Piotr Fryzlewicz

Professor of Statistics, LSE

I am a Professor of Statistics in the Department of Statistics at the London School of Economics.

I currently hold an EPSRC Fellowship on the topic of New challenges in time series analysis.

I also currently serve as Joint Editor of the Journal of the Royal Statistical Society Series B

My 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

Published Research

Hamilton, J., Nunes, M., Knight, M. and Fryzlewicz, P. (2017). Complex-valued wavelet lifting and applications. Technometrics. forthcoming. tba.
Korkas, K. and Fryzlewicz, P. (2017). Multiple change-point detection for non-stationary time series using wild binary segmentation. Statistica Sinica. 27(1). 287-311.
Fryzlewicz, P. and Timmermans, C. (2016). SHAH: SHape-adaptive Haar wavelets for image processing. Journal of Computational and Graphical Statistics. 25(3). 879-898.
Blaser, R. and Fryzlewicz, P. (2016). Random rotation ensembles. Journal of Machine Learning Research. 17(4). 1-26.
Valenzuela, M., Zer, I., Fryzlewicz, P., and Rheinlander, T. (2015). Relative liquidity and future volatility. Journal of Financial Markets. 24. 25-48.
Cho, H. and Fryzlewicz, P. (2015). Multiple change-point detection for high-demensional time series via Sparsified Binary Segmentation. Journal of the Royal Statistical Society, Series B. 77(2). 475-507.
Fryzlewicz, P. (2014). Wild binary segmentation for multiple change-point detection. Annals of Statistics. 42(6). 2243-2281.
Fryzlewicz, P. and Subba Rao, S. (2014). Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society, Series B. 76(5). 903-924.