Tobias Kley

I am currently a Postdoctoral Research Officer in the Department of Statistics at the London School of Economics.

Research

My research interests are time series analysis (especially spectral analysis) and software development (especially with R).

Predictive, finite-sample model choice for time series under stationarity and non-stationarity. submitted. (with P. Preuß and P. Fryzlewicz). [arXiv, CRAN, R code*]
Quantile cross-spectral measures of dependence between economic variables. submitted. (with J. Baruník) [arXiv, SSRN, R code*].
Quantile spectral analysis for locally stationary time series. submitted. (with S. Birr, H. Dette, M. Hallin, and S. Volgushev) [arXiv].
Quantile spectral processes: asymptotic analysis and inference. Bernoulli, 22(3), 1770-1807. (with H. Dette, M. Hallin, and S. Volgushev) [PDF,arXiv].
Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: the quantspec Package. Journal of Statistical Software, 70(3), 1-27. [PDF,arXiv]
Of copulas, quantiles, ranks and spectra: an L1-approach to spectral analysis. Bernoulli, 21(2), 781-831. (with H. Dette, M. Hallin, and S. Volgushev). [PDF, arXiv]

*) the R code can be used to replicate the figures in the paper.

forecastSNSTS: Forecasting for Stationary and Non-Stationary Time Series. R package version 1.0-0. [CRAN, GitHub]
quantspec: Quantile-Based Spectral Analysis Functions. R package version 1.2-1. [CRAN, GitHub]

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

Telephone: (44-20) 7955 6053