Edit Profile (opens in new tab) Fryzlewicz, Piotr Co-Author Distance Author ID: fryzlewicz.piotr Published as: Fryzlewicz, Piotr; Fryzlewicz, P. External Links: MGP Documents Indexed: 41 Publications since 2003 1 Further Contribution Co-Authors: 23 Co-Authors with 30 Joint Publications 389 Co-Co-Authors all top 5 Co-Authors 11 single-authored 6 Cho, Haeran 4 Subba Rao, Suhasini 3 Nason, Guy P. 2 Antoniadis, Anestis 2 Baranowski, Rafal 2 Blaser, Rico 2 Chen, YiNing 2 Huang, Na 2 Sapatinas, Theofanis 2 von Sachs, Rainer 1 Ahmad, Amir A. 1 Anastasiou, Andreas 1 Bailey, Natalia 1 Barigozzi, Matteo 1 Bouveyron, Charles 1 Coad, D. Stephen 1 Critchley, Frank 1 Dang, Wei 1 Delouille, Véronique 1 Fan, Jianqing 1 Fan, Yingying 1 Farné, Matteo 1 Ferreira, Marco A. R. 1 Fine, Jason Peter 1 Frommlet, Florian 1 Gijbels, Irène 1 Gilks, Wally 1 Halawani, Sami M. 1 Hallin, Marc 1 Hashmi, Sarosh 1 Herrmann, Klaus 1 Holzmann, Hajo 1 Hu, Charlie 1 Huang, Hanwen 1 Huang, Jian 1 Jang, Woncheol 1 Jung, Sungkyu 1 Kent, John T. 1 Kley, Tobias 1 Korkas, Karolos K. 1 Lam, Clifford 1 Leister, Anna 1 Letué, Frédérique 1 Liao, Yuan 1 Lim, Johan 1 Linton, Oliver Bruce 1 Liu, Han 1 Liu, Yufeng 1 Maeng, Hyeyoung 1 Marron, James Stephen 1 Maruri-Aguilar, Hugo 1 Mateu, Jorge 1 Mincheva, Martina 1 Montanari, Angela 1 Oh, Heeseok 1 Ombao, Hernando C. 1 Onatski, Alexei 1 Pan, Guangming 1 Peng, Heng 1 Pesaran, M. Hashem 1 Pourahmadi, Mohsen 1 Preuß, Philip 1 Samworth, Richard J. 1 Schröder, Anna Louise 1 Shen, Dan 1 Shen, Haipeng 1 Tang, Chengyong 1 Van Bellegem, Sébastien 1 Verhasselt, Anneleen 1 Viroli, Cinzia 1 Vogt, Michael P. 1 Wang, Lie 1 Won, Joongho 1 Xue, Lingzhou 1 Yamagata, Takashi 1 Yu, Keming 1 Yu, Yi 1 Yuen, Christine 1 Zhang, Jian 1 Zhang, Wenyang 1 Zhou, Yong 1 Zou, Hui all top 5 Serials 7 Journal of the Royal Statistical Society. Series B. Statistical Methodology 6 Statistica Sinica 4 Biometrika 4 Journal of the Korean Statistical Society 3 The Annals of Statistics 3 Electronic Journal of Statistics 2 Journal of the American Statistical Association 2 Statistics and Computing 1 Metrika 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Journal of Econometrics 1 Journal of Time Series Analysis 1 Test 1 Bernoulli 1 Journal of the Royal Statistical Society. Series C. Applied Statistics 1 Journal of Machine Learning Research (JMLR) 1 Statistics and Its Interface 1 Journal of Computational and Graphical Statistics all top 5 Fields 42 Statistics (62-XX) 12 Numerical analysis (65-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 2 Probability theory and stochastic processes (60-XX) 2 Information and communication theory, circuits (94-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 37 Publications have been cited 551 times in 352 Documents Cited by ▼ Year ▼ Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors’ reply. Zbl 1411.62138Fan, Jianqing; Liao, Yuan; Mincheva, Martina 169 2013 Wild binary segmentation for multiple change-point detection. Zbl 1302.62075Fryzlewicz, Piotr 127 2014 Multiple-change-point detection for high dimensional time series via sparsified binary segmentation. Zbl 1414.62356Cho, Haeran; Fryzlewicz, Piotr 63 2015 Narrowest-over-threshold detection of multiple change points and change-point-like features. Zbl 1420.62157Baranowski, Rafal; Chen, Yining; Fryzlewicz, Piotr 28 2019 Normalized least-squares estimation in time-varying ARCH models. Zbl 1133.62071Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini 26 2008 Forecasting non-stationary time series by wavelet process modelling. Zbl 1047.62085Fryzlewicz, Piotr; van Bellegem, Sébastian; von Sachs, Rainer 24 2003 The Dantzig selector in Cox’s proportional hazards model. Zbl 1349.62473Antoniadis, Anestis; Fryzlewicz, Piotr; Letué, Frédérique 23 2010 Mixing properties of ARCH and time-varying ARCH processes. Zbl 1284.62550Fryzlewicz, Piotr; Rao, Suhasini Subba 22 2011 Haar-Fisz estimation of evolutionary wavelet spectra. Zbl 1110.62121Fryzlewicz, Piotr; Nason, Guy P. 22 2006 A Haar-Fisz technique for locally stationary volatility estimation. Zbl 1109.62095Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini 20 2006 Simultaneous multiple change-point and factor analysis for high-dimensional time series. Zbl 1398.62221Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr 20 2018 Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Zbl 1417.62240Cho, Haeran; Fryzlewicz, Piotr 19 2012 High dimensional variable selection via tilting. Zbl 1411.62183Cho, Haeran; Fryzlewicz, Piotr 18 2012 Consistent classification of nonstationary time series using stochastic wavelet representations. Zbl 1388.62253Fryzlewicz, Piotr; Ombao, Hernando 15 2009 Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Zbl 1411.62248Fryzlewicz, P.; Rao, S. Subba 14 2014 Tail-greedy bottom-up data decompositions and fast multiple change-point detection. Zbl 1454.62109Fryzlewicz, Piotr 13 2018 Unbalanced Haar technique for nonparametric function estimation. Zbl 1333.62014Fryzlewicz, Piotr 12 2007 Estimating linear dependence between nonstationary time series using the locally stationary wavelet model. Zbl 1406.62100Sanderson, J.; Fryzlewicz, P.; Jones, M. W. 12 2010 Multiple change-point detection for non-stationary time series using wild binary segmentation. Zbl 1356.62143Korkas, Karolos K.; Fryzlewicz, Piotr 7 2017 Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection. Zbl 1485.62116Fryzlewicz, Piotr 7 2020 Detecting multiple generalized change-points by isolating single ones. Zbl 07472633Anastasiou, Andreas; Fryzlewicz, Piotr 6 2022 High-dimensional volatility matrix estimation via wavelets and thresholding. Zbl 1452.62764Fryzlewicz, P. 6 2013 Multiscale interpretation of taut string estimation and its connection to unbalanced Haar wavelets. Zbl 1221.62056Cho, Haeran; Fryzlewicz, Piotr 6 2011 Predictive, finite-sample model choice for time series under stationarity and non-stationarity. Zbl 1432.62323Kley, Tobias; Preuß, Philip; Fryzlewicz, Piotr 5 2019 Random rotation ensembles. Zbl 1360.68666Blaser, Rico; Fryzlewicz, Piotr 4 2016 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. Zbl 1326.91035Fryzlewicz, Piotr; Schröder, Anna Louise 4 2013 Goes-8 X-ray sensor variance stabilization using the multiscale data-driven Haar-Fisz transform. Zbl 1490.62507Fryzlewicz, Piotr; Delouille, Véronique; Nason, Guy P. 4 2007 Thick pen transformation for time series. Zbl 1226.62077Fryzlewicz, Piotr; Oh, Hee-Seok 4 2011 Data-driven wavelet-Fisz methodology for nonparametric function estimation. Zbl 1320.62090Fryzlewicz, Piotr 4 2008 A wavelet-Fisz approach to spectrum estimation. Zbl 1199.62021Fryzlewicz, Piotr; Nason, Guy P.; Von Sachs, Rainer 3 2008 Parametric modelling of thresholds across scales in wavelet regression. Zbl 1153.62026Antoniadis, Anestis; Fryzlewicz, Piotr 3 2006 Bivariate hard thresholding in wavelet function estimation. Zbl 1132.62024Fryzlewicz, Piotr 3 2007 Ranking-based variable selection for high-dimensional data. Zbl 1460.62033Baranowski, Rafal; Chen, Yining; Fryzlewicz, Piotr 3 2020 Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously. Zbl 1296.62070Fryzlewicz, Piotr 1 2012 Regularizing axis-aligned ensembles via data rotations that favor simpler learners. Zbl 1461.62013Blaser, Rico; Fryzlewicz, Piotr 1 2021 Likelihood ratio Haar variance stabilization and normalization for Poisson and other non-Gaussian noise removal. Zbl 1406.62035Fryzlewicz, Piotr 1 2018 Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection – rejoinder. Zbl 1485.62117Fryzlewicz, Piotr 1 2020 Detecting multiple generalized change-points by isolating single ones. Zbl 07472633Anastasiou, Andreas; Fryzlewicz, Piotr 6 2022 Regularizing axis-aligned ensembles via data rotations that favor simpler learners. Zbl 1461.62013Blaser, Rico; Fryzlewicz, Piotr 1 2021 Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection. Zbl 1485.62116Fryzlewicz, Piotr 7 2020 Ranking-based variable selection for high-dimensional data. Zbl 1460.62033Baranowski, Rafal; Chen, Yining; Fryzlewicz, Piotr 3 2020 Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection – rejoinder. Zbl 1485.62117Fryzlewicz, Piotr 1 2020 Narrowest-over-threshold detection of multiple change points and change-point-like features. Zbl 1420.62157Baranowski, Rafal; Chen, Yining; Fryzlewicz, Piotr 28 2019 Predictive, finite-sample model choice for time series under stationarity and non-stationarity. Zbl 1432.62323Kley, Tobias; Preuß, Philip; Fryzlewicz, Piotr 5 2019 Simultaneous multiple change-point and factor analysis for high-dimensional time series. Zbl 1398.62221Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr 20 2018 Tail-greedy bottom-up data decompositions and fast multiple change-point detection. Zbl 1454.62109Fryzlewicz, Piotr 13 2018 Likelihood ratio Haar variance stabilization and normalization for Poisson and other non-Gaussian noise removal. Zbl 1406.62035Fryzlewicz, Piotr 1 2018 Multiple change-point detection for non-stationary time series using wild binary segmentation. Zbl 1356.62143Korkas, Karolos K.; Fryzlewicz, Piotr 7 2017 Random rotation ensembles. Zbl 1360.68666Blaser, Rico; Fryzlewicz, Piotr 4 2016 Multiple-change-point detection for high dimensional time series via sparsified binary segmentation. Zbl 1414.62356Cho, Haeran; Fryzlewicz, Piotr 63 2015 Wild binary segmentation for multiple change-point detection. Zbl 1302.62075Fryzlewicz, Piotr 127 2014 Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. Zbl 1411.62248Fryzlewicz, P.; Rao, S. Subba 14 2014 Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors’ reply. Zbl 1411.62138Fan, Jianqing; Liao, Yuan; Mincheva, Martina 169 2013 High-dimensional volatility matrix estimation via wavelets and thresholding. Zbl 1452.62764Fryzlewicz, P. 6 2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. Zbl 1326.91035Fryzlewicz, Piotr; Schröder, Anna Louise 4 2013 Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Zbl 1417.62240Cho, Haeran; Fryzlewicz, Piotr 19 2012 High dimensional variable selection via tilting. Zbl 1411.62183Cho, Haeran; Fryzlewicz, Piotr 18 2012 Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously. Zbl 1296.62070Fryzlewicz, Piotr 1 2012 Mixing properties of ARCH and time-varying ARCH processes. Zbl 1284.62550Fryzlewicz, Piotr; Rao, Suhasini Subba 22 2011 Multiscale interpretation of taut string estimation and its connection to unbalanced Haar wavelets. Zbl 1221.62056Cho, Haeran; Fryzlewicz, Piotr 6 2011 Thick pen transformation for time series. Zbl 1226.62077Fryzlewicz, Piotr; Oh, Hee-Seok 4 2011 The Dantzig selector in Cox’s proportional hazards model. Zbl 1349.62473Antoniadis, Anestis; Fryzlewicz, Piotr; Letué, Frédérique 23 2010 Estimating linear dependence between nonstationary time series using the locally stationary wavelet model. Zbl 1406.62100Sanderson, J.; Fryzlewicz, P.; Jones, M. W. 12 2010 Consistent classification of nonstationary time series using stochastic wavelet representations. Zbl 1388.62253Fryzlewicz, Piotr; Ombao, Hernando 15 2009 Normalized least-squares estimation in time-varying ARCH models. Zbl 1133.62071Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini 26 2008 Data-driven wavelet-Fisz methodology for nonparametric function estimation. Zbl 1320.62090Fryzlewicz, Piotr 4 2008 A wavelet-Fisz approach to spectrum estimation. Zbl 1199.62021Fryzlewicz, Piotr; Nason, Guy P.; Von Sachs, Rainer 3 2008 Unbalanced Haar technique for nonparametric function estimation. Zbl 1333.62014Fryzlewicz, Piotr 12 2007 Goes-8 X-ray sensor variance stabilization using the multiscale data-driven Haar-Fisz transform. Zbl 1490.62507Fryzlewicz, Piotr; Delouille, Véronique; Nason, Guy P. 4 2007 Bivariate hard thresholding in wavelet function estimation. Zbl 1132.62024Fryzlewicz, Piotr 3 2007 Haar-Fisz estimation of evolutionary wavelet spectra. Zbl 1110.62121Fryzlewicz, Piotr; Nason, Guy P. 22 2006 A Haar-Fisz technique for locally stationary volatility estimation. Zbl 1109.62095Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini 20 2006 Parametric modelling of thresholds across scales in wavelet regression. Zbl 1153.62026Antoniadis, Anestis; Fryzlewicz, Piotr 3 2006 Forecasting non-stationary time series by wavelet process modelling. Zbl 1047.62085Fryzlewicz, Piotr; van Bellegem, Sébastian; von Sachs, Rainer 24 2003 all cited Publications top 5 cited Publications all top 5 Cited by 707 Authors 23 Fryzlewicz, Piotr 15 Eckley, Idris A. 11 Fearnhead, Paul 10 von Sachs, Rainer 9 Killick, Rebecca 9 Nason, Guy P. 8 Cho, Haeran 7 Subba Rao, Suhasini 6 Dette, Holger 6 Kirch, Claudia 6 Knight, Marina I. 6 Shao, Xiaofeng 6 Yu, Yi 6 Zou, Changliang 5 Munk, Axel 5 Nunes, Matthew A. 5 Ombao, Hernando C. 5 Preuß, Philip 5 Wang, Daren 5 Zhou, Zhou 4 Barigozzi, Matteo 4 Dahlhaus, Rainer 4 Fujimori, Kou 4 Messer, Michael 4 Oh, Heeseok 4 Rinaldo, Alessandro 4 Samworth, Richard J. 4 Schneider, Gaby 4 Vogt, Michael P. 4 Wang, Runmin 4 Yau, Chun Yip 3 Cardinali, Alessandro 3 Chen, YiNing 3 Fan, Jianqing 3 Fotopoulos, Stergios B. 3 Horváth, Lajos 3 Hušková, Marie 3 Jandhyala, Venkata K. 3 Jiang, Feiyu 3 Karmakar, Sayar 3 Li, Housen 3 Li, Runze 3 Li, Zeda 3 Liao, Yuan 3 Linton, Oliver Bruce 3 Liu, Han 3 Lund, Robert B. 3 Maidstone, Robert 3 Mateu, Jorge 3 McGonigle, Euan T. 3 Pan, Guangming 3 Polonik, Wolfgang 3 Rigaill, Guillem 3 Safikhani, Abolfazl 3 Sofronov, Georgy Yu. 3 Tu, Yundong 3 Van Bellegem, Sébastien 3 Wang, Guanghui 3 Wang, Yunlong 3 Wang, Zhaojun 3 Yang, Qing 3 Yin, Guosheng 3 Zhao, Zifeng 2 Anastasiou, Andreas 2 Arlot, Sylvain 2 Aston, John A. D. 2 Bailey, Natalia 2 Banerjee, Moulinath 2 Baranowski, Rafal 2 Behr, Merle 2 Bouzebda, Salim 2 Brault, Vincent 2 Bühlmann, Peter 2 Celisse, Alain 2 Chan, Ngai Hang 2 Chandler, Gabriel 2 Chen, Yuting 2 Chicken, Eric 2 Chiou, Jeng-Min 2 Coad, D. Stephen 2 Critchley, Frank 2 Davis, Richard A. 2 Davis, Seth J. 2 Embleton, Jonathan 2 Ferfache, Anouar Abdeldjaoued 2 Fine, Jason Peter 2 Gibberd, A. J. 2 Grama, Ion G. 2 Hallin, Marc 2 Harchaoui, Zaid 2 Hargreaves, Jessica K. 2 Haynes, Kaylea 2 Heinrichs, Florian 2 Huang, Na 2 Jin, Qiyu 2 Kang, Jian 2 Kaul, Abhishek 2 Kengne, William Charky 2 Koo, Bonsoo 2 Kosorok, Michael R. ...and 607 more Authors all top 5 Cited in 77 Serials 36 Electronic Journal of Statistics 27 The Annals of Statistics 24 Journal of Econometrics 15 Statistics and Computing 14 Journal of the American Statistical Association 14 Computational Statistics and Data Analysis 14 Journal of the Korean Statistical Society 13 Journal of Statistical Planning and Inference 13 Journal of Computational and Graphical Statistics 11 Journal of Time Series Analysis 10 Journal of Multivariate Analysis 9 Bernoulli 8 The Annals of Applied Statistics 7 Communications in Statistics. Theory and Methods 7 Journal of Machine Learning Research (JMLR) 6 Computational Statistics 5 Annals of the Institute of Statistical Mathematics 5 Statistics & Probability Letters 5 Journal of Statistical Computation and Simulation 5 Statistical Papers 5 Journal of Nonparametric Statistics 5 Journal of the Royal Statistical Society. Series B. Statistical Methodology 4 Statistica Sinica 3 Scandinavian Journal of Statistics 3 Statistics 3 Econometric Reviews 3 Test 3 Applied and Computational Harmonic Analysis 3 Econometric Theory 3 Random Matrices: Theory and Applications 3 Bayesian Analysis 2 Metrika 2 Physica A 2 Automatica 2 Journal of Classification 2 Multidimensional Systems and Signal Processing 2 Economics Letters 2 Communications in Statistics. Simulation and Computation 2 Stochastic Processes and their Applications 2 Journal of Inequalities and Applications 2 Journal of Applied Statistics 2 Statistical Inference for Stochastic Processes 2 Applied Stochastic Models in Business and Industry 2 International Journal of Wavelets, Multiresolution and Information Processing 2 Journal of Probability and Statistics 2 Sankhyā. Series A 1 Journal of Mathematical Analysis and Applications 1 Chaos, Solitons and Fractals 1 Biometrical Journal 1 Biometrics 1 Journal of Computational and Applied Mathematics 1 Journal of the Japan Statistical Society 1 Zeitschrift für Analysis und ihre Anwendungen 1 Acta Mathematicae Applicatae Sinica. English Series 1 Statistical Science 1 Journal of Scientific Computing 1 Science in China. Series A 1 Applied Mathematical Modelling 1 European Journal of Operational Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Mathematical Imaging and Vision 1 Journal of Mathematical Sciences (New York) 1 Journal of Computational Neuroscience 1 Journal of the Royal Statistical Society. Series C. Applied Statistics 1 Extremes 1 Brazilian Journal of Probability and Statistics 1 Nonlinear Analysis. Real World Applications 1 Quantitative Finance 1 Multiscale Modeling & Simulation 1 Advances in Data Analysis and Classification. ADAC 1 Statistical Analysis and Data Mining 1 Journal of Statistical Theory and Practice 1 Statistics Surveys 1 Science China. Mathematics 1 Journal of Agricultural, Biological, and Environmental Statistics 1 Journal of Time Series Econometrics 1 SIAM Journal on Mathematics of Data Science all top 5 Cited in 14 Fields 338 Statistics (62-XX) 45 Probability theory and stochastic processes (60-XX) 34 Numerical analysis (65-XX) 20 Harmonic analysis on Euclidean spaces (42-XX) 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Information and communication theory, circuits (94-XX) 10 Computer science (68-XX) 8 Operations research, mathematical programming (90-XX) 5 Biology and other natural sciences (92-XX) 3 Dynamical systems and ergodic theory (37-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) Citations by Year