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"Fryzlewicz, Piotr"

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Number of items: 41.

Article

Fryzlewicz, Piotr (2014) Wild binary segmentation for multiple change-point detection. Annals of Statistics . ISSN 0090-5364

Fryzlewicz, Piotr and Cho, Haeran (2014) Multiple change-point detection for high-dimensional time series via sparsified binary segmentation. Journal of the Royal Statistical Society: Series B . ISSN 1467-9868

Fryzlewicz, Piotr and Subba Rao, Suhasini (2013) Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society: Series B (Statistical Methodology), Online . ISSN 1369-7412

Fryzlewicz, P. (2013) High-dimensional volatility matrix estimation via wavelets and thresholding. Biometrika . ISSN 0006-3444

Schroeder, Anna Louise and Fryzlewicz, Piotr (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 (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

Fryzlewicz, Piotr and Subba Rao, Suhasini (2013) Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society: Series B (Statistical Methodology), online . n/a-n/a. ISSN 1369-7412 (In Press)

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

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) Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Statistica Sinica, 22 (1). pp. 207-229. ISSN 1017-0405

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

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

Antoniadis, Anestis, Fryzlewicz, Piotr 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 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 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

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

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

Fryzlewicz, Piotr (2007) Bivariate hard thresholding in wavelet function estimation. Statistica Sinica, 17 (4). pp. 1457-1481. ISSN 1017-0405

Fryzlewicz, Piotr, 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, 56 (1). pp. 99-116. ISSN 0035-9254

Fryzlewicz, Piotr, 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 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 (2006) Parametric modelling of thresholds across scales in wavelet regression. Biometrika, 93 (2). pp. 465-471. ISSN 0006-3444

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

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, 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 (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.

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

van Bellegem, Sébastien, Fryzlewicz, Piotr 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 (2011) A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929. GreeSE, 50. Hellenic Observatory, London, UK.

Fryzlewicz, Piotr 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. (Unpublished)

Conference or Workshop Item

Cho, Haeran and Fryzlewicz, Piotr (2008) Multiscale breakpoint detection in piecewise stationary AR models. In: IASC2008, 5-8 December 2008, Yokohama, Japan. (Unpublished)

Sanderson, Jean and Fryzlewicz, Piotr (2007) Locally stationary wavelet coherence with application to neuroscience. In: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisbon, Portugal.

Thesis

Fryzlewicz, Piotr (2003) Wavelet techniques for time series and poisson data. PhD thesis, University of Bristol.

Fryzlewicz, Piotr (2000) The application of linear programming to American option valuation in the jump-diffusion model. Other thesis, Wroclaw University of Technology.

This list was generated on Sat Oct 25 02:08:42 2014 BST.