Nicholas Polson
Encyclopedia
Nicholas Polson is a British
statistician
who is currently a professor of econometrics
and statistics
at the University of Chicago Booth School of Business. His works are primarily in Bayesian statistics
, Markov chain Monte Carlo
and Sequential Monte Carlo, (aka Particle filter
). Polson was educated at Worcester College, Oxford
University and the University of Nottingham
where his PhD supervisor was Adrian Smith
.
United Kingdom
The United Kingdom of Great Britain and Northern IrelandIn the United Kingdom and Dependencies, other languages have been officially recognised as legitimate autochthonous languages under the European Charter for Regional or Minority Languages...
statistician
Statistician
A statistician is someone who works with theoretical or applied statistics. The profession exists in both the private and public sectors. The core of that work is to measure, interpret, and describe the world and human activity patterns within it...
who is currently a professor of econometrics
Econometrics
Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...
and statistics
Statistics
Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....
at the University of Chicago Booth School of Business. His works are primarily in Bayesian statistics
Bayesian statistics
Bayesian statistics is that subset of the entire field of statistics in which the evidence about the true state of the world is expressed in terms of degrees of belief or, more specifically, Bayesian probabilities...
, Markov chain Monte Carlo
Markov chain Monte Carlo
Markov chain Monte Carlo methods are a class of algorithms for sampling from probability distributions based on constructing a Markov chain that has the desired distribution as its equilibrium distribution. The state of the chain after a large number of steps is then used as a sample of the...
and Sequential Monte Carlo, (aka Particle filter
Particle filter
In statistics, particle filters, also known as Sequential Monte Carlo methods , are sophisticated model estimation techniques based on simulation...
). Polson was educated at Worcester College, Oxford
Worcester College, Oxford
Worcester College is one of the constituent colleges of the University of Oxford in England. The college was founded in the eighteenth century, but its predecessor on the same site had been an institution of learning since the late thirteenth century...
University and the University of Nottingham
University of Nottingham
The University of Nottingham is a public research university based in Nottingham, United Kingdom, with further campuses in Ningbo, China and Kuala Lumpur, Malaysia...
where his PhD supervisor was Adrian Smith
Adrian Smith (academic)
Sir Adrian Frederick Melhuish Smith FRS is a distinguished British statistician and formerly Principal of Queen Mary, University of London. He was previously at Imperial College, London where he was head of the Mathematics Department. He is a member of the governing body of the London Business...
.
Selected publications
- Eraker, B., M. Johannes and N.G. Polson, "The Impact of Jumps in Volatility in Returns," (2003) Journal of Finance, 58, 3, 1269–1300.
- Carlin, B.P., N.G. Polson and D.S. Stoffer, "A Monte Carlo Approach to Non-Normal and Non-Linear State Space Modelling" (1992) Journal of American Statistical Association, 87, 493–500.