Yi Shen

Associate Professor
Yi Shen

Contact Information:
Yi Shen

Research Interests

My main research area is applied probability. Currently I focus on understanding the relation between the random locations (e.g., the location of the path supremum, the hitting times, etc.) and the probabilistic symmetries of stochastic processes/random fields, such as stationarity, self-similarity, exchangeability, etc. I am also working on characterizing these symmetries using various tools including extreme value theory and ergodic theory.

More generally, I am enthusiastic about various problems in probability, such as random algebraic topology, limit theorems and financial mathematics. I am also interested in the applications of probability in statistics, physics, econometrics and actuarial science.

Education/biography

  • 2013 PhD (Operations Research) Cornell University, U.S.A. Advisor: Gennady Samorodnitsky.
  • 2008 Ingenieur (Quantitative Economics and Finance) Ecole Polytechnique, France.
  • 2005 BS (Mathematics and Physics) Tsinghua University, China.

Professor Shen has joined the Department of Statistics and Actuarial Science at the University of À¶Ý®ÊÓƵ since July, 2013 as an assistant professor.

Selected publications

  • Korting, C., Lieberman, C., Matsudaira, J., Pei, Z. and Shen, Y. Visual inference and graphical representation in regression discontinuity designs. The Quarterly Journal of Economics, 138(3), 1977–2019, 2023.
  • Shen, Y., Wang, Y. and Zhang, N. An aggregated model for Karlin stable processes. ALEA, Lat. Am. J. Probab. Math. Stat. 20, 1187–1210, 2023.
  • Shen, Y., Zhang, Z. On discrete-time self-similar processes with stationary increments. Electronic Journal of Probability 26, 1-24, 2021.
  • Shen, Y. and Wang, Y. Operator-scaling Gaussian random fields via aggregation. Bernoulli, 26(1), 500-530, 2020.
  • Hou, S.-Y., Cao, N., Lu, S., Shen, Y., Poon, Y.-T., Zeng, B. Determining system Hamiltonian from eigenstate measurements without correlation functions. New Journal of Physics 22, 083088, 2020.
  • Shen, J., Shen, Y., Wang, B. and Wang, R. Distributional compatibility for change of measures. Finance and Stochastics, 23(3), 761-794, 2019.
  • Shen, Y. and Wirjanto, T. S. Stationarity as a path property. Probability and Mathematical Statistics, 39(2), 403-422, 2019.
  • Shen, J., Shen, Y. and Wang, R. Random Locations of Periodic Stationary Processes. Stochastic Processes and their Applications, 129(3), 878-901, 2019.
  • Shen, Y. Location of the path supremum for self-similar processes with stationary increments. Annales de l'Institut Henri Poincaré, 54(4), 2349-2360, 2018.
  • Lu, S., Huang, S., Li, K., Li, J., Chen, J., Ji, Z., Shen, Y., Zhou, D., Zeng, B. A Separability-Entanglement Classifier via Machine Learning. Physical Review A 98, 012315, 2018.
  • Pei, Z. and Shen, Y. The devil is in the tails: regression discontinuity design with measurement error in the assignment variable. Advances in Econometrics Vol. 38. Regression Discontinuity Designs: Theory and Applications 455-502, 2017.
  • Shen, Y. Random locations, ordered random sets and stationarity. Stochastic Processes and their Applications 126:3, 906-929, 2016.
  • Chen, J., Ji, Z., Liu, Z., Shen, Y. and Zeng, B. Geometry of reduced density matrices for symmetry-protected topological phase. Physical Review A 93, 012309, 2016.
  • Chen, J., Ji, Z., Li, C-K., Poon, Y-T., Shen, Y., Yu, N., Zeng, B. and Zhou, D. Discontinuity of maximum entropy inference and quantum phase transitions. New Journal of Physics 17 083019, 2015.
  • Samorodnitsky, G. and Shen, Y. Intrinsic location functionals of stationary processes. Stochastic Processes and their Applications 123:11, 4040-4064, 2013.
  • Samorodnitsky, G. and Shen, Y. Is the location of the supremum of a stationary process nearly uniformly distributed? Annals of Probability 41:5, 3494-3517, 2013.
  • Samorodnitsky, G. and Shen, Y. Distribution of the supremum location of stationary processes. Electronic Journal of Probability 17:42, 1-17, 2012.
Links
Contact information: Yi Shen