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Professor Sofia Olhede

Position Professor of Statistics Honorary Professor of Computer Science
Phone (external) +44 (0)20 7679 8321
Phone (internal) 48321
Email(*) s.olhede
Personal webpage http://www.homepages.ucl.ac.uk/~ucaksc0/
Themes Multivariate and High Dimensional Data StochasticModelling and Time Series

* @ucl.ac.uk 

Biographical Details

Sofia Olhede

Sofia is a professor of Statistics at University College London since October of 2007. She also holds an honorary chair in the UCL computer science department. Having obtained her MSci in Mathematics at Imperial College London in August of 2000, she was awarded the PhD in Mathematics in January of 2003. Her thesis was: Analysis via Time, Frequency and Scale of Nonstationary Signals, and her advisor was Professor Andrew Walden. In 2002 she became a Lecturer in Statistics in the Mathematics Department at Imperial College, and was promoted to Senior Lecturer in 2006. She is currently associate editor for J. Royal Statistical Society (b) and IEEE Trans on Signal Processing. She is the Royal Statistical Society Isaac Newton Institute correspondent and a member of the ICMS programme committee.

Research Interests

Non-stationary and non-linear time series and random fields, time-scale and time-frequency inference, multiscale processing and compressed sensing with applications in finance, oceanography and biomedical signal processing.

Selected publications

  • Olhede S. C., Sykulski A. and Pavliotis G. Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise, Multiscale Modeling and Simulation, 8, 393 – 427.
  • Lilly, J. M. and Olhede, S. C. 2010. On the Analytic Wavelet Transform, IEEE Transactions on Information Theory, 56, 4135–4156.

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