- Type of research degree
- Application deadline
- Ongoing deadline
- Country eligibility
- International (open to all nationalities, including the UK)
- Competition funded
- Dr Stuart Barber
- School of Mathematics
- Research groups/institutes
Duration data are a type of time series where we are interested both in the observed value of some variable and also how long it takes for the next event in a related sequence to happen. (For example, how frequently a given asset is traded and at what price, how often a group of animals visit a location and how many animals there are, or patient monitoring data recorded once per heartbeat).<br /> <br /> They can be analysed in two different ways. One is to take the time intervals (durations) as the observations of interest, and then they become a regular time series which can be analysed using standard methods, or methods which have been proposed specifically for duration data. The classic reference here is Engle and Russell (1998). Such data could be analysed using wavelet methods such as wavelet variance (Percival and Walden, 2006) and the locally stationary wavelet process model (Nason, von Sachs and Kroisandt, 2000) to accommodate non-stationarity.<br /> <br /> Another way is to use the values that are observed at the irregular time points and analyse these. There are fewer methods available for analysing irregular time series, and it would be interesting to develop wavelet tools for this. It would be even more interesting to bring the two ideas together and develop methods (wavelet or otherwise) to jointly analyse both the durations and the values observed at the irregular intervals.
<p>References</p> <p>Engle, RF & Russell, JR (1998). Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica 66, 1127-1162.</p> <p>Percival, DB & Walden, AT (2006). Wavelet methods for time series analysis.<br /> Cambridge: Cambridge University Press.</p> <p>Nason, GP, Von Sachs, R, & Kroisandt, G (2000). Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 62(2), 271-292.</p>
<p>Formal applications for research degree study should be made online through the <a href="https://www.leeds.ac.uk/research-applying/doc/applying-research-degrees">University's website</a>. Please state clearly in the Planned Course of Study section that you are applying for is <em><strong>PHD Statistics</strong></em> and in the research information section that the research degree you wish to be considered for is <em><strong>Locally stationary wavelet process models for autoregressive conditional duration data</strong></em> as well as <a href="https://physicalsciences.leeds.ac.uk/staff/5/dr-stuart-barber">Dr Stuart Barber</a> as your proposed supervisor.</p> <p>If English is not your first language, you must provide evidence that you meet the University's minimum English language requirements (below).</p> <p style="margin-bottom:11px"><em>As an international research-intensive university, we welcome students from all walks of life and from across the world. We foster an inclusive environment where all can flourish and prosper, and we are proud of our strong commitment to student education. Across all Faculties we are dedicated to diversifying our community and we welcome the unique contributions that individuals can bring, and particularly encourage applications from, but not limited to Black, Asian, people who belong to a minority ethnic community, people who identify as LGBT+ and people with disabilities. Applicants will always be selected based on merit and ability.</em></p> <p class="MsoNoSpacing">Applications will be considered on an ongoing basis. Potential applicants are strongly encouraged to contact the supervisors for an informal discussion before making a formal application. We also advise that you apply at the earliest opportunity as the application and selection process may close early, should we receive a sufficient number of applications or that a suitable candidate is appointed.</p> <p>Please note that you must provide the following documents at the point you submit your application:</p> <ul> <li>Full Transcripts of all degree study or if in final year of study, full transcripts to date</li> <li>Personal Statement outlining your interest in the project</li> <li>CV</li> <li>Funding information including any alternative sources of funding that you are applying for or if you are able to pay your own fees and maintenance</li> </ul> <p> </p>
Applicants to research degree programmes should normally have at least a first class or an upper second class British Bachelors Honours degree (or equivalent) in an appropriate discipline. The criteria for entry for some research degrees may be higher, for example, several faculties, also require a Masters degree. Applicants are advised to check with the relevant School prior to making an application. Applicants who are uncertain about the requirements for a particular research degree are advised to contact the School or Graduate School prior to making an application.
The minimum English language entry requirement for research postgraduate research study is an IELTS of 6.0 overall with at least 5.5 in each component (reading, writing, listening and speaking) or equivalent. The test must be dated within two years of the start date of the course in order to be valid. Some schools and faculties have a higher requirement.
<p style="margin-bottom:12px"><strong>Self-Funded or externally sponsored students are welcome to apply.</strong></p> <p><strong>UK</strong> – The <a href="https://phd.leeds.ac.uk/funding/209-leeds-doctoral-scholarships-2022">Leeds Doctoral Scholarships</a> and <a href="https://phd.leeds.ac.uk/funding/234-leeds-opportunity-research-scholarship-2022">Leeds Opportunity Research Scholarship</a> are available to UK applicants (open from October 2023). <a href="https://phd.leeds.ac.uk/funding/60-alumni-bursary">Alumni Bursary</a> is available to graduates of the University of Leeds.</p> <p><strong>Non-UK</strong> –The <a href="https://phd.leeds.ac.uk/funding/48-china-scholarship-council-university-of-leeds-scholarships-2021">China Scholarship Council - University of Leeds Scholarship</a> is available to nationals of China (open from October 2023). The <a href="https://phd.leeds.ac.uk/funding/73-leeds-marshall-scholarship">Leeds Marshall Scholarship</a> is available to support US citizens. <a href="https://phd.leeds.ac.uk/funding/60-alumni-bursary">Alumni Bursary</a> is available to graduates of the University of Leeds.</p> <p><strong>Important:</strong> Any costs associated with your arrival at the University of Leeds to start your PhD including flights, immigration health surcharge/medical insurance and Visa costs are <strong>not</strong> covered under these studentships.</p> <p>Please refer to the <a href="https://www.ukcisa.org.uk/">UKCISA</a> website for information regarding Fee Status for Non-UK Nationals.</p>
<p>For further information about your application, please contact Doctoral College Admissions: e: <a href="mailto:email@example.com">firstname.lastname@example.org</a></p> <p>For further information about this project, please contact Dr Stuart Barber: e: <a href="mailto:S.email@example.com">S.firstname.lastname@example.org</a></p>
<h3 class="heading heading--sm">Linked research areas</h3>