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, Leonard Smith, and Qiwei Yao, Associate Professors Dr Matteo Barigozzi, Dr Konstantinos Kalogeropoulos, Dr Clifford Lam 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 (----).
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.
Kostas Kalogeropoulos - Associate Professor
Staff page
Leonard Smith - Professor and Director of CATS
Staff page
Rico Blaser
Research title: Machine learning for high-dimensional data
Further information: Personal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Angelos Dassios
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
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
Lok Ting (Christine) Yuen
Research topic/title: Automatic model selection
Further information: Personal homepage
Supervisors: Professor Piotr Fryzlewicz / Dr Matteo Barigozzi
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.