111 citations · 514 across the 9 of their papers we have counts for
9 papers
An interval-valued GARCH model for range-measured return processes
Yan Sun, Guanghua Lian, Zudi Lu +2
Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and s…
Local bilinear multiple-output quantile/depth regression
Marc Hallin, Zudi Lu, Davy Paindaveine +1
A new quantile regression concept, based on a directional version of Koenker and Bassett's traditional single-output one, has been introduced in [Ann. Statist. (2010) 38 635-669] f…
Local Adaptive Grouped Regularization and its Oracle Properties for Varying Coefficient Regression
Wesley Brooks, Jun Zhu, Zudi Lu
Varying coefficient regression is a flexible technique for modeling data where the coefficients are functions of some effect-modifying parameter, often time or location in a certai…
A semiparametric spatial dynamic model
Yan Sun, Hongjia Yan, Wenyang Zhang +1
Stimulated by the Boston house price data, in this paper, we propose a semiparametric spatial dynamic model, which extends the ordinary spatial autoregressive models to accommodate…
Estimating spatial quantile regression with functional coefficients: A robust semiparametric framework
Zudi Lu, Qingguo Tang, Longsheng Cheng
This paper considers an estimation of semiparametric functional (varying)-coefficient quantile regression with spatial data. A general robust framework is developed that treats qua…
Specification testing in nonlinear and nonstationary time series autoregression
Jiti Gao, Maxwell King, Zudi Lu +1
This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asym…