Philip Andrew Ernst, Ph.D.



About Me: I am currently an Associate Professor at Rice University's Department of Statistics . I am also on the faculty of Rice University's Professional Master's Program in Industrial Engineering

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

Research Interests: Applied probability, exact distribution theory, mathematical finance, optimal stopping, probability theory, statistical inference for stochastic processes, and stochastic control.

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)

Honors
1) 2019 Rice University School of Engineering Teaching and Research Excellence Award Press Release
2) 2018 Institute of Mathematical Statistics Tweedie New Researcher Award   Rice University Announcement
3) (2018-2021) U.S. Army Research Office (ARO) Young Investigator Award
4) (July 2018-Dec 2018) Dobelman Family Junior Chair of Statistics

Research Awards
1) (PI) 2018-2021. Army Research Office (ARO) Young Investigator Award (ARO-YIP-71636-MA). Next-generation quickest detection.
2) (PI) 2018-2021. National Science Foundation (NSF) DMS-1811936. Exact and asymptotic distribution theory for general Gaussian processes.
3) (PI) 2018-2021. Office of Naval Research (ONR) N00014-18-1-2192. Statistical inference for stochastic processes with correlations.
4) (Co-PI) 2017-2019. Clarkson Aerospace Corporation, RICE 17-D-0018-S13. Cyber-spectrum collaborative research environment.

Teaching Awards
1) 2017 Rice University Nicolas Salgo Outstanding Teaching Award Press Release
2) 2016 Rice University Sophia Meyer Farb Prize for Teaching (Phi Beta Kappa Teaching Award) Press Release
3) 2015 Rice University Graduate Student Association Faculty Teaching and Mentoring Award Link
4) 2014 University of Pennsylvania Department of Statistics Donald S. Murray Prize for Excellence in Teaching
5) 2009 University of Pennsylvania Prize for Excellence in Teaching by Graduate Students Link

Editoral Service
1) Guest Editor for "In Memoriam: Larry Shepp," a special issue of Stochastic Processes and their Applications
2) Associate Editor of Stochastics
3) Associate Editor of Statistics & Probability Letters
4) Editor of Communications on Stochastic Analysis

Selected Works
A) 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
B) 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
C) 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
D) Ernst, P.A., Peskir, G., and Zhou, Q. (2019+) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability, to appear. PDF Link to Journal

Papers Under Review
28) Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2019) The distribution of Yule's 'nonsense correlation' PDF
*Two additional manuscripts are under review, and are available upon request.*

Papers Under Invited Revision
27) Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2018) When is it best to follow the leader? PDF
26) Ernst, P.A., Brown, L.D., and Shepp, L.A. (2018) Multiple Collection Estimation of Population Size: A Generalization of ``Capture-Recapture." PDF
25) Ernst, P.A., Imerman, M.B., Shepp, L.A., and Zhou, Q. (2019) A martingale approach to the question of fiscal stimulus. PDF
*One additional manuscript is in under invited revision, and is available upon request.*

Published Papers and Papers in Press
24) Ernst, P.A., Peskir, G., and Zhou, Q. (2019+) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability, to appear. PDF Link to Journal
23) 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
22) Ernst, P.A. and Viens, F.G. (2019) In memory of Larry Shepp: An editorial. High Frequency, 2(2): 74-75. Link to Journal
21) 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
20) 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
19) 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
18) 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
17) 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
16) 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
15) 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
14) Ernst, P.A. (2017) Minimizing Fisher information with absolute moment constraints. Statistics and Probability Letters 129: 167-170. Link to Journal
13) 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
12) 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
11) 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
10) 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
9) 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
8) Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Journal
7) 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
6) 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. Link to Journal
5) Ernst, P.A. (2016) Exercising control when confronted by the (Brownian) spider. Operations Research Letters 44: 487-490. PDF
4) 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
3) 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
2) Ernst, P.A., Foster, D.P., and Shepp, L.A. (2014). On optimal retirement. Journal of Applied Probability 51(2): 333-345. PDF from journal
1) Ernst, P.A. (2014). Multiple Collection Estimation of Population Size: A Generalization of ``Capture-Recapture." Ph.D. thesis.

Postdoctoral Alumni
1) Quan Zhou (April 2017-August 2019)
(August 2019-present) Tenure-track Assistant Professor of Statistics, Texas A&M University

Current Ph.D. students
1) Yizhou Xia (expected graduation Fall 2019)
2) Dongzhou Huang (expected graduation Spring 2022)

Invited Talks: PDF

Research In The News: A 90 Year Old Problem Solved

Recent News
1) March 25, 2019: Ernst named recipient of Rice University School of Engineering Teaching and Research Excellence Award
2) January 1, 2019: Ernst promoted to Associate Professor of Statistics (with tenure)
3) July 27, 2018: Ernst joins editorial board of Stochastics
4) June 11, 2018: Ernst named plenary speaker at Michigan State Symposium on Mathematical Statistics and Applications.
5) May 21, 2018: Ernst awarded Young Investigator Award from the Mathematical Sciences Division of the Army Research Office (ARO)
6) April 1, 2018: Ernst appears on front cover of April/May 2018 IMS Bulletin
7) February 19, 2018: Ernst invited to present the Tweedie New Researcher Invited Lecture at the 2018 New Researchers Conference in Burnaby, BC, Canada
8) February 16, 2018: Ernst named recipient of 2018 IMS Tweedie New Researcher Award
9) October 31, 2017: Ernst named keynote speaker at SRCOS Summer Research Conference

Public Outreach: I was 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

Conference Grant Support for A symposium on optimal stopping (June 25-29, 2018)
1) (PI) Air Force Office of Scientific Research (AFOSR) FA9550-18-1-0365.
2) (PI) Army Research Office (ARO) W911NF1810230.
3) (PI) Intech Investment Management LLC
4) (PI) National Science Foundation (NSF) DMS-1822487
5) (PI) Rice University Center for Computational Finance and Economic Systems
6) (PI) Rice University Creative Ventures

In the Media
10/20/16: Making sense of the `nonsense correlation' in Rice Engineering Magazine (Fall 2016), p.24 Link
5/13/16: Rice University Phi Beta Kappa address Press Release
1/13/16: Powerball drawing Press Release

Course Reviews at Rice University
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.

1) STAT 310 Spring 2015 Spring 2016 Spring 2017 Fall 2018
2) STAT 581 Instructor Review
3) STAT 650 Instructor Review