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

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, Clifford Lam and Qiwei Yao, Associate Professors Dr Konstantinos Kalogeropoulos and Tengyao Wang, 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 (----).

Rico Blaser

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

Cheng Chen

Research title:
Supervisors: Dr. Xinghao Qiao / Professor Qiwei Yao

Weilin Chen

Research title:
Supervisors: Professor Clifford Lam / Dr Wicher Bergsma

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

Sixing Hao

Research topic/title:
Supervisors: Professor Qiwei Yao / Dr. Xinghao Qiao

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

Filippo Pellegrino

Research title: Asynchronous and incomplete multidimensional dependent data
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

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.

Print or share

Data Science Learn about this research group

Probability in Finance and Insurance Have a look at our research groups

Time Series and Statistical Learning

Academic staff

Yining Chen - Assistant Professor

Piotr Fryzlewicz - Professor

Kostas Kalogeropoulos - Associate Professor

Clifford Lam - Professor

Xinghao Qiao - Assistant Professor

Tengyao Wang - Associate Professor

Qiwei Yao - Professor

Research students