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Zudi Lu

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Professor Zudi Lu is Professor within Mathematical Sciences at the University of Southampton.

Prof Zudi LU joined, as a Professor/Chair in Statistics, in Mathematical Sciences Academic Unit and Southampton Statistical Sciences Research Institute (S3RI) at University of Southampton, UK, in late 2013. Prior to that, he had worked at several international academic institutions, including the University of Adelaide (2009-2013) and Curtin University (2006-2009) in Australia, the London School of Economics (2003-2006) in the UK, the Academy of Mathematics and Systems Science (1997-2003) in Beijing, China, and the Universite Catholique de Louvain (1996-1997) in Louvain-la-Neuve, Belgium, after he received his PhD degree from the Chinese Academy of Sciences in 1996. He was a recipient of the Australian Research Council Future Fellowship in its 2010 round, and is an elected member of the International Statistical Institute.

Publications

  • Hu, F., Lu, Z., Wong, H. and Yuen, T.P. (2016).  Analysis of air quality time series of Hong Kong with graphical modeling, Environmetrics, accepted. DOI: 10.1002/env.2386
  • Chen, J., Li, D., Linton, O. & Lu, Z. (in press). Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables, Journal of Econometrics, accepted. [Tier A* journal in ERA (Excellence in Research for Australia)] (Year2014 SCI Impact Factor (IF)= 1.533)
  • Yuanyao Ding and Zudi Lu (2016)  The optimal portfolios based on a modified safety-first rule with risk-free saving. Journal of Industrial and Management Optimization, 12, (1), 83-102.
  • Li, D., Linton, O. & Lu, Z. (2015). A Flexible Semiparametric Forecasting Model for Time Series. Journal of Econometrics, 187, 345–357. [Tier A* journal in ERA] (IF= 1.533)
  • Hallin, M., Lu, Z., Paindaveine, D. & Siman, M. (2015). Local Bilinear Multiple-Output Quantile/Depth Regression.  Bernoulli, 21, 1435-1466. [Tier A journal in ERA] (IF=1.296)
  • Lu, Z. and Tjostheim, D. Nonparametric estimation of the probability density functions for irregularly observed spatial data.  Journal of the American Statistician Association, 2014, Volume 109, Issue 508, pages 1546-1564.
  • Yan Sun, Hongjia Yan, Wenyang Zhang, and Zudi Lu "A semiparametric spatial dynamic model", Annals of Statistics, 42 (2014), no. 2, 700-727.
  • Zudi Lu, Qingguo Tang and Longsheng Cheng. Estimating Spatial Quantile Regression with Functional Coefficients: A robust semiparametric framework. Bernoulli, Volume 20, Number 1 (February 2014), 164-189.
  • Z. Jiang, C. Du, A. Jablensky, H. Liang, Z.Lu, Y. Ma & K.L. Teo. Analysis of Schizophrenia Data Using a Nonlinear Threshold Index Logistic Model. PLOS-ONE, October 2014 | Volume 9 | Issue 10 | e109454. doi:10.1371/ journal.pone.0109454   (SCI Impact factor 3.534 in 2013).
  • Zhi-Fang Guo, Long-Sheng Cheng, Zu-Di Lu. Economic Design of the Variable Parameters X¯ Control Chart with a Corrected A&L Switching Rule. Quality and Reliability Engineering International, Volume 30, Issue 2, pages 235–246, March 2014.
  • Fei Hu, Cheng C Lim and Zudi Lu. Optimal production and procurement decisions in a supply chain with an option contract and partial backordering under uncertainties. Applied Mathematics and Computation, Volume 232, 1 April 2014, Pages 1225–1234.
  • Lu, Z. (with R. Gerlach, and Huang, H.). Exponentially smoothing the skewed Laplace distribution for Value at Risk forecasting. Journal of Forecasting, Volume 32, Issue 6, pages 534–550, September 2013. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu (with Xinyu Zhang and Guohua Zou). Adaptively Combined Forecast for Discrete Response Time Series. Journal of Econometrics, Volume 176, Issue 1, September 2013, Pages 80–91.
  • Zudi Lu (with Fei Hu, Cheng C Lim, and Xiaochen Sun), Coordination in a single-retailer two-supplier supply chain under random demand and random supply with disruption. Discrete Dynamics in Nature and Society, Volume 2013 (2013), Article ID 484062, 12 pages http://dx.doi.org/10.1155/2013/484062.
  • Hallin, M. & Lu, Z. Discussion of “local quantile regression” by Spokoiny, Wang, and Härdle. Journal of Statistical Planning and Inference, Volume 143, Issue 7, July 2013, Pages 1130-1133.
  • Fei Hu, Cheng-Chew Lim, Zudi Lu. Coordination of supply chains with a flexible ordering policy under yield and demand uncertainty. International Journal of Production Economics, Volume 146, Issue 2, December 2013, Pages 686–693. 2009-2012
  • Lu, Z. (with Steinskog, D.J., Tjostheim, D. and Yao, Q.), Adaptively Varying- Coefficient Spatiotemporal Models.  Journal of Royal Statistical Society, Series B., (2009) 71, 859-880 (22 pages). [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Lu, Z (with Gao, J., King, M., and Tjostheim, D.),   Specification Testing in Nonlinear and Nonstationary Time Series Autoregression.  Annals of Statistics, (2009), 37, 3893-3928 (36 pages). [Tier A* journal in ERA (Excellence in Research for Australia) ]
  • Zudi Lu (with Q. Chen, R. Gerlach) Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution. Computational Statistics and Data Analysis (2012), 56, 3498–3516. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Degui Li and Oliver Linton). Local Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rates. Econometric Theory, Volume 28 / Issue 05 / October 2012, pp 935-958. [Tier A* journal in ERA (Excellence in Research for Australia)]  
  • Zudi Lu (with Wenyang Zhang), Semiparametric likelihood estimation in survival models with informative censoring. Journal of Multivariate Analysis, 2012, 106, 187-211. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Z. (with Hallin, M., and Yu, K.), Local Linear Spatial Quantile Regression. Bernoulli, (2009), 15, 659-686 (28 pages). [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Z (with Gao, J., King, M., and Tjostheim, D.) , Model Specification Testing in Nonparametric Time Series Regression with Nonstationarity.  Econometric Theory, (2009), 25,1869-1892 (24 pages).  [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Lu, Z.. Book review: Alan E. Gelfand, Peter J. Diggle, Montserrat Fuentes and Peter Guttorp (editors), Handbook of Spatial Statistics , Chapman & Hall/CRC, Boca Raton, 2010.  No. of pages: xii+607.  ISBN 978-1-4200-7287-7.  Statistics in Medicine, (2011) 30, 899-900. (Invited book review). [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu (with Yucheng Zhuang), Risk, Return and Market Condition: From a Three-Beta to a Functional-Beta Capital Asset Pricing Model. An invited referee-reviewed chapter paper, in Risk Management for the Future – Theory and Cases (edited by J. Emblemsvag), Chapter 17, 391-412, 2012, Intech. ISBN 978-953-51-0571-8. DOI: 10.5772/32027
  • Lu, Zudi (with Masnita Misiran, KL Teo and Grace Aw). Estimation of Dynamic Geometric Fractional Brownian Motion with Application to Long-memory Option Pricing. Dynamic Systems and Applications, 21 (2012) 49-66
  • Lu, Zudi (with Shi Li). Estimating the Value at Risk of Portfolios: Skewed-EWMA Forecasting via Copula.  Australian Actuarial Journal, (2011), 17(1), 87-115.
  • Zudi Lu, Book Review of “Short-Memory Linear Processes and Econometric Applications. By Kairat T. Mynbaev. New Jersey: John Wiley & Sons, 2011. 452 pages. AUD$150.00. ISBN 978-0-470-92419-8.” Australian & New Zealand Journal of Statistics, 2012, pages 1-2, doi: 10.1111/j.1467-842X.2012.00664.x.
  • Zudi Lu (with D. Huang, B. Yu, F. Fabozzi, S. Forcardi, M. Fukushima). Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model. Studies in Nonlinear Dynamics and Econometrics. (2010), 14(2), Article 1, 1-24. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Z. (with Misiran, M., Wu, C., & Teo K.L.), Optimal Filtering of Linear System Driven by Fractional Brownian Motion. Dynamic Systems and Applications 19 (2010) 495-514.
  • Zudi Lu (with Haiwei Peng), Nonlinear analysis of a financial system: exploring the nonlinear impact of the trading volume on the price volatility. Journal of Systems Science and Mathematical Sciences, (2009), 29(11), 1527-1541. (15 pages)
  • Zudi Lu (with Kui FAN and Shouyang WANG), Dynamic linkages between the China and international stock markets.  Asian-Pacific Financial Markets, (2009), 16, 211-230 (20 pages).    2005-2008
  • Zudi Lu (with Jiti Gao and Dag Tjostheim), Estimation in Semi-parametric Spatial Regression. Annals of Statistics, 34, no. 3 (2006), 1395–1435. [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Linton, Oliver) Local linear fitting under Near Epoch Dependence.  Econometric Theory, 23, 2007, 37–70.  Tier A* journal in ERA (Excellence in Research for Australia)
  • Zudi Lu (with Jiti Gao and Dag Tjostheim), Moment Inequality for Spatial Processes. Statistics and Probability Letters, 78 (2008), 687-697.
  • Zudi Lu (with Tjostheim, D. and Yao, Q.), Adaptive Varying-Coefficient Linear Models for Stochastic Processes: Asymptotic Theory.  Statistica Sinica , 17(2007), 177-197. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu (with Tjostheim, D. and Yao, Q.), Spatial Smoothing, Nugget Effect and Infill Asymptotics. 2008, Statistics and Probability Letters, 78 (18). pp. 3145-3151.
  • Zudi Lu (with Shi Li), An application of Copula Function to the Measurement of Value-at-Risk. Management Review, 19 (2008), 34-40. (in Chinese)
  • Zudi Lu (with Dashan Huang, Mingjun Liu), Extreme VaR and its empirical analysis of Shenzhen stock index. Management Review, 2005, 17(6), 16 – 24. (in Chinese)
  • Zudi Lu (with Tjostheim, D. and Yao, Q.), Exploring spatial nonlinearity using additive approximation.  Bernoulli, 13(2), 2007, 447–472. [Tier A journal in ERA (Excellence in Research for Australia)] 2004
  • Lu, Zudi (with Hallin, Marc and Tran, Lanh Tat), Local Linear Spatial Regression.  Annals of Statistics, 2004, 32, 2469--2500. [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Zhu, Hongquan, Wang, Shouyang and Soofi, Abdol S.). Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets. International Journal of Theoretical and Applied Finance, Vol. 7, No. 2 (2004) 135-149.
  • Lu, Zudi (with Yu, Keming), Local linear additive quantile regression. Scandinavian Journal of Statistics, 2004, Volume 31: Issue 3, 333 - 346. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu (with Dashan Huang), The stability analysis of CAViaR risk modeling for Chinese stock markets.  Management Review, 2004, 16(5), 9 - 16. (in Chinese)
  • Zudi Lu (with Xing Chen), Spatial Kernel Regression Estimation: Weak Consistency. Statistics and Probability Letters, 2004, 68, 125-136.    
  • Lu, Zudi (with Hallin, Marc and Tran, Lanh Tat), Kernel Density Estimation for Spatial Processes: The L_1 Theory.  Journal of Multivariate Analysis, 2004, 88, 61-75. [Tier A journal in ERA (Excellence in Research for Australia)] 2003
  • Lu, Zudi (with Yu, Keming and Julian Stander), Quantile regression: application and current advances. Journal of Royal Statistical Society, D. (The Statistician), 2003, 52, 331-350.
  • Zudi Lu (with Y.V. Hui and Andy Lee), Minimum Hellinger Distance Estimation for Poisson Mixture Regression with Applications. Biometrics, 2003, 59, 1016-1026. [Tier A* journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu (with Y.V. Hui), L1 Linear Interpolator of Missing Values in Time Series.  Annals of Institute of Statistical Mathematics, 2003, 55, 197-216. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Huang, Hai; Jiang, Zhenyu and Yu, Keming). A skewed Laplace distribution with financial application.  Financial Systems Engineering （edited by Shou Chen, Shouyang Wang, etc）, pp39--52, Global-Link, Hong Kong, 2003.
  • Lu, Zudi (with Huang, Hai), The main approaches to computing value-at-risk: A review. Management Review, 2003, Vol. 15, No.7, 31—36. (in Chinese)
  • Lu, Zudi, An introduction to the 2003 Nobel Prize in Economics with some suggestions on the development of economics and finance in China.  Management Review, 2003, Vol. 15, No.9, 56—61. (in Chinese) 2002
  • Zudi Lu (with Xing Chen), Spatial Nonparametric Regression Estimation: Non-isotropic Case. Acta Mathematicae Applicate Sinica, English Series (Springer-Verlag), 2002, 18, 641-656.
  • Zudi Lu (with Hongquan Zhu , Shouyang Wang). The kernel estimation of value-at-risk: theory. Journal of Systems Science and Mathematical Sciences, 2002. 22 (3), 365—374.  (in Chinese)
  • Lu Zudi (with Zhu Hongquan). Value-at-risk modeling based on nonparametric kernel method: A Monte Carlo and empirical investigation. Appeared in a book edited by Shouyang Wang, Science Press, Beijing, 2002.  (in Chinese) 2001
  • Lu, Zudi (with Hallin, Marc and Tran, Lanh Tat), Density estimation for spatial linear processes. Bernoulli, 7 (2001), no. 4, 657--668. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Zudi Lu , Asymptotic Normality of Kernel Density Estimators under Dependence.  Annals of Institute of Statistical Mathematics , 2001, 53(3), 447-468. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Gijbels, I.), Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates.  Sci. China Ser. A 44 (2001), no.2, 168--183.  
  • Lu, Zudi (with Jiang, Zhenyu), L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. Statist. Probab. Lett. 51 (2001), no. 2, 121--130.  
  • Lu, Zudi, (with Zhao, Quanshui), Portfolio analysis to Shanghai stock market: a trade-off between mean and absolute deviation.  Journal of Management Sciences in China, 2001, 4(1), 12-27. (in Chinese)
  • Lu, Zudi (with Zhu, Hongquan and Wang Shouyang), The Granger causality analysis of the stock markets in China. Journal of Management Sciences in China, 2001, 4(5), 7-12. (in Chinese) 2000 and before
  • Lu, Zudi, On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term.  Statistica Sinica 8 (1998), no. 4, 1205--1217. [Tier A journal in ERA (Excellence in Research for Australia), Impact factor=1.55  2004]
  • Zudi Lu, A Note on Geometric Ergodicity of Autoregressive Conditional Heteroscedasticity (ARCH) Model.  Statistics and Probability Letter , 1996,30, 305--311.  
  • Lu, Zudi (with Cheng, Ping), Strong consistency of nearest neighbor kernel regression estimation for stationary dependent samples.  Sci. China Ser. A 41 (1998), no. 9, 918--926.  
  • Lu, Zudi, A homoscedasticity-based approximation to GARCH European option. Analyses of Economic and Financial Systems (ed. Deng, Shuhui), Fujian Educational Press, Fuzhou, 1999, 100--107. (in Chinese)
  • Lu, Zudi, Geometric ergodicity of a general ARCH type model with application to some typical models. Chinese Sci. Bulletin, 42(3): 264-264, 1997. The whole paper in: Advances in Operations Research and Systems Engineering, eds. Jifa GU, Genghua FAN,  Shouyang WANG, and Bing WEI, Global-Link Publishing Co., 1998, 76-86.
  • Lu, Zudi (with Cheng, Ping), Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series.  J. Statist. Plann. Inference 65 (1997), no. 1, 67--86. [Tier A journal in ERA (Excellence in Research for Australia)]
  • Lu, Zudi (with Li, Zhu-Yu; Chai, Gen-Xiang), Nonparametric estimation for a nonlinear stable sample process. Nonlinear Funct. Anal. Appl. 5 (2000), no. 2, 81--93.
  • Lu, Zudi (with Cheng, Ping), Nonparametric identification for nonlinear autoregressive time series models: convergence rates. A Chinese summary appears in Chinese Ann. Math. Ser. A} 20 (1999), no. 2, 267. Chinese Ann. Math. Ser. B 20 (1999), no. 2, 173--184.
  • Lu, Zudi, On higher-order stationarity of doubly stochastic time series AR-MA models. Chinese J. Appl. Probab. Statist. 14 (1998), no. 4, 371--380.
  • Lu, Zudi, Asymptotic properties of moment estimates for a double time series model. I. The sample autocovariance (autocorrelation) function. (Chinese) Acta Math. Appl. Sinica  20 (1997), no. 3, 354--361.
  • Lu, Zudi, The higher-order moment structure of a double time series model. (Chinese)  J. Systems Sci. Math. Sci. 17 (1997), no. 1, 36--41.
  • Zudi Lu, Weak Consistency of Nonparametric Kernel Regression Under alpha--mixing Dependence. Chinese Science Bulletin, 1996,Vol.41, No.24, 2219-2221. (in Chinese)
  • Zudi Lu, On Correlation Structure of Doubly Stochastic AR--MA Model and Some Comparisons with ARMA model, Journal of Systems Science and Mathematical Sciences, 1995, Vol.15, No.3, 222-230. (in Chinese)
  • Zudi Lu, On Necessary and Sufficient Condition for Second Order Stationarity of Doubly Stochastic AR--MA Model, Acta Mathematicae Applicate Sinica, 1994,Vol.17, No.3, 374-387. (in Chinese)