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SONIA PETRONE

SONIA PETRONE
Full Professor
Department of Decision Sciences

Courses a.y. 2022/2023

20236 TIME SERIES ANALYSIS OF ECONOMIC-FINANCIAL DATA
20592 STATISTICS AND PROBABILITY
40140 BAYESIAN STATISTICAL THEORY II
40331 BAYESIAN METHODS FOR COMPLEX DATA

Courses previous a.y.

Biographical note

I am a Professor of Statistics at Bocconi University, Milan. I was previously employed at the University of Insubria (1998--2001) and at the University of Pavia. I have conducted research visits in several Universities in the USA, Latin America, Europe, India, Russia.

I had an active role in the development of the PhD in Statistics at Bocconi University, of which I have been Vice-Director and Curricula Responsible (2004-2011) and Director (2011-2018). I am the Director of the Bocconi Summer School in Advanced Statistics and Probability since 2017.

I am the Editor of Statistical Science (2020-2022), and have been a co-Editor of Bayesian Analysis (2010-2014).  I have been the President of the International Society for Bayesian Analysis (ISBA) in 2014 (President-Elect 2013, Past President 2015).

 


About

I have been an elected member of the ISBA Board of Directors (twice: 2002-2004 and 2008-2010) and member of the Council of the Institute of Mathematical Statistics (IMS; elected member (2011-2014) and ex-officio for 2020-2022).

My service includes being a reviewer for: European Research Council (ERC)  MIUR, NWO, NSF (USA), FONDECYT (Chile).

I am elected Fellow of ISBA, and an elected member of ISI. I am elected Fellow of the European Laboratory for Intelligent Systems (ELLIS), and a Fellow of the Bocconi Institute of Data Science (BIDSA).

I have been awarded an IMS Medallion Lecture in 2018 and an ISBA Foundational Lecture in 2016.


Research interests

My research is in Bayesian Statistics, covering foundations, with particular focus on the foundational role of prediction, in the legacy of Bruno de Finetti, exchangeability and predictive characterizations; as well as theory and applications, in particular in the broad area of Bayesian nonparametrics and including mixtures and latent variable models, state-space models, empirical Bayes, properties of Bayesian procedures, statistical machine learning.


Working papers

Sariev Hristo; Fortini Sandra; Petrone Sonia
Infinite-color randomly reinforced urns with dominant colors


Rigon, Tommaso;, Scarpa, Bruno; Petrone, Sonia
Enriched Pitman-Yor processes



Selected Publications

Fasano, Augusto; Rebaudo, Giovanni; Durante, Daniele; Petrone, Sonia
A closed-form filter for binary time series
STATISTICS AND COMPUTING, 2021

Fortini, Sandra; Petrone, Sonia; Sariev, Hristo
Predictive constructions based on measure-valued Pólya urn processes
MATHEMATICS, 2021

Fortini Sandra; Petrone Sonia
Quasi‐Bayes properties of a procedure for sequential learning in mixture models
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, 2020

Petrone, Sonia
Bayesian predictive learning beyond exchangeability
2018

Fortini, Sandra; Petrone, Sonia; Sporysheva, Polina
On a notion of partially conditionally identically distributed sequences
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017

Fortini, Sandra; Petrone, Sonia
Predictive distribution (de Finetti's view)
Wiley StatsRef: Statistics Reference Online, 2016

Antoniano-Villalobos, Isadora; Nazarov, Maxim; Petrone, Sonia
A nonparametric latent space model for dynamic relational networks
Statistics and Demography: the Legacy of Corrado Gini, 2015

Petrone, Sonia; Nazarov, M. ; Roy, D.
Representation results for Markov exchangeable sequences of row-column exchangeable arrays
2015

Petrone, Sonia; J. Rousseau; Scricciolo, Catia
Bayes and empirical Bayes: do they merge?
BIOMETRIKA, 2014

Petrone, Sonia; Stefano Rizzelli; Judith Rousseau; Scricciolo, Catia
Empirical Bayes methods in classical and Bayesian inference
METRON, 2014

Fortini, Sandra; Petrone, Sonia
Predictive Characterization of Mixtures of Markov Chains
Bernoulli Journal, 2014

S. Wade; S. Walker; Petrone, Sonia
A predictive study of Dirichlet process mixture models for curve fitting
SCANDINAVIAN JOURNAL OF STATISTICS, 2014

Wade, Sara Kathryn; Dunson, David B.; Petrone, Sonia; Trippa, Lorenzo
Improving prediction from Dirichlet process mixtures via enrichment
JOURNAL OF MACHINE LEARNING RESEARCH, 2014

F. Lisi; M. Grigoletto; Petrone, Sonia
Complex Models and Computational Methods in Statistics
2013

Fortini, Sandra; Petrone, Sonia
Hierarchical reinforced urn processes
STATISTICS & PROBABILITY LETTERS, 2012

Fortini, Sandra; Petrone, Sonia
Predictive construction of priors in Bayesian nonparametrics
REVISTA BRASILEIRA DE PROBABILIDADE E ESTATÍSTICA, 2012

Wade, Sara Kathryn; Mongelluzzo, Silvia; Petrone, Sonia
An enriched conjugate prior for Bayesian nonparametric inference
BAYESIAN ANALYSIS, 2011

G. Petris; Petrone, Sonia
State Space Models in R
JOURNAL OF STATISTICAL SOFTWARE, 2011

Petrone, Sonia; Veronese, Piero
Feller operators and mixture priors in Bayesian nonparametrics
STATISTICA SINICA, 2010

Petrone, Sonia; M. Guindani; A. E. Gelfand
Hybrid Dirichlet mixture models for functional data
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, 2009

Trippa, Lorenzo; Bulla, Paolo; Petrone, Sonia
Extended Bernstein prior via reinforced urn processes
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2009

Petrone, Sonia; Trippa, Lorenzo
Bayesian modeling with nested random partitions
short papers, Sco 2009, 2009

G. Petris; Petrone, Sonia; P. Campagnoli
Dynamic linear models with R
2009

A. E. Gelfand; M. Guindani; Petrone, Sonia
Bayesian nonparametric modelling for spatial data using Dirichlet processes
Bayesian Statistics 8, 2007

N. L. Hjort; Petrone, Sonia
Nonparametric quantile inference with Dirichlet processes
Advances in statistical modeling and inference, 2007


G. Petris; Petrone, Sonia
Bayesian inference for dynamic linear models with random variances.
Classification and Data Analysis 2007, Book of Short Papers, 2007

Petrone, Sonia
On the role of mixtures in Bayesian nonparametrics
XLII Riunione Scientifica della Societac Italiana di Statistica, 2004

Petrone, Sonia
A predictive point of view on Bayesian nonparametrics
Highly Structured Stochastic Systems, 2003

Petrone, Sonia; Wasserman L.
Consistency of Bernstein polynomial posteriors
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, 2002

Petrone S.; Veronese P.
Non parametric mixture priors based on an exponential random scheme
STATISTICAL METHODS & APPLICATIONS, 2002

Campagnoli P.; Muliere P.; Petrone S.
Generalized dynamic linear models for financial time series
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2001


Petrone, Sonia
Random Bernstein polynomials
SCANDINAVIAN JOURNAL OF STATISTICS, 1999

Petrone, Sonia
Bayesian density estimation using Bernstein polynomials
CANADIAN JOURNAL OF STATISTICS, 1999

Petrone, Sonia; Roberts G. O.; Rosenthal J. S.
A note on convergence rates of Gibbs sampling for nonparametric mixtures.
FAR EAST JOURNAL OF THEORETICAL STATISTICS, 1999



Muliere, Pietro; Petrone, Sonia
Inferenza bayesiana nonparametrica
Giornate di Studio su Decisioni Statistiche, 1999


Petrone, Sonia
Analisi bayesiana di modelli "annidati" (Bayesian analysis of nested models)
Atti della XXXIX Riunione Scientifica della Società Italiana di Statistica, 1998

Petrone, Sonia; Mira, A.
Esercizi di Calcolo delle Probabilità
Esercizi di Calcolo delle Probabilità, 1998


Petrone, Sonia
Esercizi di inferenza statistica
Schonenfeld & Ziegler, Milano, 1997

A. Mira; Petrone, Sonia
Bayesian hierarchical nonparametric inference for change-point problems
Bayesian Statistics 5, 1996

Petrone, Sonia; Carota, C.; Corielli, F.
Esercizi di Calcolo delle Probabilità e Statistica Inferenziale
Edizioni Spiegel, Milano, 1995

Petrone Sonia
Esercizi di Statistica descrittiva
Iuculano Editore, Pavia, 1994

Petrone, Sonia
La crescita dell’ Ulva Rigida nella laguna di Venezia: analisi esplorativa e ipotesi per un modello previsivo.
1993

Muliere, Pietro; Petrone, Sonia
A sample monotone dependence function based on the generalized Lorenz curve of concomitants of order statistics
Research on Economic Inequality, Vol 6, Income Distribution, Social Welfare, Inequality and Poverty, 1995

P. Berti; Petrone, Sonia; P. Rigo
Su alcune classi complete di funzioni di decisione
Atti della XXXVII Riunione scientifica della Societ`{a} Italiana di Statistica, 1994

Muliere, Pietro; Petrone, Sonia
A Bayesian predictive approach to sequential searching for an optimal dose: parametric and nonparametric models
JOURNAL OF THE ITALIAN STATISTICAL SOCIETY, 1993

Muliere, Pietro; Petrone, Sonia
Generalized Lorenz curve and monotone dependence orderings
METRON, 1992

Muliere, Pietro; Petrone, Sonia
La ricerca sequenziale di una dose ottimale: impostazione bayesiana previsiva
Atti della XXXVI Riunione Scientifica della Società Italiana di Statistica, 1992

Corielli, Francesco; Petrone, Sonia
Funzioni di decisione bayesiane con leggi di probabilità finitamente additive
Atti della XXXV Riunione Scientifica della Società Italiana di Statistica, 1990