Jonathan Stroud

onathan Stroud is an Associate Professor of Statistics in the Operations and Information Management area at Georgetown University's McDonough School of Business. He was previously a faculty member at the Wharton School of Business (University of Pennsylvania) and George Washington University. He earned his PhD in Statistics at Duke University, and was a postdoctoral fellow at the University of Chicago and Argonne National Laboratory. His research areas include Bayesian statistics, financial time series, spatial statistics, Monte Carlo methods, Big Data, and stochastic volatility models. Much of his research is cross-disciplinary, and he collaborates frequently with researchers in finance, geophysics and medicine.

Education

Duke University - Ph.D., Statistics

Publications

Articles in Journals (19)

Stroud, J.R., Katzfuss, M. and Wikle, C.K.. "A Bayesian Ensemble Kalman Filter for Sequential State and Parameter Estimation." Monthly Weather Review, To appear. (2017)

Stroud, J. R., Stein, M. L. and Lysen, S. "Bayesian and Maximum Likelihood Estimation of Gaussian Processes on an Incomplete Lattice." Journal of Computational and Graphical Statistics, 26 (2017): 108-120.

Katzfuss, M., Stroud, J. R. and Wikle, C. K. "Understanding the Ensemble Kalman Filter." The American Statistician, 70 (2016): 350-357.

Hubbard, R. A., Lange, J., Zhang, Y., Salim, B. A., Stroud, J. R. and Inoue, L. Y. T. "Using Semi-Markov Processes to Study Timeliness and Tests used in the Diagnostic Evaluation of Suspected Breast Cancer." Statistics in Medicine, 35 (2016): 4980-4993.

Stroud, J.R. and Johannes, M.S. "Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility." Journal of the American Statistical Association, 109 (2014): 1368-1384.

Spaeder, M.C., Stroud, J.R. and Song, X. "Time Series Model to Predict Impact of H1N1 Influenza on a Children's Hospital." Epidemiology and Infection, 15 (2012): 978-990.

Stroud, J.R., Stein, M.L., Lesht, B.M., Schwab, D.J. and Beletsky, D. "An Ensemble Kalman Filter and Smoother for Satellite Data Assimilation." Journal of the American Statistical Association, 104 (2010): 978-990.

Stroud, J. R., Lesht, B. M., Schwab, D. J., Beletsky, D. and Stein, M. L. "Assimilation of Satellite Images into a Sediment Transport Model of Lake Michigan." Water Resources Research, 45 (2009): W02419.

Johannes, M.S., Polson, N.G. and Stroud, J.R. "Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices." Review of Financial Studies, 22 (2009): 2559-2599.

Polson, N. G., Stroud, J.R. and Mueller, P. "Practical Filtering with Sequential Parameter Learning." Journal of the Royal Statistical Society, Series B, 70 (2008): 413-428.

Weinberg, J., Brown, L.D. and Stroud, J.R. "Bayesian Forecasting of an Inhomogeneous Poisson Process with Applications to Call Center Data." Journal of the American Statistical Association, 102 (2007): 1185-1199.

Lee, C., Schwab, D. J., Beletsky, D., Stroud, J. R. and Lesht, B. M. "Numerical Modeling of Mixed Sediment Resuspension, Transport, and Deposition during the March 1998 Episodic Events in Southern Lake Michigan." Journal of Geophysical Research, 112 (2007): C02018.

Stroud, J.R. and Bengtsson, T. "Sequential State and Variance Estimation within the Ensemble Kalman Filter." Monthly Weather Review, 135 (2007): 3194-3208.

Brandt, M.W., Goyal, A., Santa-Clara, P. and Stroud, J.R. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning about Return Predictibility." Review of Financial Studies, 18 (2005): 831-873.

Huerta, G., Sanso, B. and Stroud, J.R. "A Spatio-Temporal Model for Mexico City Ozone Levels." Journal of the Royal Statistical Society, Series C, 53 (2004): 231-248.

Stroud, J.R., Mueller, P. and Polson, N.G. "Nonlinear State-Space Models with State-Dependent Variances." Journal of the American Statistical Association, 98 (2003): 377-386.

Lesht, B. M., Stroud, J. R., McCormick, M. J., Fahnenstiel, G. L., Stein, M. L., Welty, L. J. and Leshkevich, G. A. "An Event-Driven Phytoplankton Bloom in Southern Lake Michigan Observed by Satellite." Geophysical Research Letters, 29 (2002): 013533.

Stroud, J.R., Mueller, P. and Sanso, B. "Dynamic Models for Spatiotemporal Data." Journal of the Royal Statistical Society, Series B, 63 (2001): 673-689.

Stroud, J.R., Mueller, P. and Rosner, G.L. "Optimal Sampling Times for Population Pharmacokinetic Studies." Journal of the Royal Statistical Society, Series C, 50 (2001): 345-359.

Articles in Conference/Workshop Proceedings (2) Polson, N.G., Stroud, J.R. and Mueller, P. "Practical Filtering for Stochastic Volatility Models." , 236-247. Cambridge University Press, 2004.

Polson, N.G. and Stroud, J.R. "Bayesian Inference for Derivative Prices." , 641-650. Oxford University Press, 2003.