Full Professor
Department of Decision Sciences
Courses a.y. 2024/2025
40140 BAYESIAN STATISTICAL THEORY II
40331 BAYESIAN METHODS FOR COMPLEX DATA
Biographical note
I am a Professor of Statistics at Bocconi University, Milan. I graduated in Discipline Economiche e Sociali at Bocconi, and obtained my PhD in Statistics in 1989. I held positions at the University of Pavia (1991-1998) and University of Insubria (1998-2001), before joining Bocconi in 2001. Throughout my career, I conducted extensive research visits at various universities across the USA, Latin America, Europe, India, and Russia.
About
At Bocconi, I played an active role in the development of the PhD in Statistics, as 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 was the Editor of Statistical Science (2020-2022), and a co-Editor of Bayesian Analysis (2010-2014).
I was the President of the International Society for Bayesian Analysis (ISBA) in 2014 (President-Elect 2013, Past President 2015). My professional service includes having been an elected member of the ISBA Board of Directors (2002-2004 and 2008-2010) and of the IMS Council (2011-2014 and ex-officio 2020-2022).
I am an elected Fellow of ISBA and of the Institute of Mathematical Statistics (IMS), and an elected member of ISI. I have been awarded an IMS Medallion Lecture in 2018 and an ISBA Foundational Lecture in 2016.
I am an elected Fellow of the European Laboratory for Intelligent Systems (ELLIS), and a Fellow of the Bocconi Institute of Data Science (BIDSA).
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
Zhang, Wei; Cribben, Ivor; Petrone, Soniua; Guindani Michele
Bayesian timevarying tensor vector-autoregressive models for dynamic effective connectivity
Bayesian timevarying tensor vector-autoregressive models for dynamic effective connectivity
Selected Publications
Sariev, Hristo; Fortini, Sandra; Petrone, Sonia
Infinite-color randomly reinforced urns with dominant colors
BERNOULLI, 2023
Infinite-color randomly reinforced urns with dominant colors
BERNOULLI, 2023
Fasano, Augusto; Rebaudo, Giovanni; Durante, Daniele; Petrone, Sonia
A closed-form filter for binary time series
STATISTICS AND COMPUTING, 2021
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
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
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
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
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
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
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
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
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
Empirical Bayes methods in classical and Bayesian inference
METRON, 2014
Fortini, Sandra; Petrone, Sonia
Predictive Characterization of Mixtures of Markov Chains
Bernoulli Journal, 2014
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
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
Improving prediction from Dirichlet process mixtures via enrichment
JOURNAL OF MACHINE LEARNING RESEARCH, 2014
Fortini, Sandra; Petrone, Sonia
Hierarchical reinforced urn processes
STATISTICS & PROBABILITY LETTERS, 2012
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
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
An enriched conjugate prior for Bayesian nonparametric inference
BAYESIAN ANALYSIS, 2011
Petrone, Sonia; Veronese, Piero
Feller operators and mixture priors in Bayesian nonparametrics
STATISTICA SINICA, 2010
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
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
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
Bayesian modeling with nested random partitions
short papers, Sco 2009, 2009
A. E. Gelfand; M. Guindani; Petrone, Sonia
Bayesian nonparametric modelling for spatial data using Dirichlet processes
Bayesian Statistics 8, 2007
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
Nonparametric quantile inference with Dirichlet processes
Advances in statistical modeling and inference, 2007
Petrone, Sonia
Discussion on "Approximating interval hypothesis: p-values and Bayes factors", by J. Russeau
Bayesian Statistics 8, 2007
Discussion on "Approximating interval hypothesis: p-values and Bayes factors", by J. Russeau
Bayesian Statistics 8, 2007
G. Petris; Petrone, Sonia
Bayesian inference for dynamic linear models with random variances.
Classification and Data Analysis 2007, Book of Short Papers, 2007
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
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
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
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
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
Generalized dynamic linear models for financial time series
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2001
Corielli, Francesco; Petrone, Sonia
Dynamic regression using Bernstein polynomials with application to estimation of the term structure of interest rates
2001
Dynamic regression using Bernstein polynomials with application to estimation of the term structure of interest rates
2001
Petrone, Sonia
Bayesian density estimation using Bernstein polynomials
CANADIAN JOURNAL OF STATISTICS, 1999
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
A note on convergence rates of Gibbs sampling for nonparametric mixtures.
FAR EAST JOURNAL OF THEORETICAL STATISTICS, 1999
Petrone, Sonia
Discussion on "Bayesian nonparametric inference for random distributions and related functions", by Walker, S.G., Damien, P., Laud, P.W., Smith, A.F.M.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, 1999
Discussion on "Bayesian nonparametric inference for random distributions and related functions", by Walker, S.G., Damien, P., Laud, P.W., Smith, A.F.M.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, 1999
Petrone, Sonia
Discussion on "Robustifying Bayesian procedures", by Walker, S.G. and Gutierrez-Pena, E.
Bayesian Statistics 6, 1999
Discussion on "Robustifying Bayesian procedures", by Walker, S.G. and Gutierrez-Pena, E.
Bayesian Statistics 6, 1999
Petrone, Sonia; A. E. Raftery
A note on the Dirichlet process prior in Bayesian nonparametric inference with partial exchangeability
STATISTICS & PROBABILITY LETTERS, 1997
A note on the Dirichlet process prior in Bayesian nonparametric inference with partial exchangeability
STATISTICS & PROBABILITY LETTERS, 1997
Petrone, Sonia
Analisi bayesiana di modelli "annidati" (Bayesian analysis of nested models)
Atti della XXXIX Riunione Scientifica della Società Italiana di Statistica, 1998
Analisi bayesiana di modelli "annidati" (Bayesian analysis of nested models)
Atti della XXXIX Riunione Scientifica della Società Italiana di Statistica, 1998
Petrone, Sonia
Discussion on "Choosing among models when none of them are true", by Key, J.T., Pericchi, L.R. and Smith, A.F.M.
Proceedings of the Workshop on ModelSelection, 1997
Discussion on "Choosing among models when none of them are true", by Key, J.T., Pericchi, L.R. and Smith, A.F.M.
Proceedings of the Workshop on ModelSelection, 1997
A. Mira; Petrone, Sonia
Bayesian hierarchical nonparametric inference for change-point problems
Bayesian Statistics 5, 1996
Bayesian hierarchical nonparametric inference for change-point problems
Bayesian Statistics 5, 1996
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
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
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
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
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
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
Funzioni di decisione bayesiane con leggi di probabilità finitamente additive
Atti della XXXV Riunione Scientifica della Società Italiana di Statistica, 1990