Associate Professor Zudi Lu

Biography/ Background

Academic Experiences:

Current Position:

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

Previous Employments: 

• 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 econometrics / financial mathematics

• Statistical inference of nonlinear spatial/temporal econometric modeling

• Temporal / spatial risk modeling in environmental finance and insurance

• Non-parametric/semi-parametric smoothing/algorithm and statistical learning

• Applied statistics /biostatistics (MCMC, survival / missing data, mixture modeling)

 

Research Funding

Grants & Fellowships:

• 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)

• 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

 To appear and since 2005 

[1]  Zudi Lu (2011), 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)]

[2]  Zudi Lu (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)]

[3]  Zudi Lu (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) ]

[4]  Zudi Lu (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)]

[5]     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)]

[6]     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 (2010), doi:10.1016/j.csda.2010.06.018 . [Tier A journal in ERA (Excellence in Research for Australia)]

[7]  Zudi Lu (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.

[8]  Zudi Lu (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)]

[9]   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).   

[10]  Zudi Lu (with Haiwei Peng), Nonlinear analysis of financial systems: 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) 

[11]  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.

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

[13]  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)]

[14]  Zudi Lu (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)

[15]  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)]

[16]  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)]

[17]  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)

[18]   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

[19]  Zudi Lu (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)]

[20] Zudi Lu (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)]

[21]  Zudi Lu (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)]

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

[23]   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)

[24]   Zudi Lu (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. 

 

2003

[25]  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)]

[26]  Zudi Lu (with Yu, Keming and Julian Stander), Quantile regression: application and current advances. Journal of Royal Statistical Society, D. (The Statistician), 2003, 52, 331-350. 

[27]  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)]

[28]  Zudi Lu (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.

[29]   Zudi Lu (with Huang, Hai), The main approaches to computing value-at-risk: A review. Management Review, 2003, Vol. 15, No.7, 31—36. (in Chinese)

[30]   Zudi Lu, The introduction to the 2003 Nobel Prize in Economics with suggestions on the development of economics and finance in China.  Management Review, 2003, Vol. 15, No.9, 56—61. (in Chinese)

 

2002

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

[32]  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)

[33]  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

[34]  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)]

[35]  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)]

[36]  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.  

[37]  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.  

[38]  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)

[39]  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

[40]  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]

[41]  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)]

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

[43]  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.  

[44]  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)

[45]  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.

[46]  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.

[47] 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.

[48]  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.

[49]  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.

[50]  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. 

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

[52]  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)

[53] 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)

 

Files

• Estimation in Semiparametric Functional-Coefficient Spatial Regression: A Robust Framework - robust1.pdf [362.9K] (application/pdf)
• Advances in Nonlinear Spatial Time Series Modeling: A personal review - advance.pdf [418.5K] (application/pdf)

Entry last updated: Thursday, 15 Sep 2011