016) Eliminating a loophole in the national flood insurance program. Law, Probability and Risk 15(4): 251-258. Link to Journal
-
Ernst, P.A., Pemantle, R., Satopaa, V., and Ungar, L. (2016) Bayesian aggregation of two forecasts in the partial information framework. Statistics and Probability Letters 119: 170-180.
- Ernst, P.A. (2016) Exercising control when confronted by the (Brownian) spider. Operations Research Letters 44: 487-490. PDF Link to Journal
-
Ernst, P.A. and Shepp, L.A. (2016) On the time for Brownian motion to visit every point on a circle. Journal of Statistical Planning and Inference 171: 130-134. PDF Link to Journal
-
Ernst, P.A. and Shepp, L.A. (2015) Revisiting a theorem of L.A. Shepp on optimal stopping. Communications on Stochastic Analysis 9(3): 419-423. PDF Link to Journal
-
Ernst, P.A., Foster, D.P., and Shepp, L.A. (2014). On optimal retirement. Journal of Applied Probability 51(2): 333-345. Link to Journal
-
Ernst, P.A. (2014). Multiple Collection Estimation of Population Size: A Generalization of "Capture-Recapture." Ph.D. thesis.
Current Postdoctoral Fellows (sole advisor)
Former Postdoctoral Fellows (sole advisor)
-
Quan Zhou, Ph.D. (April 2017-August 2019)
Current Employment: Tenure-track Assistant Professor of Statistics, Texas A&M University
- Richard Chen, Ph.D. (September 2020-August 2021)
Current Ph.D. students (sole advisor)
Former Ph.D. Students (sole advisor)
- Yizhou Xia, Ph.D. (graduated December 2019)
Current Employment: Data Strategist at BP
Public Outreach
Philip Ernst served as the director of instruction for the July 28-August 2, 2019 summer session of the
Tapia Center Say STEM Camp at
The Tapia Center for Excellence & Equity at Rice University
In the Media
-
October 20, 2016: Making sense of the 'nonsense correlation' in Rice Engineering Magazine (Fall 2016), p.24 Link
-
May 13, 2016: Rice University Phi Beta Kappa address Press Release
Course Reviews
As an Assistant Professor (tenure-track) and Associate Professor (with tenure) at Rice University, I have taught STAT 310 (undergraduate probability and statistics), STAT 581 (A Ph.D. course in measure-theoretic probability),
and STAT 650 (A Ph.D. course in stochastic differential equations). Course reviews may be found below.
As a Ph.D. candidate at Wharton Statistics, I taught STAT 101 (undergraduate business statistics). The course review is below.
STAT 101
Instructor Review