Employment:
(1/15/19-present) Associate Professor of Statistics (with tenure)
(7/1/18-1/14/19) Assistant Professor of Statistics and Dobelman Family Junior Chair
(7/1/14-6/30/18) 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)
Awards and Honors
1) 2018 IMS Tweedie New Researcher Award Rice University Announcement
2) (2018-2021) Army Research Office (ARO) Young Investigator Award
3) (July 2018-) Dobelman Family Junior Chair of Statistics
Research Interests: Applied probability, exact distribution theory, stochastic control, mathematical finance, optimal stopping, and statistical inference for stochastic processes.
Grant Support
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.
Conference at Rice University (June 25-29, 2018)
A symposium on optimal stopping
Editoral Service
1) Associate Editor of Stochastics
2) Associate Editor of Statistics & Probability Letters
3) 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., 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
Published Papers and Papers in Press
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., Kimmel, M., Kurpas, M., and Zhou, Q. (2018+) Thick distribution tails in models of cancer secondary tumors. Advances in Applied Probability, 50A, to appear. PDF
19) Ernst, P.A. and Soleymani, F. (2018+) A Legendre-based computational method for solving a class of Ito stochastic delay differential equations. Numerical Algorithms, to appear. PDF Link to Journal
18) Ernst, P.A. and Shaman, P. (2018+) The bias mapping of the Yule-Walker estimator is a contraction. Statistica Sinica, to appear. Journal PDF
17) 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
16) 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
15) 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
14) 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
13) Ernst, P.A. (2017) Minimizing Fisher information with absolute moment constraints. Statistics and Probability Letters 129: 167-170. Link to Journal
12) 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
11) 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
10) 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
9) 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
8) 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
7) Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Journal
6) 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
5) 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
4) Ernst, P.A. (2016) Exercising control when confronted by the (Brownian) spider. Operations Research Letters 44: 487-490.
PDF
3) 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
2) 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
1) 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
Articles Under Review or Revision
a) Ernst, P.A., Rogers, L.C.G., and Zhou, Q. (2018) When is it best to follow the leader? PDF
b) Ernst, P.A., Peskir, G., and Zhou, Q. (2018) Optimal real-time detection of a drifting Brownian coordinate
PDF
Three other manuscripts not listed above are in review and/or revision, and are available upon request.
Research In The News: A 90 Year Old Problem Solved
Recent News
1) January 15, 2019: Ernst promoted to Associate Professor of Statistics (with tenure)
2) July 27, 2018: Ernst joins editorial board of Stochastics
3) June 11, 2018: Ernst named plenary speaker at Michigan State Symposium on Mathematical Statistics and Applications.
4) May 21, 2018: Ernst awarded Young Investigator Award from the Mathematical Sciences Division of the Army Research Office (ARO)
5) April 1, 2018: Ernst appears on front cover of April/May 2018 IMS Bulletin
6) February 19, 2018: Ernst invited to present the Tweedie New Researcher Invited Lecture at the 2018 New Researchers Conference in Burnaby, BC, Canada
7) February 16, 2018: Ernst named recipient of 2018 IMS Tweedie New Researcher Award
8) October 31, 2017: Ernst named keynote speaker at SRCOS Summer Research Conference
Invited Talks: PDF
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
Teaching Awards at Rice University
2017 Nicolas Salgo Outstanding Teaching Award (university-wide prize awarded to one Professor annually for excellence in teaching) Press Release
2016 Sophia Meyer Farb Prize for Teaching (Phi Beta Kappa Teaching Award) (university-wide prize awarded to one Assistant Professor annually for excellence in teaching) Press Release
2015 Graduate Student Association Faculty Teaching and Mentoring Award (university-wide prize awarded to two Professors annually) Link
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
STAT 310 (Undergraduate course) Instructor Review Course Review
STAT 581 (Ph.D. course) Instructor Review Course Review
STAT 650 (Ph.D. course) Instructor Review Course Review