Paul Damien
Professor
Department: Information, Risk & Operations Management
Additional Titles: B.M. (Mack) Rankin, Jr., Professor of Business Administration
Industry Areas: Energy, Financial Services, Pharmaceuticals
Research Areas: Bayesian Methods, Knowledge Management, Option Pricing, Risk Management
Paul Damien is the B.M. Rankin Jr. Professor of Business Administration in the McCombs School of Business’ Department of Information, Risk, and Operations Management at The University of Texas at Austin. He is also a professor in the Department of Statistics and Data Sciences in UT’s College of Natural Sciences.
His research interests lie at the intersection of mathematics, Bayesian statistics, and applications in business, engineering, and stochastic optimization. Damien is a fellow of the Royal Statistical Society in the United Kingdom. He has twice received the United Kingdom Engineering and Physical Sciences Research Council Research Award, and he has been awarded the United Kingdom Overseas Visiting Fellowship by the Royal Statistical Society.
Damien has a Ph.D. in mathematics from the Imperial College of London. Before coming to UT in 2004, he taught at the University of Michigan Ross School of Business. He has been a visiting scholar at the Department of Economics in the University of Groningen in the Netherlands, and he consults for several companies in a variety of industries worldwide.
His nonacademic books include the nonfiction Help! Debunking the Outrageous Claims of Self-Help Gurus and thriller novels such as Nannerl’s Symphony.
ACADEMIC LEADERSHIP & AWARDS
1998 |
United Kingdom Engineering and Physical Sciences Research Council Research Award |
1998 |
United Kingdom Overseas Visiting Fellowship by the Royal Statistical Society |
Publications
Kang Hua Cao, Paul Damien, and Jay Zarnikau. 2021. A Latent-Factor System Model for Real-Time Electricity Prices in Texas. Applied. Sciences 11 (15), 7039.
Tahir Ekin and Paul Damien. 2021. Analysis of Healthcare Billing via Quantile Variable Selection Methods. HealthCare 9 (10), 1274.
Tahir Ekin, Paul Damien, and Jay Zarnikau. 2020. Estimating Marginal Effects of Key Factors That Influence Wholesale Electricity Demand and Price Distributions in Texas Via Quantile Variable Selection Methods. Journal of Energy Markets 13, 1-30.
F. Ghirimoldi, S. Schmidt, C. Wang, Z. Wang, B.B. Brimhall, P. Damien, E.E. Moffett, L.S.M. Manuel, Z.U. Sarwar, and P.K. Shireman. 2021. Association of Socioeconomic Area Deprivation Index with Hospital Readmissions after Colon and Rectal Surgery. Journal of Gastrointestinal Surgery 25 (3), 795-808.
Luana Marangon Lima, Paul Damien, and Derek Bunn. 2022. Bayesian Predictive Distributions for Imbalance Prices with Time-Varying Impacts. IEEE Transactions on Power Systems 38 (1), 349-357.
Kang Hua Cao, Paul Damien, Chi Keung Woo, and Jay Zarnikau. 2021. A Bayes Decision Rule to Assist Policymakers During a Pandemic. HealthCare 9 (8), 1023.
Li Kang, Stephen Walker, Paul Damien, and Derek Bunn. 2022. Bayesian Estimation of Electricity Price Risk with a Multi-Factor Mixture of Densities. Quantitative Finance, 22 (8), 1535-1544.
Paul Damien, Ruth Fuentes-Garcia, Ramsés Mena, and Jay Zarnikau. 2019. Impacts of Day-Ahead Versus Real-Time Market Prices on Wholesale Electricity Demand in Texas. Energy Economics 81, 259-272.
Tahir Ekin, Stephen Walker, and Paul Damien. 2020. Augmented Simulation Methods for Discrete Stochastic Optimization with Recourse. Annals of Operations Research, 320, 771–793. https://doi.org/10.1007/s10479-020-03836-w
Li Kang, Paul Damien, and Stephen Walker. 2021. On a Transform for Modeling Skewness. Brazilian Journal of Probability and Statistics 35 (2), 335-350.
Sinead Williamson, Michael Zhang, and Paul Damien. 2019. A New Class of Time Dependent Latent Factor Models with Applications. Journal of Machine Learning Research 21 (27), 1-24.
Thomas Kirschenmann, Paul Damien, and Stephen Walker. 2018. Bayesian Estimation of the Cox Model Under Different Hazard Rate Assumptions via Slice Sampling. Journal of Applied Statistics 45 (12), 2295-2306.
Dimitryi Belyi, Elmira Popova, Dave Morton, and Paul Damien. 2017. Bayesian Failure Rate Modeling and Preventive Maintenance Optimization. European Journal of Operational Research 262 (3), 1085-1093.
Kathy Ho, Paul Damien, and Stephen Walker. 2017. Bayesian Mode Regression Using Mixtures of Triangular Densities. Journal of Econometrics 197 (2), 273-283.
Kathy Ho, Paul Damien, Bin Gu, and Prabhudev Konana. 2017. The Time-Varying Nature of Social Media Sentiments in Modeling Stock Returns. Decision Support Systems 101, 69-81.
Michael Braun and Paul Damien. 2015. Scalable Rejection Sampling for Bayesian Hierarchical Models. Marketing Science 35 (3), 1-18.
Li Li, Timothy Hanson, Paul Damien, and Elmira Popova. 2014. A Bayesian Nonparametric Test for Minimal Repair. Technometrics 56(3), 393-406.
Thomas Kirschenmann, Elmira Popova, Paul Damien, and Tim Hanson. 2014. Decision Dependent Stochastic processes. European Journal of Operational Research 234(3), 731-742.
Marcin Kacperczyk, Paul Damien, and Stephen G. Walker. 2013. A New Class of Bayesian Semi-Parametric Models with Applications to Option Pricing. Quantitative Finance 13(6), 967-980.
Maria Walker, Stephen G. Walker, and Paul Damien. 2013. Modeling the Conditional Distribution of Daily Stock Index Returns: An Alternative Bayesian Semiparametric Model. Journal of Business and Economic Statistics 31(4), 371-383.
Tom S. Shively, Stephen G. Walker, and Paul Damien. 2011. Nonparametric function estimation subject to monotonicity, convexity and other shape constraints. Journal of Econometrics 161(2), 166-181.
Daniel Zantedeschi and Paul Damien. 2011. Predictive Macro-Finance With Dynamic Partition Models. Journal of the American Statistical Association 106(494), 427-439.
Tom S. Shively, Kara Kockelman, and Paul Damien. 2010. A Bayesian semi-parametric model to estimate relationships between crash counts and roadway characteristics. Transportation Research: Part B 44(5), 699-715.
Paul Damien and Kara Kockelman. 2010. Preface to special issue. Transportation Research: Part B 44(5), 631-632.
Jason Lemp, Kara Kockelman, and Paul Damien. 2010. The continuous cross-nested logit model: Formulation and application for departure time choice. Transportation Research: Part B 44(5), 646-661.
Yiyi Wang, Kara Kockelman, and Paul Damien. December 2017. A Multivariate Spatial Analysis for Anticipating New Firm Counts. Invited paper in Advances in Econometrics, Ed. Kelley Pace, Emerald Group Publishing, England.
Paul Damien, Galenko, Alexander, Popova, Elmira, and Hanson, Timothy. 2007. Bayesian semiparametric analysis for a single item maintenance optimization. European Journal of Operational Research 182, 794-805.
Xiao, Ni, Zarnikau, Jay, and Paul Damien. 2007. Testing Functional Forms in Energy Modeling: An Application of the Bayesian Approach to U.S. Electricity Demand. Energy Economics 29, 158-166.
Paul Damien, Prakash Laud, and Stephen Walker. 2006. Computations via Auxiliary Random Functions for Survival Models. Journal of Computational and Graphical Statistics 33, 219-226.
Paul Damien and Jayanti Gupta. 2005. Prior Distributions on Symmetric Groups. Psychometrika 70, 169-177.
Walker, Stephen, Paul Damien, and Lenk, Peter. 2004. On Priors With a Kullback--Leibler Property. Journal of the American Statistical Association 99.
Zhaohu S. Qin, Paul Damien, and Stephen Walker. 2003. Scale Mixture Models with Applications to Bayesian Inference. AIP Conference Proceedings 690, 394-395.
Jayanti Gupta and Paul Damien. 2002. Conjugacy Class Prior Distributions on Metric-Based Ranking Models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 64, 433-445.
Paul Damien and Stephen Walker. 2001. Bayesian Nonparametric Comparison of Two Treatments. Scandinavian Journal of Statistics 29, 51-56.
Paul Damien and Stephen Walker. 2001. Sampling Truncated Normal, Beta, and Gamma Densities. Journal of Computational and Graphical Statistics 10, 206-215.
Paul Damien and Stephen Walker. 2000. Representations of Levy Processes with non-Gaussian Components. Biometrika 87, 477-483.
Paul Damien and Stephen Walker. 1999. A Full Bayesian Analysis of Circular Data Using Von Mises Distribution. Canadian Journal of Statistics27, 291-298.
Stephen Walker and Paul Damien. 1999. A Note on Ramaswamy, Chatterjee, and Cohen's Latent Joint Segmentation Models. Journal of Marketing Research 36, 113-114.
Stephen Walker, Paul Damien, PuruShottam Laud, and Adrian Smith. 1999. Bayesian Nonparametric Inference for Random Distributions and Related Functions. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 61, 485-527.
Stephen Walker and Paul Damien. 1999. Characterizations, Stochastic Equations, and the Gibbs Sampler. Journal of Applied Probability 36, 747-751.
Paul Damien. 1999. Drivers of Customer Satisfaction for Financial Services: Implications for Product Design and Delivery. Management Science 45, 1194-1209.
Paul Damien. 1999. Gibbs Sampling for Bayesian Non-conjugate Models Using Auxiliary Variables. Journal of the Royal Statistical Society 61, 331-344.
Paul Damien and Peter Mueller. 1998. A Bayesian Bivariate Failure Time Regression Model. Computational Statistics and Data Analysis 28, 77-85.
Stephen Walker and Paul Damien. 1998. A Full Bayesian Non-parametric Analysis Involving a Neutral to the Right Process. Scandinavian Journal of Statistics 25, 669-680.
Paul Damien, Prakash Laud, and Adrian Smith. 1998. Bayesian Nonparametric and Covariate Analysis of Failure Time Data. Practical Nonparametric Bayes, 213-225.
Paul Damien and Stephen Walker. 1998. Sampling Methods for Bayesian Nonparametric Inference Involving Stochastic Processes. Practical Nonparametric Bayes, 243-254.
Paul Damien, Prakash Laud, and Adrian Smith. 1997. Bayesian Estimation of Unimodal Distributions. Communications in Statistics 26, 429-440.
Paul Damien, Prakash Laud, and Adrian Smith. 1996. A Monte Carlo Method Approximating a Posterior Hazard Rate Process. Statistics and Computing 6, 77-84.
Paul Damien, Prakash Laud, and Adrian Smith. 1996. Implementation of Bayesian Nonparametric Inference Using Beta Processes. Scandinavian Journal of Statistics 23, 27-36.
Paul Damien, Prakash Laud, and Adrian Smith. 1995. Approximate Random Variate Generation from Infinitely Divisible Distributions with Applications to Bayesian Inference. Journal of the Royal Statistical Society 3, 1995.
Paul Damien, Prakash Laud, and Adrian Smith. 1993. Random Variate Generation from D-distributions. Statistics and Computing 3, 547-563.
Paul Damien, Prakash Laud, and Stephen Walker. 1992. Nonparametric Bayesian Modeling of Dose Response Curve Under Older Constraints. Biometrika 80, 489-498.