Mathematical Sciences

Zudi Lu

Primary position:
Other positions:
Chair in Statistics


The University of Southampton
Professor Zudi Lu's photo

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.


The University of Southampton's electronic library (e-prints)


Lu, Zudi, Tang, Qingguo and Cheng, Longsheng (2013) Estimating spatial quantile regression with functional coeffients: a robust semiparametric framework. Bernoulli (In Press).
Hallin, Marc and Lu, Zudi (2013) Discussion of “local quantile regression” by Spokoiny, Wang, and Härdle. Journal of Statistical Planning and Inference, 143, (7), 1130-1133. (doi:10.1016/j.jspi.2013.03.009).
Guo, Zhi-Fang, Cheng, Long-Sheng and Lu, Zudi (2013) Economic design of the variable parameters X¯ control chart with a corrected A&L switching rule. Quality and Reliability Engineering International (doi:10.1002/qre.1492).
Gerlach, Richard, Lu, Zudi and Huang, Hai (2013) Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting. Journal of Forecasting, 32, (6), 534-550. (doi:10.1002/for.2255).
Hu, Fei, Lim, Cheng-Chew, Lu, Zudi and Sun, Xiaochen (2013) Coordination in a single-retailer two-supplier supply chain under random demand and random supply with disruption. Discrete Dynamics in Nature and Society, 2013, 1-12. (doi:10.1155/2013/484062).
Zhang, Xinyu, Lu, Zudi and Zou, Guohua (2013) Adaptively combined forecasting for discrete response time series. Journal of Econometrics, 176, (1), 80-91. (doi:10.1016/j.jeconom.2013.04.019).
Li, Degui, Lu, Zudi and Linton, Oliver (2012) Local linear fitting under near epoch dependence: uniform consistency with convergence rates. Econometric Theory, 28, (05), 935-958. (doi:10.1017/S0266466612000011).
Chen, Qian, Gerlach, Richard and Lu, Zudi (2012) Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution. Computational Statistics & Data Analysis, 56, (11), 3498-3516. (doi:10.1016/j.csda.2010.06.018).
Lu , Zudi , Misiran, Masnita , Teo , K.L. and Aw, Grace (2012) Estimation of dynamic geometric fractional brownian motion with application to long-memory option pricing. Dynamic Systems and Applications , 21, 49-66.
Lu, Zudi and Zhang, Wenyang (2012) Semiparametric likelihood estimation in survival models with informative censoring. Journal of Multivariate Analysis, 106, 187-211. (doi:10.1016/j.jmva.2011.10.010).
Lu, Zudi (2012) Short-Memory Linear Processes and Econometric Applications by Kairat T. Mynbaev. Australian & New Zealand Journal of Statistics, 54, (2), 255-257. (doi:10.1111/j.1467-842X.2012.00664.x).
Lu, Z. and Li, S. (2011) Estimating value-at-risk for portfolios: skewed-EWMA forecasting via copula. Australian Actuarial Journal, 17, (1), 87-115.
Misiran, Masnita, Wu, Changzi, Lu, Zudi and Teo, K.L. (2010) Optimal Filtering of Linear System Driven by Fractional Brownian Motion. Dynamic Systems and Applications, 19, 495-514.
Huang, Dashan, Yu, Baimin, Lu, Zudi, Fabozzi, Frank J., Focardi, Sergio and Fukushima, Masao (2010) Index-Exciting CAViaR: a new empirical time-varying risk model. Studies in Nonlinear Dynamics & Econometrics, 14, (2), p.1. (doi:10.2202/1558-3708.1805).
Hallin, Marc, Lu, Zudi and Yu, Keming (2009) Local linear spatial quantile regression. Bernoulli, 15, (3), 659-686. (doi:10.3150/08-BEJ168).
Gao, Jiti, King, Maxwell, Lu, Zudi and Tjøstheim, Dag (2009) Nonparametric specification testing for nonlinear time series with nonstationarity. Econometric Theory, 25, (06), 1869-1892. (doi:10.1017/S0266466609990363).
Peng , Haiwei and Lu, Zudi (2009) 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, 29, (11), 1527-1541.
Lu, Zudi, Steinskog, Dag Johan, Tjøstheim, Dag and Yao, Qiwei (2009) Adaptively varying-coefficient spatiotemporal models. Journal of the Royal Statistical Society Series B (Statistical Methodology), 71, (4), 859-880. (doi:10.1111/j.1467-9868.2009.00710.x).
Gao, Jiti, King, Maxwell, Lu, Zudi and Tjøstheim, Dag (2009) Specification testing in nonlinear and nonstationary time series autoregression. The Annals of Statistics, 37, (6B), 3893-3928. (doi:10.1214/09-AOS698).
Fan, Kui, Lu, Zudi and Wang, Shouyang (2009) Dynamic linkages between the China and international stock markets. Asia-Pacific Financial Markets, 16, (3), 211-230. (doi:10.1007/s10690-009-9093-5).


Research Interests

  • Nonlinear financial time series modelling and financial statistics / econometrics
  • Statistical inference & computation for nonlinear spatial/temporal modelling and prediction
  • Applied temporal/spatial modelling for financial, environmental and socioeconomic risks
  • Non-parametric/semi-parametric modelling and statistical learning
  • Medical statistical modelling & others (Bayesian, survival/missing data, logistic, mixture & robust modelling)

Primary research group:  Statistics


Associate Editor of Journal of Time Series Analysis

Member of editorial board of Journal of Applied & Computational Mathematics
Member of editorial board of Journal of Business & Management (Today Science)

Teaching Responsibilities

MATH3012 Statistical Methods II
MATH6135 Topics in Statistics (Topic 2: Time Series Modelling and Applications with R)


Professor Zudi Lu
Building 54
Mathematical Sciences
University of Southampton
Southampton SO17 1BJ

Room Number: 54/10017