421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
9 papers · 2 filters
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
We propose the first comprehensive treatment of high-dimensional time series factor models with multiple change-points in their second-order structure. We operate under the most fl…
High-dimensional variable selection via tilting
Haeran Cho, Piotr Fryzlewicz
The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of th…
Multiple-change-point detection for high dimensional time series via sparsified binary segmentation
Haeran Cho, Piotr Fryzlewicz
Time series segmentation, a.k.a. multiple change-point detection, is a well-established problem. However, few solutions are designed specifically for high-dimensional situations. I…
Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets
Haeran Cho, Piotr Fryzlewicz
We compare two state-of-the-art non-linear techniques for nonparametric function estimation via piecewise constant approximation: the taut string and the Unbalanced Haar methods. W…
Modelling and forecasting daily electricity load curves: a hybrid approach
Haeran Cho, Yannig Goude, Xavier Brossat +1
We propose a hybrid approach for the modelling and the short-term forecasting of electricity loads. Two building blocks of our approach are (i) modelling the overall trend and seas…
Krigings Over Space and Time Based on Latent Low-Dimensional Structures
Da Huang, Qiwei Yao, Rongmao Zhang
We propose a new approach to represent nonparametrically the linear dependence structure of a spatio-temporal process in terms of latent common factors. Though it is formally simil…
Narrowest-Over-Threshold Detection of Multiple Change-points and Change-point-like Features
Rafal Baranowski, Yining Chen, Piotr Fryzlewicz
We propose a new, generic and flexible methodology for nonparametric function estimation, in which we first estimate the number and locations of any features that may be present in…
Testing for high-dimensional white noise using maximum cross-correlations
Jinyuan Chang, Qiwei Yao, Wen Zhou
We propose a new omnibus test for vector white noise using the maximum absolute auto-correlations and cross-correlations of the component series. Based on the newly established app…
Confidence regions for entries of a large precision matrix
Jinyuan Chang, Yumou Qiu, Qiwei Yao +1
Precision matrices play important roles in many practical applications. Motivated by temporally dependent multivariate data in modern social and scientific studies, we consider the…