Last modified: Thu Jul 6 22:01:29 UTC 2023

Dean Foster's Research

I have a discussion of the papers I have written. Google scholar is better at keeping information up-to-date than I am. So here is their page about me. I'm a bit better about keeping my vita up to date.

Recent talks

• Linear methods for large data. This is the talk I gave at the ICML tutorial.
• Tutorial at NAACL.

Papers in progress

• A Level-Set Hit-and-Run Sampler for Quasi-Concave Distributions with Shane T. Jensen.
• A Wealth-Requirement Axiomatization of Riskiness with Sergiu Hart.
• The power of a few large blocks, with Dongyu Lin.
• A risk ratio comparison o L0 and L1 penalized regressions with Dongyu Lin and Lyle Ungar.
• A martingale test of alpha, with Robert Stine and Peyton Young.
• An operational measure of risk, with Sergiu Hart (latest, talk, page proofs, scanned)
• Hedge Fund Game, (older version) with H. Peyton Young. (The Economists voice version.)
  • FT discussion of our article
  • Institutional investor alpha article by Michael Peltz (Jan 2009) (mirror)
  • Mallaby in the Washington Post.
  • FT article by Martin Wolf. (mirror)
  • EMII
  • mentioned in bloomberg
  • Blogs:
    • Financial Croockery
    • Krugman
    • Marginal Revolution
    • calculated risk
    • NYT blog
  • today show
  • mostly economics
  • knowledge at Wharton wrote it up also. (or here)
  • See also the ponzironi notes below, and the "Being Warren Buffett" for related ideas.
• Early retirement via leverage, with Sham Kakade and Orit Ronen.
• "Multi-View Regression via Canonical Correlation Analysis" with Sham Kakade. (slides.pdf)
• Alpha-investing: A procedure for sequential control of expected false discoveries (.pdf) with Robert Stine. (talk, code)
• "Determinisic calibration with simplier checking rules," with Sham M. Kakade, (.pdf), (.pdf, UMCP)
• Estimating the forward curve, (.pdf) with C. T. Chua, K. Ramaswamy, R. Stine.
• On the Lower Limits of Entropy with Adi Wyner.
• The contribution of parameters to stochastic complexity, with Robert Stine.
• "Adaptive variable selection with Bayesian oracles." (valencia talk)) with Robert Stine.
• "Learning, Hypothesis Testing, and Nash Equilibrium", with H. P. Young.
• Ponzironi is a concept that Bob Stine and I are working on. We haven't gotten a paper that is ready to circulate as of yet. In the mean time, here is a (.pdf) Using these idea I've done a Preliminary data analysis on Fama-french. I have some very crude draft of some notes on (.pdf) and a lighter version). I've been told these aren't ready to be put on the web--but do to there not going anywhere, I'll leave them up for now.

Refereed Papers

• "Estimating Reading Growth Attributable to Accelerated Reader at One American School in the Caribbean", with David Foster, 2014.
• "A strategy-proof test of portfolio returns" with H. Peyton Young, Quantitative Finance, 2013.
• "Spectral Dependency Parsing with Latent Variables" with Paramveer Dhillon, Jordan Rodu, Michael Collins, and Lyle Ungar, EMNLP 2012.
• `` The effect of winning an Oscar Award on survival: Correcting for healthy performer survivor bias with a rank preserving structural accelerated failure time model,'' with Xu Han, Dylan Small, and Vishal Patel Annals of Applied Statistics}, 2011, 746-772.
• VIF regression: A fast regression algorithm for large data, with Dongyu Lin and Lyle Ungar, to appear in JASA.
• Iformation Consistency of Nonparametric Gaussian Process Methods with Seeger, M. W., Kakade, S. M. Information Theory, IEEE Transactions on 2008, 2376 - 2382.
• "Honest Confidence Intervals for the Error Variance in Stepwise Regression" Robert Stine , Journal of Economic and Social Measurement, 2006.
• "Regret testing: learning to play a Nash equilibrium without knowing you have an opponent,"(journal version) with H. Peyton Young, Theoretical Economics, 2006.
• Being Warren buffett American statistician, 2005.
• ""Variable selection in data mining: Building a predictive model for bankruptcy," (talk) with Robert Stine , JASA, 2004. (sample data bankruptcy.tar.gz)
• "Universal Codes for Finite Sequences of Integers Drawn from a Monotone Distribution", with R. Stine and A.J. Wyner, To Appear in the  IEEE Transactions on Information Theory, 2002.
• "On the Impossibility of Predicting the Behavior of Rational Agents," with H.P. Young, PNAS, 2001.
• "Empirical Bayes Variable Selection, (pdf)" with Edward George, Biometrika, 2000.
• "Introduction to the Special Issue," (in honor of David Blackwell) with R. Vohra, D. Levine, Games and Economic Behavior, (1999), 1 - 7.
• "Regret in the On-line Decision Problem," with Rakesh Vohra, Games and Economic Behavior, 1999, 7 - 36.
• "A proof of Calibration via Blackwell's Approchability Theorem," Games and Economic Behavior, 1999, 73 - 79.
• "Local Asympotic Coding and the Minimum Description Length (pdf)," with Robert Stine , , IEEE Transaction on Information Theory, (1999) 1289 - 1293.
• "Competitive Algorithms for Layered Graph Traversal," with A. Fiat, H. Karloff, Y. Rabani, Y. Ravid, and S. Vishwanathan, SIAM Journal on Computing, 1999.
• "On the Nonconvergence of Fictitious Play in Coordination Games," with H. P. Young, Games and Economic Behaviour, 1998, 79 - 96.
• "Asymptotic Calibration," with Rakesh Vohra, Biometrika, 1998.
• "Calibrated Learning and Correlated Equilibrium," with Rakesh Vohra Games and Economic Behaviour., 1997.
• "Precision and Accuracy of Judgmental Estimation," with I. Yaniv, Journal of Behavioral Decision Making 10, (1997), 21 - 32.
• "Learning with Hazy Beliefs," with H. P. Young, (1997) Institute Vienna Circle proceedings.
• "Continuous Record Asymptotics for Rolling Sample Variance Estimators," (.pdf) with D. Nelson, Econometrica , 64, (1996), 139 - 174.
• "An Axiomatic Characterization of a Class of Location in Tree Networks," (JSTOR) with Rakesh Vohra, Operations Research., 1998.
• A Simple Ancillarity Paradox," with Edward George, Scandinavian Journal of Statistics, 23, (1996), 233 - 242.
• "Filtering and Forecasting with Misspecified ARCH Models: Making the Right Forecast with the Wrong Model," with D. Nelson, Journal of Econometrics, 67, (1995), 303 - 335.
• "Graininess of Judgment Under Uncertainty: An Accuracy - informativeness Tradeoff," with I. Yaniv, Journal of Experimental Psychology: General, 124, (1995), 424 - 432.
• "Asymptotic Filtering Theory for Univariate ARCH Models," with D. Nelson, Econometrica 62, (1994), 1 - 41.
• "The Risk Inflation Criterion for Multiple Regression" with E. George, The Annals of Statistics, 22, (1994), 1947 - 1975.
• "A Randomization Rule for Selecting Forecasts," with Rakesh Vohra, Operations Research, 41, (1993), 704 - 709, with discussion by R. Clemen.
• "Estimation up to a Change Point," with Edward George, The Annals of Statistics, 21, (1993), 625 - 644.
• "An Economic Argument for Affirmative Action," with Rakesh Vohra, Rationality and Society, 4, (1992), 176 - 188, with discussion by G. Loury, by D. Friedman, and by J. Heckman and T. Philipson.
• "A Probabilistic Analysis of the K - location Problem," with Rakesh Vohra, American Journal of Mathematical and Management Sciences, 12, (1992), 75 - 87, winner of the 1993 Jacob Wolfowitz prize.
• "Prediction in the Worst Case," The Annals of Statistics, 19, (1991), 1084 - 1090. o
• "Cooperation in the Short and in the Long Run," with H.P. Young, Games and Economic Behavior, 3, (1991), 145 - 156.
• "Stochastic Evolutionary Games Dynamics,"(.pdf) with H.P. Young, Journal of Theoretical Population Biology, 38, (1990), 219 - 232.
• "Probabilistic Analysis of a Heuristic for the Dual Bin Packing Problem," with Rakesh Vohra, Information Processing Letters, 31, (1989), 287 - 290.

Books

• Business Statistics: A Casebook, with Robert Stine and Richard Waterman, Springer-Verlag, 1998.
• Business Analysis using Regression: A Casebook, with Robert Stine and Richard Waterman, Springer-Verlag, 1998.

Refereed Conference Papers

• Deterministic Calibration and Nash Equilibrium with Sham M. Kakade, COLT, 2004.
• "Cost and trust in an on-line auctions," with Lyle Ungar and David Parks, AMET-98.
• "Characterizing the generalization performance of model selection strategies," with D. Schuurmans and L. Ungar, ICML proceedings (1997).
• "Competitive Algorithms for Layered Graph Traversal," with A. Fiat, H. Karloff, Y. Rabani, Y. Ravid, and S. Vishwanathan, in Proc. 32nd Symposium on Foundations of Computer Science, Puerto Rico, (1991), 288 - 297.

Unrefereed Conference Papers

• Clustering Methods for Collaborative Filtering, with L. Ungar.

Eigenwords

by Dean P Foster