Items where Author is "Fryzlewicz, Piotr"

Article

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2024) Robust Narrowest Significance Pursuit: inference for multiple change-points in the median. Journal of Business and Economic Statistics, 42 (4). pp. 1389-1402. ISSN 0735-0015

Baranowski, Rafal, Chen, Yining ORCID: 0000-0003-1697-1920 and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2024) Multiscale autoregression on adaptively detected timescales. Statistica Sinica. ISSN 1017-0405 (In Press)

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2024) Book review: Telling stories with data: with applications in R. American Statistician. ISSN 0003-1305

Li, Jie, Fearnhead, Paul, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Wang, Tengyao ORCID: 0000-0003-2072-6645 (2024) Authors' reply to the discussion of 'Automatic change-point detection in time series via deep learning' at the discussion meeting on 'Probabilistic and statistical aspects of machine learning'. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 86 (2). 332 - 334. ISSN 1369-7412

Li, Jie, Fearnhead, Paul, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Wang, Tengyao ORCID: 0000-0003-2072-6645 (2024) Automatic change-point detection in time series via deep learning. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 86 (2). 273 - 285. ISSN 1369-7412

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2023) Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm. Journal of Time Series Analysis. ISSN 0143-9782

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2023) Narrowest Significance Pursuit: inference for multiple change-points in linear models. Journal of the American Statistical Association. ISSN 0162-1459

Maeng, Hyeyoung and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2023) Detecting linear trend changes in data sequences. Statistical Papers, 16. ISSN 0932-5026

Li, Yu-Ning, Li, Degui and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2022) Detection of multiple structural breaks in large covariance matrices. Journal of Business and Economic Statistics. ISSN 0735-0015

Yuen, Christine ORCID: 0009-0002-4018-9787 and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2022) Exploiting disagreement between high-dimensional variable selectors for uncertainty visualization. Journal of Computational and Graphical Statistics, 31 (2). 351 - 359. ISSN 1061-8600

Anastasiou, Andreas and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2022) Detecting multiple generalized change-points by isolating single ones. Metrika, 85 (2). 141 - 174. ISSN 0026-1335

Anastasiou, Andreas, Cribben, Ivor and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2022) Cross-covariance isolate detect: a new change-point method for estimating dynamic functional connectivity. Medical Image Analysis, 75. ISSN 1361-8415

Blaser, Rico and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2021) Regularizing axis-aligned ensembles via data rotations that favor simpler learners. Statistics and Computing, 31 (2). ISSN 0960-3174

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2020) Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection. Journal of the Korean Statistical Society, 49 (4). 1027 - 1070. ISSN 1226-3192

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2020) Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection—rejoinder. Journal of the Korean Statistical Society, 49 (4). 1099 - 1105. ISSN 1226-3192

Baranowski, Rafal, Chen, Yining ORCID: 0000-0003-1697-1920 and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2020) Ranking-based variable selection for high-dimensional data. Statistica Sinica, 30 (3). 1485 - 1516. ISSN 1017-0405

Antier, S, Barynova, K, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Lauchard, C and Marchal-Duval, G (2020) Detection of gamma-ray transients with wild binary segmentation. Monthly Notices of the Royal Astronomical Society, 493 (3). 4428 – 4441. ISSN 0035-8711

Kley, Tobias, Preuss, Philip and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2019) Predictive, finite-sample model choice for time series under stationarity and non-stationarity. Electronic Journal of Statistics, 13 (2). 3710 - 3774. ISSN 1935-7524

Baranowski, Rafal, Chen, Yining ORCID: 0000-0003-1697-1920 and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2019) Narrowest-over-threshold detection of multiple change points and change-point-like features. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 81 (3). 649 - 672. ISSN 1369-7412

Maeng, Hye Young and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2019) Regularised forecasting via smooth-rough partitioning of the regression coefficients. Electronic Journal of Statistics, 13 (1). pp. 2093-2120. ISSN 1935-7524

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) Tail-greedy bottom-up data decompositions and fast mulitple change-point detection. Annals of Statistics, 46 (6B). pp. 3390-3421. ISSN 0090-5364

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) Likelihood ratio Haar variance stabilization and normalization for Poisson and other non-Gaussian noise removal. Statistica Sinica, 28. pp. 2885-2901. ISSN 1017-0405

Barigozzi, Matteo, Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) Simultaneous multiple change-point and factor analysis for high-dimensional time series. Journal of Econometrics, 206 (1). pp. 187-225. ISSN 0304-4076

Huang, Na and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) NOVELIST estimator of large correlation and covariance matrices and their inverses. TEST. ISSN 1133-0686

Hamilton, Jean, Nunes, Matthew A., Knight, Marina I. and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) Complex-valued wavelet lifting and applications. Technometrics, 60 (1). pp. 48-60. ISSN 0040-1706

Kang, Xinyu, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Chu, Catherine, Kramer, Mark and Kolaczyk, Eric D. (2018) Multiscale network analysis through tail-greedy bottom-up approximation, with applications in neuroscience. 2017 51st Asilomar Conference on Signals, Systems, and Computers. pp. 1549-1554. ISSN 2576-2303

Korkas, Karolos K. and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2017) Multiple change-point detection for non-stationary time series using wild binary segmentation. Statistica Sinica, 27 (1). pp. 287-311. ISSN 1017-0405

Blaser, Rico and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2016) Random rotation ensembles. Journal of Machine Learning Research, 17 (4). pp. 1-26. ISSN 1532-4435

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Timmermans, Catherine (2016) SHAH: SHape-Adaptive Haar wavelets for image processing. Journal of Computational and Graphical Statistics, 25 (3). pp. 879-898. ISSN 1061-8600

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2015) Multiple-change-point detection for high dimensional time series via sparsified binary segmentation. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 77 (2). 475 - 507. ISSN 1369-7412

Valenzuela, Marcela, Zer, Ilknur, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Rheinlander, Thorsten (2015) Relative liquidity and future volatility. Journal of Financial Markets, 24. pp. 25-48. ISSN 1386-4181

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2014) Wild binary segmentation for multiple change-point detection. Annals of Statistics, 42 (6). pp. 2243-2281. ISSN 0090-5364

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Subba Rao, Suhasini (2014) Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 76 (5). pp. 903-924. ISSN 1369-7412

Schroeder, Anna Louise and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2013) Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. Statistics and Its Interface, 6 (4). pp. 449-461. ISSN 1938-7997

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2013) Errata on 'Multiscale and multilevel technique for consistent segmentation of nonstationary time series', Statistica Sinica (2012), vol. 22, no. 1, pp. 207-229. Statistical Science, 23 (4). p. 1793. ISSN 0883-4237

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (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 ORCID: 0000-0002-9676-902X (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

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (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 ORCID: 0000-0002-9676-902X (2012) Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Statistica Sinica, 22 (1). pp. 207-229. ISSN 1017-0405

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Oh, H. S. (2011) Thick pen transformation for time series. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 73 (4). pp. 499-529. ISSN 1369-7412

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X 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 ORCID: 0000-0002-9676-902X (2011) Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets. Statistics and Computing, 21. pp. 671-681. ISSN 0960-3174

Antoniadis, Anestis, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Letué, Frédérique (2010) The Dantzig selector in Cox's proportional hazards model. Scandinavian Journal of Statistics, 37 (4). pp. 531-552. ISSN 0303-6898

Sanderson, Jean, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Jones, M. W. (2010) Estimating linear dependence between nonstationary time series using the locally stationary wavelet model. Biometrika, 97 (2). pp. 435-446. ISSN 0006-3444

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X 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 ORCID: 0000-0002-9676-902X (2010) Wavelet methods. Wiley Interdisciplinary Reviews: Computational Statistics, 2 (6). pp. 654-667. ISSN 1939-5108

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Ombao, Hernando (2009) Consistent classification of non-stationary time series using stochastic wavelet representations. Journal of the American Statistical Association, 104 (485). pp. 299-312. ISSN 0162-1459

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Nason, Guy P. and von Sachs, Rainer (2008) A wavelet-Fisz approach to spectrum estimation. Journal of Time Series Analysis, 29 (5). pp. 868-880. ISSN 0143-9782

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2008) Data-driven wavelet-Fisz methodology for nonparametric function estimation. Electronic Journal of Statistics, 2. pp. 863-896. ISSN 1935-7524

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Sapatinas, Theofanis and Subba Rao, Suhasini (2008) Normalized least-squares estimation in time-varying ARCH models. Annals of Statistics, 36 (2). pp. 742-786. ISSN 0090-5364

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2007) Unbalanced Haar technique for nonparametric function estimation. Journal of the American Statistical Association, 102 (480). pp. 1318-1327. ISSN 0162-1459

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2007) Bivariate hard thresholding in wavelet function estimation. Statistica Sinica, 17 (4). pp. 1457-1481. ISSN 1017-0405

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Delouille, V´eronique and Nason, Guy P. (2007) GOES-8 X-ray sensor variance stabilization using the multiscale data-driven Haar-Fisz transform. Journal of the Royal Statistical Society. Series C: Applied Statistics, 56 (1). pp. 99-116. ISSN 0035-9254

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X, Sapatinas, Theofanis and Subba Rao, Suhasini (2006) A Haar-Fisz technique for locally stationary volatility estimation. Biometrika, 93 (3). pp. 687-704. ISSN 0006-3444

Motakis, E. S., Nason, Guy P., Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X 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

Antoniadis, Anestis and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2006) Parametric modelling of thresholds across scales in wavelet regression. Biometrika, 93 (2). pp. 465-471. ISSN 0006-3444

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Nason, Guy P. (2006) Haar-Fisz estimation of evolutionary wavelet spectra. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 68 (4). pp. 611-634. ISSN 1369-7412

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (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 ORCID: 0000-0002-9676-902X 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 ORCID: 0000-0002-9676-902X, van Bellegem, Sébastien and von Sachs, Rainer (2003) Forecasting non-stationary time series by wavelet process modelling. Annals of the Institute of Statistical Mathematics, 55 (4). pp. 737-764. ISSN 0020-3157

Book Section

Sanderson, Jean and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2007) Locally stationary wavelet coherence with application to neuroscience. In: Barber, S., Baxter, P. D. and Mardia, K. V., (eds.) Systems Biology and Statistical Bioinformatics. Leeds University Press, Leeds, UK, pp. 69-72. (Submitted)

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X 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

van Bellegem, Sébastien, Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and von Sachs, Rainer (2003) A wavelet-based model for forecasting non-stationary processes. In: Gazeau, J-P, Kerner, R, Antoine, J-P and Metens, S, (eds.) Group 24: Physical and Mathematical Aspects of Symmetries: Proceedings of the 24th International Colloquium on Group Theoretical. Institute of Physics conference series (173). Institute of Physics Publishing, Bristol, UK, pp. 955-958. ISBN 9780750309334

Monograph

Christodoulaki, Olga, Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2011) A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929. GreeSE (50). Hellenic Observatory, London School of Economics and Political Science, London, UK.

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X and Nason, Guy P. (2004) Smoothing the wavelet periodogram using the Haar-Fisz transform. Technical report (03:08). Department of Mathematics, University of Bristol, Bristol, UK. (Submitted)

Conference or Workshop Item

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2008) Multiscale breakpoint detection in piecewise stationary AR models. In: IASC2008, 2008-12-05 - 2008-12-08, Yokohama, Japan, JPN. (Submitted)

Sanderson, Jean and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2007) Locally stationary wavelet coherence with application to neuroscience. In: Proceedings of the 56th session of the International Statistical Institute, 2007-08-22 - 2007-08-29, Lisbon, Portugal, PRT. (Submitted)

Thesis

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2003) Wavelet techniques for time series and poisson data. Doctoral thesis, University of Bristol.

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2000) The application of linear programming to American option valuation in the jump-diffusion model. Doctoral thesis, University of Wrocław.