Academic Experiences

Current Position:

• late 2013-- Professor/Chair (Level E) in Statistics, School of Mathematical Sciences & Southampton Statistical Sciences Research Institute, University of Southampton, U.K.

Previous Employments:

• Jul.2009--late 2013 Associate Professor/Reader (Level D) in Statistics, School of Mathematical Sciences, The University of Adelaide, Australia

• Jul.2006--Jul.2009 Lecturer (Level B before Oct 2008) and Associate Professor/Reader (Level D after Oct 2008) in Applied Statistics/Financial Mathematics, Dept of Maths & Stats, Curtin University of Technology, Australia; Departmental Seminar Coordinator (2008-2009), and Convenor of Study Group of SAFER (Studies on Actuarial, Financial &Environmental Risks) in Perth

• Feb.2003--Jul.2006 Leverhulme Research Officer, Dept of Statistics, London School of Economics and Political Science, UK

• Jan. 1999--Dec.2007 Associate Professor (adjunct, 2003--2007), Acad. of Maths. and Systems Sci., Academia Sinica, Beijing, China

• Jan. 1998--Dec. 1998 Associate Professor, Institute of Systems Science, Academia Sinica, Beijing, China

• Oct. 1997--Dec. 1997 Assistant Professor, Institute of Systems Science, Academia Sinica, Beijing, China

• Oct. 1996--Sept. 1997 Postdoctral Research Fellow, Instit. of Statist./CORE, Universit Catholique de Louvain, Belgium

• Jul. 1991--Aug. 1993 Associate Lecturer, Department of Mathematics, Southeast University, Nanjing, China

Research Interests:

• Nonlinear financial time series modeling and financial statistics / econometrics; 

• Statistical inference and computation for nonlinear dynamic modeling with intelligent (deep) learning, (causal) reasoning and prediction of spatial/temporal (tensor) big data;

• Applied temporal/spatial modeling for actuarial/financial, energy, environmental, climate  and green financial risks;

• Non-parametric/semi-parametric modeling and statistical machine learning; 

• Health Stats and others (Bayesian, survival/missing data, logistic, mixture and robust modeling, etc.)

Grants & Fellowships:

• 2014 – 2018    European Commission Research Executive Agency (Marie Curie Career Integration Grant), “Advance Challenging Statistical Analysis for Massive High-Dimensional Nonlinear Spatial Time Series"Some details

• 2011 - 2015 Australian Research Council, Future Fellowship Grant (2010 round), "Improved Theory and Practice in Econometric Modelling of Nonlinear Spatial Time Series" (ARC Future Fellow/Chief Investigator, stopped after moving to the UK)

• 2013-2015 Australian Research Council Discovery Grant, “Challenging Econometric Issues in Nonlinear High-Dimensional Spatio-Temporal Prediction: Theory and Applications” (Chief Investigator, stopped after moving to the UK)

  • 2009 – 2011 Australian Research Council, Discovery Project Grant, “Nonlinear spatial and spatiotemporal econometrics: theory with applications” (Chief Investigator)

• 2007 – 2007 Internal Research Grant of Curtin University of Technology, “Nonlinear complex temporal and spatial-temporal modeling with application to financial pricing of weather derivatives” (Chief Investigator)

• 2007 – 2009 Start-up Research Fund, Curtin University of Technology, “Research in Statistics and Finance” (Chief Investigator)

• 2003 – 2006 Leverhulme & EPSRC grant fellowships, London School of Economics, “Spatial and spatio-temporal modeling”, “Statistical Inference for Volatility of Time Series” (Leverhulme& EPSRC Research Officer)

• 2003 -- 2005 National Natural Science Foundation of China grant, ``Spatial/temporal forecasting and risk modeling based on quantile regression" (Head)

• 2000 -- 2003 National Natural Science Foundation of China key project grant, ``Uncertain (risk) management and decision modelling" (chief investigator with Kan Cheng and Yuncheng Feng)

• 1999 -- 2001 National Natural Science Foundation of China grant, ``Nonparametric modeling of spatial data" (Head)

• 1999 -- 2000 Grant of China Educational Ministry's Research Fund (Head)

• 1998 -- 1998 MADIS grant (Head)

• 1998 -- 1998 Grant of Youth Special Research Fund, Chinese Academy of Sciences (Head)

• 1996 --1997 Research Fellowship, Universite Catholique de Louvain (Belgium), ``Nonparametric/semiparametric approaches to nonlinear time series" (Research Fellow)

Publications

Since 2013 (appointed as Chair in Statistics by Uni. of Southampton) 

[1]   Zudi Lu, Xiaohang Ren & Rongmao Zhang (2023): On Semiparametrically Dynamic Functional-Coefficient Autoregressive Spatio-Temporal Models with Irregular Location Wide Nonstationarity. Journal of the American Statistical Association, DOI: 10.1080/01621459.2022.2161386

[2]   Wang, X., Yang, W., Ren, X. & Lu, Z., 24 Jan 2023, Can financial inclusion affect energy poverty in China? Evidence from a spatial econometric analysis. (E-pub ahead of print) In: International Review of Economics and Finance. Volume 85, May 2023, Pages 255-269.

[3]  Lu, S., Cheng, L., Lu, Z., Huang, Q. & Khan, B. A., (2022). A Self-Adaptive Grey DBSCAN Clustering Method.  29 Dec 2022, In: The Journal of Grey System . 34, 4, 98-109.

[4]  Kiakojouri, A., Lu, Z., Mirring, P., Powrie, H. E. G. & Wang, L. (2022),  A generalised machine learning model based on multinomial logistic regression and frequency features for rolling bearing fault classification. 1 Aug 2022, (E-pub ahead of print) In: Insight. 64, 8, p. 447-452.

[5]  Xiong Wang, Jingyao Li, Xiaohang Ren & Lu, Z. (2022), Exploring the bidirectional causality between green markets and economic policy: Evidence from the time-varying Granger test. 22 Jun 2022, (Accepted/In press) In: Environmental Science and Pollution Research. (Impact factor 5.053 in 2021)

[6]  .Xiaohang Ren; Yiying Li; Cheng Yan; Fenghua Wen; Zudi Lu (2022). The interrelationship between the carbon futures market and the green bonds market: Evidence from wavelet and quantile-on-quantile methods. Technological Forecasting and Social Change, Volume 179, June 2022, 121611. [IF= 8.593]

[7]  X. Ren, Y. Li, M. Shahbaz, K. Dong, Z. Lu (2022) Climate risk and corporate environmental performance: Empirical evidence from China. Sustainable Production and Consumption, Volume 30, March 2022, Pages 467-477. [The Impact Factor of this journal is 8.921, ranking it 10 out of 127 in Environmental Studies]

[8]  Peng, R. & Lu, Z. (2022), Uniform consistency for local fitting of time series non-parametric regression allowing for discrete-valued response. 13 Jun 2022, (Accepted/In press) In: Statistics and Its Interface.14 p.

[9]  Peng, R. & Lu, Z. (2021) Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification. Econometrics and Statistics. Available online 23 November 2021.

[10]             **Jiang, Z., Ling, N., Lu, Z., Tjøstheim, D., & Zhang, Q. (2020). On bandwidth choice for spatial data density estimation. Journal of the Royal Statistical Society. Series B: Methodological., vol. 82(3), pages 817-840. [IF= 4.488, Year 2020]

[11]            Zudi Lu & Xiaohang Ren (2020). Statistical Intelligent Modelling: Some Personal Thinking on Artificial Intelligence from the Perspective of Statistics. Chapter 4, Artificial Intelligence and Development of Future Society (Editor-in-Chief: Yike Guo), pages 44-58. Beijing: Scientific and Technical Document Press. [In Chinese] (Organized by Association of British Chinese Professors)

[12]             Sun, Y., Lian, G., Lu, Z., Loveland, J., & Blackhurst, I. (2020). Modeling the variance of return intervals toward volatility prediction. Journal of Time Series Analysis, 41(4), 492-519. [IF= 1.366]

[13]            **Marinah Muhammad & Zudi Lu (2020). Estimating the UK index flood: an improved spatial flooding analysis. Environmental Modelling and Assessment, 25, 731–748. [IF= 2.333]

[14]            Yang, W.; Lu, Z.; Wang, D.; Shao, Y.; Shi, J. Sustainable Evolution of China’s Regional Energy Efficiency Based on a Weighted SBM Model with Energy Substitutability. Sustainability 2020, 12, 10073. [IF= 3.251]

[15]             Dawlah AL-SULAMI, ZHENYU JIANG, ZUDI LU and JUN ZHU, (2019). On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions. Journal of Time Series Analysis, 40: 327–342. [IF= 1.366]

[16]             **Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (2019). On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis, Energy Economics, 80 (2019) 234–252. [IF= 7.042]

[17]             Yuaoyao Ding and Zudi Lu (2019). How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons. Journal of Industrial and Management Optimization, accepted in 2019. [IF= 1.801]

[18]             Zhao, C., Fang, C., Gong, Y., & Lu, Z. (2019). The economic feasibility of Blue Carbon cooperation in the South China Sea region. Marine Policy, 113. DOI: 10.1016/j.marpol. 2019.103788 . [IF= 4.173]

[19]            **Chen, J., Li, D., Linton, O. & Lu, Z. (2018). Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series. Journal of the American Statistical Association, Volume 113, 2018 - Issue 522, Pages 919- 932. [IF= 5.033]

[20]            Hiroshi Shiraishi & Zudi Lu. (2018). Semiparametric estimation in the optimal dividend barrier for the classical risk model. Scandinavian Actuarial Journal, Volume 2018, 2018 - Issue 9, Pages 845-862. [IF= 1.741]

[21] Xie, H., Wang, S., & Lu, Z. (2018). The behavioral implications of the bilateral gamma process. Physica A: Statistical Mechanics and its Applications, Volume 500, 15 June 2018, Pages 259-264. [IF= 3.263]

[22] Wang, Zhengyan, Xu, Guanghua, Zhao, Peibiao and Lu, Zudi (2018) The optimal cash holding models for stochastic cash management of continuous time. Journal of Industrial and Management Optimization, 14(1): 1-17. [IF=1.801]

[23]          Wong, Shiu Fung, Tong, Howell, Siu, Tak Kuen and Lu, Zudi (2017) A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Journal of Time Series Analysis, 38, 2, Pages 243–265.  [IF= 1.366]

[24]             **Chen, J., Li, D., Linton, O. & Lu, Z. (2016). Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables, Journal of Econometrics, Volume 194, Issue 2, Pages 309–318. [Tier A* journal in ERA (Excellence in Research for Australia)] [IF= 2.388]

[25]              *Al-Sulami, D., Jiang, Z., Lu, Z, & Zhu, J. (2017).  Estimation for Semiparametric Nonlinear Regression of Irregularly Located Spatial Time Series Data. Econometrics and Statistics, Volume 2, April 2017, Pages 22-35 ttp://dx.doi.org/10.1016/ j.ecosta.2017.01.002 [CiteScore= 2.4]

[26]             Lu, Z. (2017). Book Review: Hidden Markov Models for Time Series: An Introduction Using R, 2nd Edition, by Walter Zucchini, Iain L. Macdonald, and Roland Langrock. Monographs on Statistics and Applied Probability 150, Published by CRC Press, 2016. Total number of pages: 28+370. ISBN: 978-1-4822-5383-2 (Hardback). Journal of Time Series Analysis, DOI: 10.1111/jtsa.12257. [IF= 1.366]

[27]             **Hu, Fei, Lu, Zudi, Wong, Heung and Yuen, Tsz P. (2016) Analysis of air quality time series of Hong Kong with graphical modeling. Environmetrics, 27, (3), 169-181. DOI: 10.1002/env.2386. [IF= 1.900]

[28]             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. [IF= 1.801]

[29]             Lu, Z. (2016). Discussion on the RSS read paper "Causal inference by using invariant prediction: identification and confidence intervals" by Peters, B¨uhlmann and Meinshausen (J. R. Statist. Soc. B (2016) 78, Part 5, pp. 947-1012), J. R. Statist. Soc. B, 78, Page 1001. [IF=4.488]

[30]             *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. (IF= 1.595)

[31]             *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= 1.595)

[32]             *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= 2.388]

[33]             *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. [IF=5.033]

[34]             *Yan Sun, Hongjia Yan, Wenyang Zhang, and Zudi Lu "A semiparametric spatial dynamic model", Annals of Statistics, 42 (2014), no. 2, 700-727. [IF= 4.028]

[35]             *Fei Hu, Cheng-Chew Lim & Zudi Lu (2015). The retailer’s optimal decision on order quantity and credit periods under two-level trade credit policy. Journal of Global Optimisation (2015) 62:833–852. DOI 10.1007/s10898-014-0258-z. [IF= 2.207]

[36]             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. [IF= 2.885]

[37]             *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   [IF= 3.240]

[38]             *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. [IF=4.091]

[39]             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. [IF= 1.111]

[40]             *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. [IF=7.885]

[41]             *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)] [IF= 2.306]

[42]             *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. [IF= 1.348]

[43]             *Zudi Lu (with Xinyu Zhang and Guohua Zou). Adaptively Combined Forecast for Discrete Response Time Series. Journal of Econometrics, 176, Issue 1, 2013, Pages 80–91. [IF= 2.338]

2009-2012 (working at University of Adelaide)

[44]             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)] [IF= 4.488]

[45]             Lu, Z. (with Hallin, M., and Yu, K.), Local Linear Spatial Quantile Regression. Bernoulli, (2009), 15, 659-686 (28 pages). [Tier A journal in Excellence in Research for Australia] (IF=1.595)

[46]             *Lu, Zudi (with Degui Li and Oliver Linton). Local Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rates. Econometric Theory, 28 / Issue 05 / October 2012, pp 935-958. [Tier A* journal in ERA (Excellence in Research for Australia)]  [IF=2.099]

[47]             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) ] [IF=4.028]

[48]   *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)]  [IF= 1.681]

[49]   *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)] [IF= 1.473]

[50]   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)] [IF= 2.373]

[51]             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

[52]             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)] [IF=2.099]

[53]   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. [IF= 0.622]

[54]   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.

[55]   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. [IF= 0.640]

[56]   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 Excellence in Research for Australia] [IF= 0.938]

[57]   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. [IF= 0.622]

[58]   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) 

[59]   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). [Impact Score = 0.75]  

2005-2008

[60]             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)]  [IF=4.028]

[61]             Zudi Lu (with Jiti Gao and Dag Tjostheim), Moment Inequality for Spatial Processes. Statistics and Probability Letters, 78 (2008), 687-697. [IF=0.870]

[62]             Lu, Zudi (with Linton, Oliver) Local linear fitting under Near Epoch Dependence.  Econometric Theory, 23, 2007, 37–70.  (Tier A* journal in Excellence in Research for Australia)  [IF=2.099]

[63]   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)] (IF=1.595)

[64]   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)] [IF= 1.261]

[65]   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. [IF= 0.870]

[66]             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)

[67]   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)

2004

[68]   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)] [IF=4.028]

[69]   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.  [impact score=1.10]

[70]             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)

[71]   Zudi Lu (with Xing Chen), Spatial Kernel Regression Estimation: Weak Consistency. Statistics and Probability Letters, 2004, 68, 125-136.   [IF= 0.870]

[72]   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)]  [IF= 1.396]

[73]   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)] [IF= 1.473]

2003

[74]   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)] [IF= 2.571]

[75]             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.

[76]   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)] [IF= 1.267]

[77]             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)

[78]             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.

[79]             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

[80]             Zudi Lu (with Xing Chen), Spatial Nonparametric Regression Estimation: Non-isotropic Case. Acta Mathematicae Applicate Sinica, English Series (Springer-Verlag), 2002, 18, 641-656. [IF= 1.102]

[81]             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)

[82]             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)

2001

[83]   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)] (IF=1.595)

[84]   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)] [IF= 0.93]

[85]             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.  

[86]   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.  

[87]             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)

[88]             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

[89]   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]

[90]   Zudi Lu, A Note on Geometric Ergodicity of Autoregressive Conditional Heteroscedasticity (ARCH) Model.  Statistics and Probability Letter , 1996,30, 305--311.  

[91]   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.  

[92]             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)

[93]   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)]

[94]             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.

[95]             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.

[96]             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.

[97]             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.

[98]             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.

[99]             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. 

[100]          Zudi Lu, Weak Consistency of Nonparametric Kernel Regression Under alpha--mixing Dependence. Chinese Science Bulletin, 1996,Vol.41, No.24, 2219-2221. (in Chinese)

[101]          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)

[102]          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)

[103] 罗乔林,卢祖帝.正态AR(1)模型参数的极大似然估计的解析解及其讨论[J]. 曲阜师范大学学报(自然科学版) . 1993,19(2):34-38.

[104] 卢祖帝.关于AR-MA双重时序模型平稳解的存在性[J].中国科学院研究生院学报,1991(2).

Professional Associations and Activities

I am a Section (Statistics) Senior Editor of Cogent Mathematics, published by  Taylor & Francis online, http://www.tandfonline.com/action/journalInformation?show=editorialBoard&journalCode=oama20#.VO9qlfmsVGh , and an Associate Editor of Journal of Time Series   Analysis,  http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892/homepage/EditorialBoard.html, and member of editorial board of  Environmental Modeling & Assessment https://www.springer.com/journal/10666/editors , Journal of Applied & Computational  Mathematics  http://www.omicsgroup.org/journals/editorialboardJACM.php and Journal of Business & Management (Today Science) http://todayscience.org/jbmboard.html.

The International Year of Statistics (Statistics2013) http://www.statistics2013.org/ .

The 1st Southampton Workshop in Econometrics and Statistics , organised by Maria Kyriacou and me, was held at the Highfield campus, University of Southampton on the 23rd and 24th of April 2019, focusing on: “Recent Advances in Time Series and Spatial Econometrics (theory & applications)”.

Venue: Highfield Campus, University of Southampton (58/1065).

Dates: 23-24 April, 2019

I am an elected member of the International Statistical Institute, and also the members of the American Statistical Association and the Econometric Society.

When working in Adelaide, Australia, I was organising, with colleagues from the School of Economics at University of Adelaide and the School of Commerce at University of South Australia, an interdisciplinary study group, The Group of Research on Risks in Economic & Environmental Time Series (GREETS).

Now in Southampton, UK, I am organising with colleagues a study group as follows  

Group of Research in Statistical and Econometric Modelling towards Optimising Risk

(RISEMOR) 

This research group now has a  Time Series and Machine Learning Reading Group - HackMD (soton.ac.uk) , coordinated by Dr Chao Zheng

Files

• Extended version-Estimating Spatial Quantile Regression with Functional Coefficients - robust6.pdf [380.7K] (application/pdf)

• Advances in Nonlinear Spatial Time Series Modeling: A personal review - advance.pdf [418.5K] (application/pdf)

• Modeling Conditional Heteroskedasticity for Range-Measured Return Processes

• Al-Sulami, D., Jiang, Z., Lu, Z., & Zhu, J. (2018). On a Semiparametric Data-driven Nonlinear Model with Penalized Spatio-temporal Lag Interactions. Working paper. paper1  

•  Ren, X., Lu, Z., Cheng, C., Shi, Y. & Shen, J. (2018) On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis. Working paper. paper2

• Jiang, Z.,  Ling, N., Lu, Z., Tjøstheim, D. and Zhang, Q. (2018). On Bandwidth Choice for Spatial Data Density Estimation. Working paper. R codes 

• Rong Peng, Zudi Lu (2020)  Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification. Working paper

• Lu, Z., \v{S}iman, M., 2022. Bi-quantile tolerance intervals. Submitted. Working paper