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 Kalogeropoulos, Dr 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 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.
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.