## About me

I am a senior lecturer in the School of Mathematics and Statistics at the University of Sheffield. My research interests are on Bayesian inference of time series, dynamic models, statistical process control. I am interested in problems motivated by applied science such as finance, engineering, biology and environmental sciences.

## Selected Publications

- Triantafyllopoulos, K. (2012) Multivariate stochastic volatility modelling using Wishart autoregressive processes. Journal of Time Series Analysis, 33, 48-60.
- Triantafyllopoulos, K. (2011) Real-time covariance estimation for the local level model. Journal of Time Series Analysis, 32, 93-107.
- Triantafyllopoulos, K. and Montana, G. (2011) Dynamic modelling of mean reverted spreads for statistical arbitrage. Computational Management Science, special issue on Computational Finance, 8, 23-49.
- Triantafyllopoulos, K. (2011) Time-varying vector autoregressive models with stochastic volatility. Journal of Applied Statistics, 38, 369-382.
- Triantafyllopoulos, K. and Nason, G.P. (2009) A note on state-space representations of locally stationary wavelet time series. Statistics and Probability Letters, 79, 50-54.
- Montana, G, Triantafyllopoulos, K. and Tsagaris, T. (2009) Flexible least squares for temporal data mining and statistical arbitrage. Expert Systems with Applications, 36, 2819-2830.
- Triantafyllopoulos, K. (2008) Multivariate stochastic volatility with Bayesian dynamic linear models. Journal of Statistical Planning and Inference, 138, 1021-1037.
- Triantafyllopoulos, K. (2008) Missing observation analysis for matrix-variate time series data. Statistics and Probability Letters, 78, 2647-2653.
- Triantafyllopoulos, K. and Harrison, P.J. (2008) Posterior mean and variance approximation for regression and time series problems. Statistics, 42, 329-350.
- Triantafyllopoulos, K. (2007) Covariance estimation for multivariate conditionally Gaussian dynamic linear models. Journal of Forecasting, 26, 551-569.
- Triantafyllopoulos, K and Nason, G.P. (2007) A Bayesian analysis of moving average processes with time-varying parameters. Computational Statistics and Data Analysis, 2nd special issue on Statistical Signal Extraction and Filtering, 52, 1025-1046.
- Godolphin, E.J. And Triantafyllopoulos, K. (2006) Decomposition of time series models in state-space form. Computational Statistics and Data Analysis, 1st special issue on Statistical Signal Extraction and Filtering, 50, 2232-2246.
- Triantafyllopoulos, K. (2006) Multivariate discount weighted regression and local level models. Computational Statistics and Data Analysis, 50, 3702-3720.
- Triantafyllopoulos, K., Godolphin, J.D. And Godolphin, E.J. (2005) Process improvement in the microelectronic industry by state-space modelling. Quality and reliability Engineering International, 21, 465-475.
- Triantafyllopoulos, K. and Pikoulas, J. (2002) Multivariate Bayesian regression applied to the problem of network security. Journal of Forecasting, 21, 579-594

**E-mail Address:**kostas @ shef.ac.uk

**| Telephone:**+44 114 222 3741

**Postal Address:**School of Mathematics and Statistics, Hicks Building, University of Sheffield, Sheffield, S3 7RH, UK | website