Philip Andrew Ernst, Ph.D.



About Me: Assistant Professor of Statistics, Rice University (2014-)

Education
B.A. cum laude in Statistics, Harvard University (2007)
M.A. in Statistics, The Wharton School of the University of Pennsylvania (2010)
Ph.D. in Statistics, The Wharton School of the University of Pennsylvania (2014)

Upcoming Conference at Rice University (June 25-29, 2018)
A symposium on optimal stopping

Editoral Service
1) Associate Editor of Statistics & Probability Letters
2) Editoral Board of Communications on Stochastic Analysis

Research Interests: Applied Probability, Asymptotic Statistics, Exact Distribution Theory, Probabilistic Coupling, Quantitative Finance, Queueing Systems, Optimal Stopping, Stochastic Control, Time Series Analysis.

Research In The News: A 90 Year Old Problem Solved

Recent News
1) Ernst keynote speaker at SRCOS Summer Research Conference (June 2018)
2) Ernst joins editoral board of Communications on Stochastic Analysis (December 2017)
3) Ernst joins Statistics & Probability Letters as Associate Editor (November 2017)

Selected Research Articles
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., Foster, D.P., and Shepp, L.A. (2014). On optimal retirement. Journal of Applied Probability 51(2): 333-345. PDF from Journal

Published Papers and Papers in Press
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 Article
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 Article
8) Ernst, P.A. (2017) On the arbitrage price of European call options. Stochastic Models 33(1): 48-58. Link to Article
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 Article
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 Article
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, The Wharton School of the University of Pennsylvania.

Articles Under Review or Revision
a) Ernst, P.A., Kimmel, M., Kurpas, M., and Zhou, Q. (2018) Thick distribution tails in models of cancer secondary tumors. PDF
b) Zhou, Q., Ernst, P.A., Morgan, K.L, Rubin, D.B., and Zhang, A. (2017) Sequential rerandomization. PDF
c) Ernst, P.A., Kendall, W.S., Roberts, G.O, and Rosenthal, J.S. (2017) MEXIT: Maximal un-coupling times for stochastic processes. PDF
d) Ernst, P.A., Asmussen, S., and Hasenbein, J. (2017) Stability and busy periods in a multiclass queue with state-dependent arrival rates. PDF
e) Ernst, P.A. (2017) The volatility of correlation of correlated Wiener processes.
f) Ernst, P.A. and Shaman, P. (2017) The bias mapping of Yule-Walker is a contraction.
g) Brown, L.D., Ernst, P.A., and Shepp, L.A. (2017) Multiple collection estimation of population size: A generalization of ``capture-recapture."
h) A Legendre-based computational method for solving a class of Ito stochastic delay differential equations.
i) The value of insider information.

Invited Talks: PDF

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