Piotr Kokoszka

Professor of Statistics

Research Interests

My research is concerned with statistical modeling and inference. Areas of current interest include:

• Functional data analysis,
• Time series and spatial statistics,
• Applications to electrical engineering and financial econometrics.

Selected recent publications

P. Kokoszka, N. Mohammadi, H. Wang and S. Wang, Functional diffusion driven stochastic volatility model, Bernoulli, 31 , 922-947, 2025 pdf file

L. Horvath, P. Kokoszka and S. Lu, Variable Selection Based Testing for Parameter Changes Regression with Autoregressive Dependence, Journal of Business & Economic Statistics, 42, 1331-1343, 2024 pdf file

P. Kokoszka, T. Kutta, N. Mohammadi, H. Wang and S. Wang, Detection of a structural break in intraday volatility pattern, Stochastic Processes and their Applications, 176 , 104426, 2024 pdf file pdf E-component

Monograph on functional data   FDA textbook   Data sets:   zip file

Editorial Service

Journal of the Royal Statistical Society (B)
Scandinavian Journal of Statistics
Journal of Multivariate Analysis
Journal of Time Series Analysis
Probability and Mathematical Statistics
Statistical Modelling

Other Links

About me, Canadian Journal of Statistics award , Warsaw talk , Ben's code