How to contact us

Department of Statistics
Columbia House
London School of Economics
Houghton Street
London
WC2A 2AE

 

Online query form|

Frequently asked questions|

 

BSc Queries

 +44 (0)20 7955 7650

 

MSc Queries

 +44 (0)20 7955 6879 

 

MPhil/PhD Queries

+44 (0)20 7955 7511

 

 

 

Time Series

The LSE has a long and distinguished history in time series analysis. At present, the Department's time series group consists of Professors Piotr Fryzlewicz|, Leonard Smith| and Qiwei Yao|, Associate Professors Dr Konstantinos Kalogeropoulos|Dr Clifford Lam| and Assistant Professor Dr Matteo Barigozzi|, as well as associated members Emeritus Professor Howell Tong and LSE Visiting Professor Professor Soumendra Nath Lahiri|.

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 the discipline. Methodological research is guided by applications with the aid of both academic and industrial experts. The theoretical activity in recent years covers a wide spectrum, ranging from linearity to nonlinearity, from stationary to nonstationary processes, from parametric to nonparametric and semiparametric, from spectral approach to wavelets, from ultra-high dimensional time series to space-time modelling, from state-space models to Bayesian and computational methods.  Applications include biological, economic, energy, and financial. e.g. backtesting for financial risk management, structural modelling of weather series, forecasting electricity loads, etc.

The members in the group  provide consultancy service on time series related projects upon the requests. 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.


  

Barigozzi

Dr Matteo Barigozzi

 

Assistant Professor
Research interests: Time series analysis; dynamic factor models (stationary and non-stationary); volatility modelling; graphical models and social networks.

Further information: staff page| and LSE Experts|
Contact details: m.barigozzi@lse.ac.uk|

  

Fryzlewicz

Professor Piotr Fryzlewicz

 

Chair in Statistics
Research interests: Multiscale modelling and estimation; time series (especially nonstationary time series); change-point detection; high-dimensional statistical inference and dimension reduction; randomised algorithms; statistical learning; data visualisation; statistics in finance; statistics in the social sciences; statistics in neuroscience.

Further information: staff page| and LSE Experts|
Contact detailsp.fryzlewicz@lse.ac.uk|

 

Kalogeropoulos

Dr Kostas Kalogeropoulos

 

Associate Professor
Research interests: Bayesian inference, Markov Chain Monte Carlo, Sequential Monte Carlo, inference on models with stochastic differential equations, infectious disease modelling with evidence synthesis

Further information: staff page|
Contact details: k.kalogeropoulos@lse.ac.uk|

 

Lam

Dr Clifford Lam

 

Associate Professor
Research interests: Semiparametric modelling; variables and feature selections; regularization methods; high-dimensional data analysis; time series and factor modelling

Further information: staff page| and LSE Experts| 
Contact details: c.lam2@lse.ac.uk|

 

Smith

Professor Leonard Smith

 

Chair in Statistics, Director of Centre for the Analysis of Time Series
Research interests: Time series; non-linear time series and chaos

Further information: LSE Experts,| Centre for the Analysis of Time Series|
Contact details: l.smith@lse.ac.uk|

 

Yao

Professor Qiwei Yao

 

Chair in Statistics
Research interests: Time series analysis; factor modelling and dimension reduction; nonparametric regression; spatial and temporal modelling; financial econometrics.

Further information: staff page| and LSE Experts|
Contact details: q.yao@lse.ac.uk|

 


Research papers

A small selection of recent research papers

Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Fryzlewicz, P. and Subba Rao, S. 2014. Royal Statistical Society Series B (Statistical Methodology). To appear.

Capturing the time-varying drivers of an epidemic using stochastic dynamical systems|. Dureau, J., Kalogeropoulos, K. and Baguelin, M. 2013. Biostatistics, 14 (3), pp. 541-555. ISSN 1465-4644

Large volatility matrix inference via combining low-frequency and high-frequency approaches|. Tao, M., Wang, Y., Yao, Q. and Zou, Y. 2011. Journal of the American Statistical Association. 106 (495), pp. 1025-1400. ISSN 0162-1459

Factor modelling for high dimensional time series: inference for the number of factors|. Lam, C. and Yao, Q. 2012.  Annals of statistics, 40 (2), pp. 694-726. ISSN 0090-5364

Improved penalization for determining the number of factors in approximate static factor models|. Alessi, L., Barigozzi, M., and Capasso, M. 2010. Statistics in Probability Letters, 2010, 80

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

Please see the staff pages or LSE Research Online| for a comprehensive list of research outputs.

 


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|.

For a list of CATS research grants please see here|.

 


Current MPhil/PhD students

Rafal Baranowski
Research topic: Improving stability of variable selection techniques for regression analysis
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam

Rico Blaser
Research title: Machine learning for high-dimensional data
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Dr Angelos Dassios

Wenqian Cheng
Research title: Social media data mining and data analysis
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam

Baojun Dou
Research title: Sparse factor modelling for high dimensional time series
Supervisors: Professor Qiwei Yao / Dr Clifford Lam

Tomasz Dubiel-Teleszynski
Research title: Time-varying continuous time system approach to statistical arbitrage
Supervisor(s): Dr Kostas Kalogeropoulos / Professor Qiwei Yao

Ali Habibnia
Research title: The application of artificial intelligence and machine learning in financial econometrics
Further information: Personal homepage
|Supervisor(s): Dr Matteo Barigozzi / Dr Angelos Dassios

Qilin 'Charlie' Hu
Research title: Factor modelling for high dimensional time series
Supervisors: Dr Clifford Lam / Professor Piotr Fryzlewicz

Na Huang
Research title: New statistical methods for the analysis of high-dimensional high-frequency financial data
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Dr Matteo Barigozzi

Karolos Konstantinos Korkas
Research title: Change-point detection for nonstationary time series
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Professor Qiwei Yao

Anna Louise Schroeder
Research title: A nonstationary time series model from adaptive basis functions
Further information: Personal homepage|
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam

Yang Yan
Research title: Efficient estimation of risk measure in a semiparametric model / time varying conditional skewness measure
Supervisors: Professor Qiwei Yao / Professor Oliver Linton (University of Cambridge)

For a full list of all current doctoral research students in the Department of Statistics and Centre for the Analysis of Times Series (CATS) please see Research Students|.

 

 


 

 

 

 

 

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Latest news

 


 

Professor Piotr Fryzlewicz has been appointed joint editor of Series B (Statistical Methodology) of the Royal Statistical Society's journal, from the beginning of 2014. he succeeds Gareth Roberts, Professor of Statistics at the University of Warwick.

 

You can read more about this appointment here|.

 

 


 

 

Nonlinear time series analysis - thresholding and beyond

 

On the occasion of Professor Howell Tong's 70th birthday, LSE will host a conference to celebrate the research achievement and the applications in nonlinear time series and related areas by bringing together experts, scholars and young researchers from around the world.

 

The conference takes place on 19 and 20 September 2014. Further details are available here|.