Zhibiao Zhao, Ph.D.

Zhibiao ZhaoAssistant Professor, Department of Statistics

Investigator, The Methodology Center


409 Thomas Building

Department of Statistics

The Pennsylvania State University

University Park, PA 16802








Ph.D., University of Chicago, 2007. (Statistics)

B.S., University of Science and Technology of China, China, 2002. (Statistics)



Research Interests

Nonparametric modeling, longitudinal models, quantile regression, time series, financial econometrics.



Current Projects and Collaborations

I work with Runze Li of The Methodology Center and my student Seonjin Kim on the development and application of longitudinal models. I am primarily interested in developing efficient estimation and inference methodologies using quantile regression approach. I collaborate with Zhijie Xiao at Boston College to study efficient estimations for time series models. In addition, I work with my student Xiaoye Li on non-stationary time series.



Selected Recent Publications

Peer-Reviewed Papers

Wei, Y., Zhao, Z., & Lin, D. (2012). Profile control charts based on nonparametric L-1 regression methods. Annals of Applied Statistics, 6, 409-427. doi: 10.1214/11-AOAS501SUPP

Zhao, Z. (2011). A self-normalized confidence interval for the mean of a class of non-stationary processes. Biometrika, 98, 81-90.

Zhao, Z. (2011). Nonparametric model validations for hidden Markov models with applications in financial econometrics. Journal of Econometrics, 162, 225-239.

Zhao, Z. (2010). Density estimation for nonlinear parametric models with conditional heteroscedasticity. Journal of Econometrics, 155, 71-82.

Zhao, Z., & Wu, W.B. (2009). Nonparametric inference of discretely sampled stable Levy processes. Journal of Econometrics, 153, 83-92.

Zhao, Z., & Wu, W. B. (2008). Confidence bands in nonparametric time series regression. Annals of Statistics, 36, 1854-1878.

Wu, W. B., & Zhao, Z. (2007). Inference of trends in time series. Journal of the Royal Statistical Society, Series B, 69, 391--410.

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