Fryzlewicz, Piotr

Professor Piotr Fryzlewicz  

Department

Position held

Professor of Statistics

 

Experience keywords:

Multiscale modelling and estimation; data visualisation; high-dimensional statistical inference and dimension reduction; statistical learning; statistics in finance, the social sciences and neuroscience; time series (especially nonstationary time series)

Research summary > [Click to expand]

My research interests lie in multiscale modelling and estimation, time series (especially nonstationary time series), high-dimensional statistical inference and dimension reduction, statistical learning, data visualisation, statistics in finance, the social sciences and neuroscience. I am a regular statistical consultant and an associate member of the Oxford-Man Institute of Quantitative Finance.

Sectors and industries to which research relates:

Financial Services

Languages:

Chinese (Mandarin) [Spoken: Intermediate, Written: Basic]; French [Spoken: Intermediate, Written: Intermediate]; Polish [Spoken: Fluent, Written: Fluent]; Spanish [Spoken: Intermediate, Written: Intermediate]

Contact Points

LSE phone number:

+44 (0)20 7955 7953

LSE email:

fryzlewi@lse.ac.uk

Publications

2018

Hamilton, Jean and Nunes, Matthew A. and Knight, Marina I. and Fryzlewicz, Piotr (2018) Complex-valued wavelet lifting and applications Technometrics, 60 (1). 48-60. ISSN 0040-1706

Huang, Na and Fryzlewicz, Piotr (2018) NOVELIST estimator of large correlation and covariance matrices and their inverses TEST. ISSN 1133-0686 (In Press)

Barigozzi, Matteo and Cho, Haeran and Fryzlewicz, Piotr (2018) Simultaneous multiple change-point and factor analysis for high-dimensional time series Journal of Econometrics. ISSN 0304-4076

2017

Fryzlewicz, Piotr (2017) Tail-greedy bottom-up data decompositions and fast mulitple change-point detection Annals of Statistics. ISSN 0090-5364 (In Press)

Fryzlewicz, Piotr (2017) Likelihood ratio Haar variance stabilization and normalization for Poisson and other non-Gaussian noise removal Statistica Sinica. ISSN 1017-0405 (In Press)

Korkas, Karolos K. and Fryzlewicz, Piotr (2017) Multiple change-point detection for non-stationary time series using wild binary segmentation Statistica Sinica, 27 (1). 287-311. ISSN 1017-0405

2016

Blaser, Rico and Fryzlewicz, Piotr (2016) Random rotation ensembles Journal of Machine Learning Research, 17 (4). 1-26. ISSN 1532-4435

Fryzlewicz, Piotr and Timmermans, Catherine (2016) SHAH: SHape-Adaptive Haar wavelets for image processing Journal of Computational and Graphical Statistics, 25 (3). 879-898. ISSN 1061-8600

2015

Valenzuela, Marcela and Zer, Ilknur and Fryzlewicz, Piotr and Rheinlander, Thorsten (2015) Relative liquidity and future volatility Journal of Financial Markets, 24. 25-48. ISSN 1386-4181

2014

Fryzlewicz, Piotr (2014) Wild binary segmentation for multiple change-point detection Annals of Statistics, 42 (6). 2243-2281. ISSN 0090-5364

Fryzlewicz, Piotr and Cho, Haeran (2014) Multiple change-point detection for high-dimensional time series via sparsified binary segmentation Journal of the Royal Statistical Society. Series B: Statistical Methodology, 77 (2). 475-507. ISSN 1369-7412

Fryzlewicz, Piotr and Subba Rao, Suhasini (2014) Multiple-change-point detection for auto-regressive conditional heteroscedastic processes Journal of the Royal Statistical Society. Series B: Statistical Methodology, 76 (5). 903-924. ISSN 1369-7412

Schroeder, Anna Louise and Fryzlewicz, Piotr (2013) Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery Statistics and Its Interface, 6 (4). 449-461. ISSN 1938-7997

Fryzlewicz, P. (2013) High-dimensional volatility matrix estimation via waveletsand thresholding Biometrika, 100 (4). 921-938. ISSN 0006-3444

2012

Fryzlewicz, Piotr (2012) Rejoinder: time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously Journal of the Korean Statistical Society, 41 (2). 173-175. ISSN 1226-3192

Cho, Haeran and Fryzlewicz, Piotr (2012) Multiscale and multilevel technique for consistent segmentation of nonstationary time series Statistica Sinica, 22 (1). 207-229. ISSN 1017-0405

Fryzlewicz, Piotr (2012) Time–Threshold Maps: Using information from wavelet reconstructions with all threshold values simultaneously Journal of the Korean Statistical Society, 41 (2). 145-159. ISSN 1226-3192

Cho, Haeran and Fryzlewicz, Piotr (2012) High dimensional variable selection via tilting Journal of the Royal Statistical Society. Series B: Statistical Methodology, 74 (3). 593-622. ISSN 1369-7412

2011

Cho, Haeran and Fryzlewicz, Piotr (2011) Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets Statistics and Computing, 21. 671-681. ISSN 0960-3174

Fryzlewicz, Piotr and Subba Rao, Suhasini (2011) Mixing properties of ARCH and time-varying ARCH processes Bernoulli, 17 (1). 320-346. ISSN 1350-7265

Christodoulaki, Olga and Cho, Haeran and Fryzlewicz, Piotr (2011) A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929 GreeSE, Hellenic Observatory, London, UK.

Fryzlewicz, Piotr and Oh, H. S. (2011) Thick pen transformation for time series Journal of the Royal Statistical Society. Series B: Statistical Methodology, 73 (4). 499-529. ISSN 1369-7412

2010

Fryzlewicz, Piotr and Oh, Hee-Seok (2010) On the thick-pen transformation for time series Oberwolfach Reports, 7 (1). 179-216. ISSN 1660-8933

Sanderson, Jean and Fryzlewicz, Piotr and Jones, M. W. (2010) Estimating linear dependence between nonstationary time series using the locally stationary wavelet model Biometrika, 97 (2). 435-446. ISSN 0006-3444

Antoniadis, Anestis and Fryzlewicz, Piotr and Letué, Frédérique (2010) The Dantzig selector in Cox's proportional hazards model Scandinavian Journal of Statistics, 37 (4). 531-552. ISSN 0303-6898

Fryzlewicz, Piotr (2010) Wavelet methods Wiley Interdisciplinary Reviews: Computational Statistics, 2 (6). 654-667. ISSN 1939-5108

2009

Fryzlewicz, Piotr and Ombao, Hernando (2009) Consistent classification of non-stationary time series using stochastic wavelet representations Journal of the American Statistical Association, 104 (485). 299-312. ISSN 0162-1459

2008

Cho, Haeran and Fryzlewicz, Piotr (2008) Multiscale breakpoint detection in piecewise stationary AR models. In: IASC2008, 5-8 December 2008, Yokohama, Japan

Fryzlewicz, Piotr and Nason, Guy P. and von Sachs, Rainer (2008) A wavelet-Fisz approach to spectrum estimation Journal of Time Series Analysis, 29 (5). 868-880. ISSN 0143-9782

Fryzlewicz, Piotr and Sapatinas, Theofanis and Subba Rao, Suhasini (2008) Normalized least-squares estimation in time-varying ARCH models Annals of Statistics, 36 (2). 742-786. ISSN 0090-5364

Fryzlewicz, Piotr (2008) Data-driven wavelet-Fisz methodology for nonparametric function estimation Electronic Journal of Statistics, 2. 863-896. ISSN 1935-7524

2007

Sanderson, Jean and Fryzlewicz, Piotr (2007) Locally stationary wavelet coherence with application to neuroscience. In: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisbon, Portugal

Sanderson, Jean and Fryzlewicz, Piotr (2007) Locally stationary wavelet coherence with application to neuroscience In: Barber, S. and Baxter, P. D. and Mardia, K. V., (eds.) Systems Biology and Statistical Bioinformatics. Leeds University Press, Leeds, UK, 69-72.

Fryzlewicz, Piotr (2007) Bivariate hard thresholding in wavelet function estimation Statistica Sinica, 17 (4). 1457-1481. ISSN 1017-0405

Fryzlewicz, Piotr (2007) Unbalanced Haar technique for nonparametric function estimation Journal of the American Statistical Association, 102 (480). 1318-1327. ISSN 0162-1459

Fryzlewicz, Piotr and Delouille, V´eronique and Nason, Guy P. (2007) GOES-8 X-ray sensor variance stabilization using the multiscale data-driven Haar-Fisz transform Journal of the Royal Statistical Society. Series C: Applied Statistics, 56 (1). 99-116. ISSN 0035-9254

2006

Fryzlewicz, Piotr and Nason, Guy P. (2006) Haar-Fisz estimation of evolutionary wavelet spectra Journal of the Royal Statistical Society. Series B: Statistical Methodology, 68 (4). 611-634. ISSN 1369-7412

Antoniadis, Anestis and Fryzlewicz, Piotr (2006) Parametric modelling of thresholds across scales in wavelet regression Biometrika, 93 (2). 465-471. ISSN 0006-3444

Fryzlewicz, Piotr and Delouille, V (2006) A data-driven HAAR-FISZ transform for multiscale variance stabilization In: Proceedings of the 13th IEEE/Sp Workshop on Statistical Signal Processing. IEEE, California, USA, 539-544. ISBN 0780394038

Motakis, E. S. and Nason, Guy P. and Fryzlewicz, Piotr and Rutter, G. A (2006) Variance stabilization and normalization for one-color microarray data using a data-driven multiscale approach Bioinformatics, 22 (20). 2547-2553. ISSN 1367-4803

Fryzlewicz, Piotr and Sapatinas, Theofanis and Subba Rao, Suhasini (2006) A Haar-Fisz technique for locally stationary volatility estimation Biometrika, 93 (3). 687-704. ISSN 0006-3444

2005

Fryzlewicz, Piotr (2005) Modelling and forecasting financial log-returns as locally stationary wavelet processes Journal of Applied Statistics, 32 (5). 503-528. ISSN 0266-4763

2004

Fryzlewicz, Piotr and Nason, Guy P. (2004) Smoothing the wavelet periodogram using the Haar-Fisz transform Technical report, Department of Mathematics, University of Bristol, Bristol, UK.

Fryzlewicz, Piotr and Nason, Guy P. (2004) A Haar-Fisz algorithm for poisson intensity estimation Journal of Computational and Graphical Statistics, 13 (3). 621-638. ISSN 1061-8600

2003

Fryzlewicz, Piotr (2003) Wavelet techniques for time series and poisson data. doctoral thesis, University of Bristol

van Bellegem, Sébastien and Fryzlewicz, Piotr and von Sachs, Rainer (2003) A wavelet-based model for forecasting non-stationary processes In: Gazeau, J-P and Kerner, R and Antoine, J-P and Metens, S, (eds.) Group 24: Physical and Mathematical Aspects of Symmetries: Proceedings of the 24th International Colloquium on Group Theoretical. Institute of Physics conference series (173). Institute of Physics Publishing, Bristol, UK, 955-958. ISBN 9780750309334

Fryzlewicz, Piotr and van Bellegem, Sébastien and von Sachs, Rainer (2003) Forecasting non-stationary time series by wavelet process modelling Annals of the Institute of Statistical Mathematics, 55 (4). 737-764. ISSN 0020-3157

2000

Fryzlewicz, Piotr (2000) The application of linear programming to American option valuation in the jump-diffusion model doctoral thesis, Wroclaw University of Technology

Expert Image

Personal website

Awards

2013 Guy Medal in Bronze; the Royal Statistical Society. 2007–2008 University Research Fellowship; University of Bristol. 2005–2007 Award to Newly Appointed Lecturers in Science, Engineering and Mathematics; Nuffield Foundation. 2000–2003 Overseas Research Student Award; Universities UK.

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