Fryzlewicz, Piotr
Professor Piotr Fryzlewicz
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Experience keywords:
wavelets; time series; nonstationary time series; change-point detection; portfolio construction; covariance estimation; GARCH models
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My research interests are in modern, especially multiscale, techniques in time series analysis, for performing tasks such as nonstationarity and nonlinearity detection and time series classification. I am also interested in variable selection in complex statistical models. My industry experience is in portfolio and trading strategy construction.
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Sectors and industries to which research relates:
Banking; Financial Services
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Countries and regions to which research relates:
All
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Languages: Spanish [Spoken: Intermediate, Written: Intermediate]; Polish [Spoken: Fluent, Written: Fluent]; Chinese (Mandarin) [Spoken: Intermediate, Written: Basic]
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The following references are sourced from LSE Research Online|. References that are linked lead to the full text.
Fryzlewicz, Piotr (2012) Time–Threshold Maps: Using information from wavelet reconstructions with all threshold values simultaneously. Journal of the Korean Statistical Society, 41 (2). pp. 145-159. ISSN 1226-3192 Cho, Haeran and Fryzlewicz, Piotr (2012) High dimensional variable selection via tilting. Journal of the Royal Statistical Society: series B (statistical methodology), 74 (3). pp. 593-622. ISSN 1369-7412 Fryzlewicz, Piotr (2012) Rejoinder: time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously. Journal of the Korean Statistical Society, 41 (2). pp. 173-175. ISSN 1226-3192 Cho, Haeran and Fryzlewicz, Piotr (2012) Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Statistica Sinica, 22 (1). pp. 207-229. ISSN 1017-0405 Fryzlewicz, Piotr and Subba Rao, Suhasini (2011) Mixing properties of ARCH and time-varying ARCH processes. Bernoulli, 17 (1). pp. 320-346. ISSN 1350-7265 Cho, Haeran and Fryzlewicz, Piotr (2011) Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets. Statistics and computing, 21 pp. 671-681. ISSN 0960-3174 Fryzlewicz, Piotr and Oh, Hee-Seok (2010) On the thick-pen transformation for time series. Oberwolfach reports, 7 (1). pp. 179-216. ISSN 1660-8933 Fryzlewicz, Piotr (2010) Wavelet methods. Wiley interdisciplinary reviews: computational statistics, 2 (6). pp. 654-667. ISSN 1939-5108 Motakis, E. S. and Nason, Guy P. and Fryzlewicz, Piotr and Rutter, G. A (2006) Variance stabilization and normalization for one-color microarray data using a data-driven multiscale approach. Bioinformatics, 22 (20). pp. 2547-2553. ISSN 1367-4803 Fryzlewicz, Piotr and Delouille, V (2006) A data-driven HAAR-FISZ transform for multiscale variance stabilization. In: Proceedings of the 13th IEEE/SP Workshop on Statistical Signal Processing. IEEE, California, USA, pp. 539-544. ISBN 0780394038 Fryzlewicz, Piotr (2005) Modelling and forecasting financial log-returns as locally stationary wavelet processes. Journal of applied statistics, 32 (5). pp. 503-528. ISSN 0266-4763 Fryzlewicz, Piotr and Nason, Guy P. (2004) A Haar-Fisz algorithm for poisson intensity estimation. Journal of computational and graphical statistics, 13 (3). pp. 621-638. ISSN 1061-8600 Fryzlewicz, Piotr (2003) Wavelet techniques for time series and poisson data.. University of Bristol;Mathematics van Bellegem, Sébastien and Fryzlewicz, Piotr and von Sachs, Rainer (2003) A wavelet-based model for forecasting non-stationary processes. In: Gazeau, J-P and Kerner, R and Antoine, J-P and Metens, S, (eds.) GROUP 24: physical and mathematical aspects of symmetries: proceedings of the 24th international colloquium on group theoretical methods in physics, Paris, 15-20 July 2002. Institute of Physics Publishing , Bristol, UK, pp. 955-958. ISBN 9780750309334 Fryzlewicz, Piotr (2000) The application of linear programming to American option valuation in the jump-diffusion model. Wroclaw University of Technology;Mathematics
LSE Research Online is the primary resource for references to publications. For queries or updates please email the LSE Research Online team at lseresearchonline@lse.ac.uk|.
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Awards2007-2008 University Research Fellowship; Nuffield Foundation University of Bristol 2005-2007 Award to Newly Appointed Lecturers in Science, Engineering and Mathematics; Universities UK 2000-2003 Overseas Research Student Award
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