Marie Curie Career Integration Grant

Advance Challenging Statistical Analysis for Massive High-Dimensional Nonlinear Spatial Time Series

In general, nonlinear features in spatial/temporal modelling are not possible within the traditional scope of covariance structures, and require more sophisticated tools. This proposal aims to develop new modelling and prediction tools with nonlinear time-lagged and spatial neighboring effects. In order to avoid the dangers of possible model mis-specification in using parametric approaches, we will develop nonparametric and semiparametric techniques for nonlinear spatio-temporal modelling and prediction, which allow the data to speak for themselves in determining the complex form of mathematical relationships between variables without prespecifying a parametric structure on the data-generating process.

Recent Publications under acknowledgement of MC-CIG:

[1] 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)

[2] 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.

[3] 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)

[4] 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.

Some Recent Publications related to this project:

[5] 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

[6] 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)

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

[8] 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.

[9] 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).

Invited Seminars and Conferences with support under this project:

[1] The 10th International Conference on Computational and Financial Econometrics (CFE 2016), the Higher Technical School of Engineering, University of Seville, Spain, 9-11 December 2016. Member of Scientific Program Committee, and organiser of invited sessions “CO403: Advances in complex spatial and spatio-temporal econometrics” (with Maria Kyriacou) and “CO533: Financial econometrics under uncertainty” (with Yan Sun)

[2] Invited Speaker for Statistics Seminar at University of Manchester, “Recent progress of nonlinear spatial modelling with nonparametric and semiparametric approaches: A personal review”, 27 April 2016.

[3] Invited Speaker for “Workshop on Frontier Research in Statistics in memory of Professor Ping Cheng”, jointly held by Chinese Academy of Sciences (Academy of Mathematics and Systems Science) and Capital Normal University, Beijing, 18-20 Dec. 2015.

[4] The 9th International Conference on Computational and Financial Econometrics (CFE 2015), Senate House, University of London, 12-14 Dec. 2015. Member of Scientific Program Committee, and organiser and chair of invited session “CO596: Temporal and spatial econometric modelling and testing”.

[5] Invited Speaker for “Workshop on recent developments in statistics for complex dependent data”, held, at Loccum, by Institut für Mathematische Stochastik, Technische Universität Braunschweig, August 27-30, 2015.

[6] Invited Speaker for “Workshop on Financial Engineering and Risk Management”, held by Center for Financial Engineering and Risk Management, Sun Yat-Sen University, Guangzhou, China, 25-26, July, 2015.

[7] 2015 IMS-China International Conference on Statistics and Probability, Kunming, 1-4 July 2015, Organiser and chair of invited session “IS07 Semiparametric analysis of nonstationary time series and spatio-temporal processes”.

[8]Invited seminar speaker, University of Kent, School of Mathematics, Statistics & Actuarial Science, 4 Dec. 2014.

[9] The 8th International Conference on Computational and Financial Econometrics (CFE 2014), at the University of Pisa, Italy, 6-8 December 2014.

[10] Invited speaker , Nonlinear time series analysis - thresholding and beyond: a conference in honour of Professor Howell Tong to celebrate his 70th birthday, 19-20 Sept 2014, London School of Economics.

[11] Invited seminar speaker, School of Mathematics, Hefei University of Technology, 15 July, 2014.

[12] Invited short course and visiting School of Economics and Management, Nanjing University of Sci. & Tech., 1-15 July 2014.

[13] Invited speaker, Annual Meeting of China Engineering Applied Probability and Statistics, Tianjin University, 19-22, July 2014.

[14] 2014 China Meeting of Econometric Society. June 25-27, 2014. Xiamen University, China.