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Time Series and Statistical Learning

Statistics is all about getting data and analysing it and using it to answer questions about the world be that in terms of Economics, Finance or public opinions. The applications are numerous
Qiwei Yao discusses time series and big data research (video) (Mandarin, with English subtitles) Qiwei Yao discusses time series and big data research (video) (Mandarin, with English subtitles)
Qiwei Yao discusses time series and big data research

The LSE has a long and distinguished history in time series analysis and the Department of Statistics has a developing interest in various aspects of statistical learning. At present, the Department's time series and statistical learning group consists of Professors Piotr Fryzlewicz, Leonard Smith, and Qiwei Yao, Associate Professors Dr Matteo Barigozzi, Dr Konstantinos Kalogeropoulos, Dr Clifford Lam and Assistant Professors Dr Yining Chen and Dr Xinghao Qiao, as well as associate member Professor Emeritus Howell Tong.

The group also has a strong link with the Econometrics group in the Economics Department, which includes Professors Peter Robinson, Javier Hidalgo and other eminent time series analysts.

Research interests in the group encompass many aspects of these disciplines. We are keenly involved in both theoretical developments and practical applications. Current areas of interest include time series (including high-dimensional and non-stationary time series), data science and machine learning, networks (including dynamical networks), high-dimensional inference and dimension reduction, statistical methods for ranking data, spatio-temporal processes, functional data analysis, shape-constrained estimation, multiscale modelling and estimation, and change-point detection.

The members in the group  provide consultancy service on time series and statistical learning related projects upon request. Recent external Consultancies include EDF (since 2010), Winton Capital Management (2011), Barclays Bank (since 2012), BBC (2012), BrandScience (2012), John Street Capital (since 2012), GfK (2013) and Bonamy Finch (----).

The Centre for the Analysis of Time Series (CATS), which is affiliated with the Department, is at the frontier of multidisciplinary research. The Centre works with EPSRC, NERC, the European Commission and directly with industry funding to continue in tracing the uncertainty in weather and climate forecasts from its origins in observations and models error to statements on the reliability of existing forecast systems and available measures of likely economic impact. The Meteorological Office and the European Centre for Medium Range Forecasts are enabling partners in this research: industrial partners include Munich Re, Lloyds of London, Unilever, NationalGrid UK and EDF Energy. Please visit the Centre for the Analysis of Times Series (CATS) website for further information about the Centre's research.

Academic staff

Matteo Barigozzi - Associate Professor

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Yining Chen - Assistant Professor

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Piotr Fryzlewicz - Professor

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Kostas Kalogeropoulos - Associate Professor

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Clifford Lam - Associate Professor

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Xinghao Qiao - Assistant Professor

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Leonard Smith - Professor and Director of CATS

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Qiwei Yao - Professor

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Research students

Rico Blaser

Research title: Machine learning for high-dimensional data
Further informationPersonal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Angelos Dassios


Wenyu Cheng

Research topic/title
Supervisors: Dr Clifford Lam / Dr Yining Chen


Tomasz Dubiel-Teleszynski

Research title: Bayesian inference for diffusion processes in finance and a hidden Markov model for load forecasting
Supervisors: Dr Kostas Kalogeropoulos / Professor Qiwei Yao


Qin Fang

Research topic/title: Function-on-Function Linear Lagged Regression in High Dimensions/ Functional time series
Supervisors: Dr. Xinghao Qiao/ Professor Qiwei Yao


Shakeel Gavioli-Akilagun

Research topic/title
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam 


Gianluca Giudice

Research topic/title: Dynamic Conditionally Heteroschedastic Factor Models
Supervisors: Dr. Matteo Barigozzi / Dr. Kostas Kalogeropoulos


Anica Kostic

Research topic/title: Change-point detection for high-dimensional time series
Supervisors: Professor Piotr Fryzlewicz / Dr. Yining Chen


Yirui Liu

Research topic/title: Conditional Variational Inference for Hierarchical Bayesian Nonparametric Models
Supervisors: Dr. Xinghao Qiao / Dr Yining Chen


Hyeyoung Maeng

Research title: Change point detection in functional time series
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam


Filippo Pellegrino

Research title: Research topic: Asynchronous and incomplete time series
Supervisors: Dr. Matteo Barigozzi / Dr. Kostas Kalogeropoulos


Ragvir Sabharwal

Research title: Sequential changepoint detection in factor models for time series
Supervisors: Dr Matteo Barigozzi / Professor Irini Moustaki


Konstantinos Vamvourellis 

Research topic/title: Bayesian Inference
Supervisors: Dr Kostas Kalogeropoulos / Professor Pauline Barrieu


Toby Wade

Research title: Natural Language Processing utilizing Aspect Based Sentiment combined with Attention Mechanism Deep Learning techniques applied to financial texts
Supervisors: Dr. Clifford Lam / Dr. Kostas Kalogeropoulos


Shuhan Yang

Research topic/title
Supervisors: Professor Piotr Fryzlewicz / Dr Yining Chen 


Lok Ting (Christine) Yuen

Research topic/title: Automatic model selection
Further informationPersonal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Matteo Barigozzi

Research grants

For a full list of all current and recent research grants for the Department of Statistics and the Centre for the Analysis of Time Series (CATS) please see Research Grants.

Have a look at the list of CATS research grants.