Anna Louise Schröder

PhD student in the Department of Statistics

Supervised by Prof. Piotr Fryzlewicz

Office: TW1, Room 11.01



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


Research Interests

·         Non-stationary time series

·         Multi-scale correlation estimation

·         Change-point detection in mean and variance

·         Change-point detection in time-varying spectra

·         Statistical analysis in finance

·         Applications in neuroscience


·         Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery, with Piotr Fryzlewicz. Statistics and Its Interface, 6, 449-461.

·         FreSpeD: Frequency-specific change-point detection in epileptic seizure multi-channel EEG data, with Hernando Ombao from the UCI Space-Time Group. Under review.
The R package FreSpeD (part of our submission) has not been officially released on CRAN. I am happy to provide source code of the submitted package version.
The video clip below illustrates our method’s performance on a live recording of an epileptic seizure. The upper graphic represents electrode channel locations on the human scalp, using the international 10–20 name convention. Channels light up red if a change point is detected in a channel’s normalized spectrum. If the coherence between two channels changes, a lines appears between them. The lower panel shows the recording at one channel, with the red bar indicating the current point in time. At the seizure onset (c. 35s in this visualization) we detect a large number of changes near-simultaneously at channel- and coherence-level. Details on definitions and data are provided upon request.





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[Last modified: September 2015 by A. L. Schröder]
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