Home > Department of Statistics > Research > Time Series and Statistical Learning

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

 

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Time Series and Statistical Learning

The LSE has a long and distinguished history in time series analysis and the the Deaprtment of Statistics has a devloping 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 Konstantinos KalogeropoulosDr Clifford Lam and Assistant Professors Dr Matteo Barigozzi, 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 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 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.


Barigozzi1

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LSE Experts

Contact details:
COL 7.11
+44 (0)20 7955 6063
Email

Matteo Barigozzi
Assistant Professor

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

 

ChenY

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Contact details:
COL 2.04
+44 (0)20 7955 6865
Email

Yining Chen
Assistant Professor

Research interests: Shape-constrained estimation; nonparametric classification and regression; semiparametric modelling; time series analysis.

 

Fryzlewicz1

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COL 6.01
+44 (0)20 7955 7953
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Piotr Fryzlewicz
Professor

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.

 

Kalogeropoulos1

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Contact details:
COL 6.10
+44 (0)20 7955 6017
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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.

 

Lam1

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Contact details:
COL 6.09
+44 (0)20 7955 7636
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Clifford Lam
Associate Professor

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

 

XinghaoQiao

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Contact details:
COL 2.03
+44 (0)20 7966 6880
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Xinghao Qiao
Assistant Professor

Research interests: Functional and longitudinal data analysis; high dimensional statistics; statistical machine learning; time series analysis.

 

Smith1

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TW1 11.1A
+44 (0)20 7955 7626
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Leonard Smith
Professor

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

Professor Smith is the Director of the Centre for the Analysis of Time Series (CATS)

 

Yao1

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Contact details:
COL 7.16
+44 (0)20 7955 6767
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Qiwei Yao
Professor

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

 


Research staff

Dr Andreas Anastasiou
Contact details: KGS 2.07, +44 (0)20 7955 7355
Email: a.anastasiou@lse.ac.uk

Dr Tobias Kley
Contact details: KGS 2.07, +44 (0)20 7955 7355
Email: t.kley@lse.ac.uk  

Dr Kley's personal web page: http://personal.lse.ac.uk/kley/

 


Research papers

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: On variable selection in high dimensions, segmentation and multiscale time series
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: Statistical data mining for a Chinese micro-blog: sentiment modelling and randomness reduction for topic modelling
Further information: Personal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam

Tomasz Dubiel-Teleszynski
Research title: Bayesian inference for diffusion processes in finance and a hidden Markov model for load forecasting
Supervisor(s): Dr Kostas Kalogeropoulos / Professor Qiwei Yao

Phoenix Feng
Research topic/title: Nonparametric eigenvalue-regularized integrated covariance matrix estimator
Supervisors: Dr Clifford Lam / Professor Piotr Fryzlewicz

Ali Habibnia
Research title: (1) Nonlinear forecasting using a large number of predictors: applications in stock market prediction; (2) Econometric modelling of systemic risk
Further information: Personal homepage
Supervisor(s): Dr Matteo Barigozzi / Dr Angelos Dassios

Qilin Charlie Hu
Research title: Autocorrelation-based factor analysis and nonlinear shrinkage estimation of large integrated covariance matrix
Supervisors: Dr Clifford Lam / Professor Piotr Fryzlewicz

Hyeyoung Maeng
Research title: A flexible model for prediction in functional time series
Supervisors: Professor Piotr Fryzlewicz / Dr Clifford Lam

Cheng Qian
Research title: Spatial weight matrix estimation
Supervisors: Dr Clifford Lam / Professor Qiwei Yao

Ragvir Singh Sabharwal
Research tile: Sequential changepoint detection in factor models for time series
Supervisors: Dr Matteo Barigozzi / Professor Irini Mousta

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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