Piotr Fryzlewicz

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 CV

Teaching and PhD supervision

PhD students: Rico Blaser, Lok Ting (Christine) Yuen

Past PhD students: Rafal Baranowski, Wenqian Cheng, Haeran Cho, Na Huang, Karolos Korkas, Jean Hamilton, Anna Louise Schroeder

The Department of Statistics runs an MSc Financial Statistics programme.

Teaching: ST436 Financial Statistics.

Research

My research interests: multiscale modelling and estimation, time series (especially nonstationary time series), change-point detection, high-dimensional statistical inference and dimension reduction, statistical learning, networks, functional programming in data science, statistics in finance, statistics in the social sciences, statistics in neuroscience.

Publications and software

breakfast: R package for multiple change-point detection and segmentation

My papers on Google Scholar

My R software on depsy.org: page 1, page 2

Postdoctoral colleagues: Andreas Anastasiou, Tobias Kley

Some current and recent collaborators: Anestis Antoniadis, Matteo Barigozzi, Yining Chen, Haeran Cho, Guy Nason, Hee-Seok Oh, Hernando Ombao, Thorsten Rheinländer, Rainer von Sachs, Suhasini Subba Rao, Marcela Valenzuela, Ilknur Zer

Some conferences I will be attending: CMStatistics 2017, Statistical scalability, IMS-APRM 2018, JSM 2018

Consultancy

I am happy to offer statistical consultancy to firms or institutions. See my CV for a list of recent clients. My LSE Experts page is available here.

Previous employment

I previously worked at Winton Capital Management, the University of Bristol and Imperial College London.

After work

London Coffee Guide

HKFP

Cohen

Some history: Banach, Kac, Neyman, Steinhaus, Ulam

This is where I am from.

Contact

Piotr Fryzlewicz
p.fryzlewicz@lse.ac.uk

Department of Statistics
Columbia House
London School of Economics
Houghton Street
London WC2A 2AE
UK

Telephone: +44 (0)20 7955 7953