Assistant Professor

Yi ShenContact Information:
Yi Shen

Personal Website

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 Waterloo since July, 2013 as an assistant professor.

Selected publications

  • Shen, Y. Random locations, ordered random sets and stationarity. Stochastic Processes and their Applications 126:3, 906-929, 2016.
  • Pei, Z. and Shen, Y. The devil is in the tails: Regressing continuity design with measurement error in the assignment variable. Advances in Econometrics Vol. 38: Regression Continuity Designs: Theory and Applications. Accepted.
  • 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.
Affiliation: 
University of Waterloo
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