DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
|
Chan B.,
Ng K.W.,
Threshold growth rates for sustainable healthcare with
health protection account, Research Report.
Department of Statistics and Actuarial Science, HKU,
2001, 303: 1-8.
|
| Project Title: | Modelling informative
drop-out in longitudinal binary data analysis
|
| Investigator(s): | Dr.
Chan J.S.K. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1998 |
| Abstract: |
| To develop new modelling strategies and estimation
methods for probit linear model with informative drop-out. |
| Project Title: | Modelling trended
binary response with geometric process
|
| Investigator(s): | Dr.
Chan J.S.K. |
| Source(s) of Funding: | Social
Sciences Faculty Research Fund |
| Start Date: | February 2000 |
| Abstract: |
| To derive models and estimation methodologies
for modelling trended binary responses with geometric
process. |
| Project Title: | Extension of informative
drop-out models to handle multiple responses and random
effects in longitudinal binary data analysis
|
| Investigator(s): | Dr.
Chan J.S.K. , Dr. Leung D.Y.P. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | November 2000 |
| Abstract: |
| To extend the current informative drop-out
modelling strategies and estimation methods to handle
data with multiple responses and random effects in
longitudinal binary data analysis. |
|
Chan J.S.K.,
Initial stage problem in autoregressive binary regression,
The Statistican. 2000, 49(4): 495-502.
|
|
Kuk A.Y.C., Chan
J.S.K.,
Three ways of implementing the EM algorithm when parameters
are not identifiable, Biometrical Journal. Wiley-Vch.
Verlag Berlin, 2001, 43: 207-218.
|
| Project Title: | Role of aluminium
in dialysis dementia
|
| Investigator(s): | Dr.
Chan W.S. , Dr. Wong C.S. |
| Department: | School
of Professional and Continuing Education
|
| Source(s) of Funding: | Actuarial
Education and Research Fund, The Actuarial Foundation,
U.S.A. |
| Start Date: | September 1991 |
| Abstract: |
| To study the intestinal absorption of aluminium
(Al), and the effect of Al on liver and brain enzymes,
with a view to acquiring a better understanding of
the role and possible toxic effect of Al and its association
with dialysis dementia. |
| Project Title: | A multivariate stochastic
investment model for actuarial use
|
| Investigator(s): | Dr.
Chan W.S. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1999 |
| Completion Date: | July 2001 |
| Abstract: |
| To build a multivariate autoregressive conditional
heteroscedasticity (MARCH) model of the key variables
considered by Wilkie; to compare the new model with
the original Wilkie Model; to explore possible actuarial
applications of the proposed model. |
|
Chan F.W.H.,
Chan W.S.,
Actuarial Assessment of Damages in Personal Injury
Litigation - The Hong Kong Position and The Comparative
International Aspects, Hong Kong Law Journal.
Hong Kong, Hong Kong Law Journal Ltd, 2000, 272-289.
|
|
Chan F.W.H.,
Chan W.S.,
Actuarial Assessment of Damages in Personal Injury
Litigation in Hong Kong, The International Journal
of Evidence and Proof. UK, Blackstone, 2000, 2000
(3): 194-203.
|
|
Chan W.S.,
Chan F.W.H.,
Lai Wee Lian Revisited - Should Actuarial tables be
used for the assessment of damages in personal injury
litigation in Singapore?, Singapore Journal of Legal
Studies. Singapore, NUS, 2000, 2000: 364-378.
|
|
Chan W.S.,
Modelling corporate bond default risk: A multiple time
series approach, Journal of Actuarial Practice.
U.S.A., Absalom Press, 2000, 8(1): 211-236.
|
|
Chan W.S.,
Modelling corporate bond default risk: a multiple time
series approach, Research Report. Department
of Statistics and Actuarial Science, HKU, 2000, 279:
1-18.
|
|
Chan W.S.,
Chan F.W.H.,
Should actuarial tables be used for the assessment
of damages in personal injury litigation in Singapore?,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2000, 278: 1-16.
|
|
Chan W.S.,
The first mandated social security pension scheme in
Hong Kong, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 292: 1-15.
|
|
Lo W.C., Chan
W.S.,
Diagnosing shocks in stock market returns of greater
china, Multinational Finance Journal. U.S.A.,
Multinational Finance Society, 2000, 4: 269-288.
|
|
Chan Y.F.,
Lee S.M.S.,
An exact iterated bootstrap algorithm for small-sample
bias reduction, Computational Statistics and Data
Analysis. Elsevier Science, 2001, 36: 1-13.
|
|
Chau P.H.,
Yip P.S.F.,
Cui J.,
Reconstructing HIV incidence in Hong Kong using data
from HIV positive tests and AIDS diagnoses, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 300: 1-22.
|
|
Yip P.S.F.,
Yam C.H.K., Chau
P.H.,
A re-visit on seasonal variations in suicides in the
Hong Kong Special Administrative Region (HKSAR), Acta
Psychiat Scand. U.K., Munksgaard, 2001, 103: 315-316.
|
| Project Title: | Bayesian statistics
in actuarial science with applications
|
| Investigator(s): | Dr.
Choy B.S.T. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1998 |
| Abstract: |
| To investigate the corresponding actuarial
problems of the Hong Kong insurance industry and hopefully
make a comparison with those in other countries. |
| Project Title: | Analysis of generalized
linear mixed models with applications
|
| Investigator(s): | Dr.
Choy B.S.T. , Dr. Chan J.S.K.,
Dr. Kuk A.C.Y., Prof. Walker S.G. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | September 1999 |
| Abstract: |
| To model random effects with (i) heavy-tailed
distributions, (ii) skewed distributions (scale mixtures
of beta (SMB) distributions) and (iii) nonparametric
alternatives; to improve the methodologies i n GLMMs;
to implement and compare the GLMMs using both likelihood
and Bayesian approaches; to investigate sensitivity
to outliers. |
| Project Title: | Statistical analysis
of association with applications
|
| Investigator(s): | Dr.
Choy B.S.T. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | November 2000 |
| Abstract: |
| To bridge the gap between the study and the
applications of association by statisticians and computer
scientists and to propose an effective algorithm for
association rule. |
|
Chen J., Choy
B.S.T., Li K.H.,
Optimal Bayesian sampling acceptance plan with random
censoring, Research Report. Department of Statistics
and Actuarial Science, HKU, 2000, 281: 1-23.
|
|
Fong P.W.,
Li W.K.,
Some results on cointegration with random coefficients
in the error correction form : estimation and testing,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 293: 1-30.
|
|
Fu B.,
Li W.K., Fung T.W.K.,
Testing model adequacy for dynamic panel data with
intercorrelation, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 294:
1-20.
|
| Project Title: | Forensic DNA analysis:
VNTR and STR systems in the Chinese population
|
| Investigator(s): | Prof.
Fung T.W.K. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | December 1997 |
| Abstract: |
| To explore and develop a new method for testing
independence of DNA profiles. The power of the tests
of independence is studied through simulation, taking
into account the properties of VNTR analysis. To compare
the DNA profiles of Chinese in China, Hong Kong, Taiwan
and Singapore. To test whether or not the population
probability or frequency distributions of DNA profiles
under different convenience sampling methods are the
same. If not, it implies that the commonly used convenience
sampling method does not always give a representative
sample. To conduct proper statistical analysis to
validate the newly developed STR system. To investigate
other statistical issues such as the comparison of
match-binning and likelihood ratio methods, and the
assessment of prior probabilities etc. |
| Project Title: | Statistical diagnostics
in multivariate methods: factor analysis and canonical
variates analysis, with business and educational studies
applications
|
| Investigator(s): | Prof.
Fung T.W.K. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | December 1998 |
| Abstract: |
| To construct measures for diagnosing influential
observations in the estimation of factor loadings,
both before and after factor rotation. The issues
of rotation-invariant norms and switching of factors
are also investigated; to design benchmarks for distinguishing
significantly influential observations in factor analysis;
to develop an accurate second order approximation to
sample influence curves in canonical correlation analysis,
by generalizing the perturbation theory of Wilkinson;
to investigate local influence in canonical correlation
analysis under various influence schemes such as data-influence
and case-weighting influences; to develop diagnostics
to the technical but powerful common canonical variates
methods which are currently unexplored; to apply the
diagnostic measures to Hong Kong business and educational
studies including the study of family control of stock
returns, academic performance and perception of English-medium
instruction of students using factor analysis, the
prediction of corporate financial distress and the
relationship between physical fitness and academic
performance using canonical variates analysis. The
influential observations in such data sets would alter
the findings substantially. |
|
Fu B., Li
W.K., Fung
T.W.K.,
Testing model adequacy for dynamic panel data with
intercorrelation, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 294:
1-20.
|
|
Fung T.W.K.,
Hu Y.Q.,
Interpreting DNA mixtures based on the NRC-II Recommendation
4.1, Forensic Science Communication. Virginia,
U.S.A., FBI, 2000, 2: 1-9.
|
|
Fung T.W.K.,
Chan K.L., Mok V.K.K., Lee C.W., Choi V.M.F.,
The statistical variability of blood alcohol concentration
measurements in drink-driving cases, Forensic Science
International. The Netherlands, Elsevier, 2000,
110: 207-214.
|
|
Geng Z., Guo J., Lau T.S., Fung
T.W.K.,
Confounding, homogeneity and collapsibility for causal
effects in epidemiologic studies, Statistica Sinica.
Delaware, U.S.A., International Chinese Statistical
Association, 2001, 11: 63-75.
|
|
Gu H., Fung
T.W.K.,
Influence diagnostics in the common canonical variates
model, Annals of the Institute of Statistical Mathematics.
Tokyo, Japan, Institute of Statistical Mathematics,
2000, 52: 753-766.
|
|
Law M.Y., Wong D.M., Fung
T.W.K., Chan K.L., Li C., Lun T.S., Lai K.M.,
Cheung K.Y., Chiu C.T.,
Genetic polymorphism at three STR Loci-CSF1PO, HUMTHO1
and TPOX, and the AMP-FLP locus D1S80 for the Chinese
population in Hong Kong, Forensic Science International.
The Netherlands, Elsevier, 2001, 115: 103-105.
|
|
Pan J.X., Fung
T.W.K.,
Bayesian influence assessment in the growth curve model
with unstructured covariance, Annals of the Institute
of Statistical Mathematics. Tokyo, Japan, Institute
of Statistical Mathematics, 2000, 52: 737-752.
|
|
Wong D.M., Law M.Y., Fung
T.W.K., Chan K.L., Li C., Lun T.S., Lai K.M.,
Cheung K.Y., Chiu C.T.,
Population data for 12 STR loci in Hong Kong Chinese,
International Journal of Legal Medicine. Berlin,
Germany, Springer, 2001, 114: 281-284.
|
|
Lam K.F., Ip D.Y.K.,
REML and ML estimation for clustered grouped survival
data, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 301: 1-17.
|
| Project Title: | Estimation of cured
/ immune fractions based on the censored survival time
data
|
| Investigator(s): | Dr.
Lam K.F. , Dr. Yu P.L.H. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1996 |
| Abstract: |
| To provide a statistical method in modelling
the cured fraction when the cured individuals are not
identifiable. |
| Project Title: | Statistical analysis
of multiple event time data
|
| Investigator(s): | Dr.
Lam K.F. , Dr. Yu P.L.H. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | October 1996 |
| Abstract: |
| In some medical studies, the response of each
subject consist of serially indexed survival times.
Typical examples are the inter-recurrence times of
a certain kind of cancer, multiple attacks of cardiac
arrest, and the recurrence of a certain disease. The
gap times are indexed according to the order of recurrence
of the event to the subject. It is natural to conceive
that the time to the i-th recurrence (since the (i-1)st
recurrence) and the previous (i-1) inter-recurrence
times are dependent in a way that survival are less
dependent. This kind of dependence is referred to
as serial dependence. However, the primary interest
of most medical researchers is to study the effects
of some potential external risk factors or explanatory
variables on the indexed times to recurrence, such
as treatment plans, diet, and initial health conditions.
To make correct inference on the fixed effects of
the potential risk factors in the presence of the serial
dependence structure and possibly heterogeneity among
the subjects (this could be due to some unobservable
risk factors), one or more general statistical models
will be proposed. The objective of this project is
to provide a general estimation methodology for modelling
this kind of data. |
| Project Title: | Statistical analysis
of multiple event time data
|
| Investigator(s): | Dr.
Lam K.F. , Dr. Yu P.L.H. |
| Source(s) of Funding: | RGC
Fundable Projects (Block Grant Funded) |
| Start Date: | October 1996 |
| Abstract: |
| In some medical studies, the response of each
subject consist of serially indexed survival times.
Typical examples are the inter-recurrence times of
a certain kind of cancer, multiple attacks of cardiac
arrest, and the recurrence of a certain disease. The
gap times are indexed according to the order of recurrence
of the event to the subject. It is natural to conceive
that the time to the i-th recurrence (since the (i-1)st
recurrence) and the previous (i-1) inter-recurrence
times are dependent in a way that survival are less
dependent. This kind of dependence is referred to
as serial dependence. However, the primary interest
of most medical researchers is to study the effects
of some potential external risk factors or explanatory
variables on the indexed times to recurrence, such
as treatment plans, diet, and initial health conditions.
To make correct inference on the fixed effects of
the potential risk factors in the presence of the serial
dependence structure and possibly heterogeneity among
the subjects (this could be due to some unobservable
risk factors), one or more general statistical models
will be proposed. The objective of this project is
to provide a general estimation methodology for modelling
this kind of data. |
| Project Title: | State-space modeling
of multivariate grouped survival data
|
| Investigator(s): | Dr.
Lam K.F. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | December 2000 |
| Abstract: |
| By analyzing multivariate survival date, the
project seeks to assess the effects of potential risk
factors on the failure times and study the level of
dependence among the possibly correlated failure times. |
|
Chi I., Lam T.P., Lam K.F.,
Consultancy study on gate-keeping initiative for elderly
service: Final report. October 2000, 2000.
|
|
Lam K.F.,
Yu P.L.H.,
Lee C.F.,
Kernel method for the estimation of the distribution
function and the mean with auxiliary information in
ranked set sampling, Research Report. Department
of Statistics and Actuarial Science, HKU, 2000, 274:
1-17.
|
|
Lam K.F.,
Leung T.L.,
Marginal likelihood estimation for proportional odds
models with right censored data, Lifetime Data Analysis.
The Netherlands, Kluwer Academic Publishers, 2001,
7: 39-54.
|
|
Lam K.F.,
Ip D.Y.K.,
REML and ML estimation for clustered grouped survival
data, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 301: 1-17.
|
|
Yu P.L.H.,
Lam K.F.,
Lo S.M.,
Monte Carlo EM Estimation of Factor Models for Ranking
Data, The 4th International Conference on Monte
Carlo & Quasi-Monte Carlo Methods in Scientific Computing,
Hong Kong. 2000.
|
|
Kumana C.R.,
Kou M., Lauder I.J.,
Ip M.S.M.,
Lam W.K.,
Increasing use of inhaled steroids associated with
declining asthma mortality, Journal of Asthma.
NY, USA, Marcel Dekker, 2001, 38: 161-167.
|
|
Lam C.L.K.,
Lauder I.J.,
Lam T.P., Gandek
B.,
Validation and norming of the MOS 36-item Short Form
Health Survey in Hong Kong Chinese adults. Health
Services Research Committee, Health Services Research
Committee Dissemination Report No. 711026. Hong
Kong, 2000.
|
|
Lin H.J., Siwak E.B., Lauder
I.J., Hollinger F.B.,
Long-term culture of human immunodeficiency virus type
1 resulting in loss of glycosylation sites, Journal
of Medical Virology. U.S.A., Wiley-Liss, Inc.,
2001, 63: 197-202.
|
|
Lam K.F., Yu P.L.H., Lee C.F.,
Kernel method for the estimation of the distribution
function and the mean with auxiliary information in
ranked set sampling, Research Report. Department
of Statistics and Actuarial Science, HKU, 2000, 274:
1-17.
|
| Project Title: | Study of saddlepoint
approximate iterated bootstrap confidence intervals:
theory and methodology
|
| Investigator(s): | Dr.
Lee S.M.S. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1996 |
| Abstract: |
| To examine theoretical properties of iterated
bootstrap confidence intervals through saddlepoint
approximations of distribution functions, derive necessary
asymptotic results for practical construction of saddlepoint
approximate iterated confidence intervals, develop
an automatic package to compute the interval limits
without the need for Monte Carlo simulation, and investigate
its performance both theoretically and empirically. |
| Project Title: | A study of iterated
bootstrap methodologies
|
| Investigator(s): | Dr.
Lee S.M.S. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | December 1997 |
| Abstract: |
| To investigate the iterated bootstrap in general,
hoping to provide satisfactory solutions, complete
or partial, to the aforementioned fundamental issues. |
| Project Title: | An adaptive Monte
Carlo approach to constructing bootstrap confidence
regions
|
| Investigator(s): | Dr.
Lee S.M.S. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1998 |
| Abstract: |
| To investigate a simple procedure for building
confidence regions, which makes use of bootstrap multivariate
data in an adaptive and intuitively sound fashion. |
| Project Title: | Consistency and efficiency
of iterated resampling algorithms under general conditions
|
| Investigator(s): | Dr.
Lee S.M.S. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | October 2000 |
| Abstract: |
| To investigate new approaches baed on bootstrap
iterations to efficiently and consistently approximating
sampling distributions in all circumstances, especially
in the absence of any prior knowledge concerning prerequisite
conditions. |
| Project Title: | Breakdown properties
of modified bootstrap confidence intervals
|
| Investigator(s): | Dr.
Lee S.M.S. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | November 2000 |
| Abstract: |
| To investigate and extends results on breakdown
properties of standard bootstrap confidence intervals
to those of modified bootstrap confidence intervals. |
|
Chan Y.F.,
Lee S.M.S.,
An exact iterated bootstrap algorithm for small-sample
bias reduction, Computational Statistics and Data
Analysis. Elsevier Science, 2001, 36: 1-13.
|
|
Chung K.H., Lee
S.M.S.,
Optimal bootstrap sample size in construction of percentile
confidence bounds, Scandinavian Journal of Statistics.
Oxford, U.K., Blackwell Publishers, 2001, 28: 225-239.
|
|
Hall P., Lee
S.M.S., Young G.A.,
Importance of interpolation when constructing double-bootstrap
confidence intervals, Journal of the Royal Statistical
Society, Series B. Oxford, U.K., Blackwell Publishers,
2000, 62: 479-491.
|
|
Lee S.M.S.,
Breakdown properties of some modified bootstrap confidence
intervals, Workshop on Inference and Asymptotics,
Ascona, Switzerland. 2000, 16.
|
|
Lee S.M.S.,
Discussion of "The estimating function bootstrap" by
F. Hu and D. Kalbfleisch, The Canadian Journal of
Statistics. Canada, 2000, 28: 494-495.
|
|
Lee S.M.S.,
Minimum variance unbiased estimation based on bootstrap
iterations, Proceedings of the 23rd International
Conference on Information Technology Interfaces.
Zagreb, Croatia, SRCE University Computing Centre,
University of Zagreb, 2001, 237-242.
|
|
Lee S.M.S.,
Nonparametric confidence intervals based on extreme
bootstrap percentiles, Statistica Sinica. Taiwan,
2000, 10: 475-496.
|
| Project Title: | An approach to nonlinear
and nonstationary time series modelling
|
| Investigator(s): | Prof.
Li W.K. , Prof. Tong H., Dr.
Yang H. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | September 1998 |
| Abstract: |
| 1. Develop new univariate models with a random
unit root driven by a changing conditional heteroscedastic
noise process. Properties of the new models and modelling
and forecasting strategies will be studied with a view
towards applications. 2. Develop new models with a
nonlinear unit root and a changing heteroscedastic
noise process. Specially, we shall develop testing,
estimating and model checking procedures, consider
the possibility of combining the stochastic and nonlinear
features, propose forecasting schemes for all the new
models and illustrate their potential with real data.
3. Extension of the results on non-stationarity to
multivariate models, including testing for different
kinds of non-stationarity and for possible presence
of co-integration among the series in the presence
of multivariate conditional heteroscedasticity. |
| Project Title: | Common nonlinear dynamics
in a panel of time series
|
| Investigator(s): | Prof.
Li W.K. , Prof. Chan K.S., Prof.
Tong H. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | January 2001 |
| Abstract: |
| To use a systematic approach to tests of common
nonlinear dynamics in time series |
| Project Title: | Risk management with
financial time series in the presence of sudden economic
changes
|
| Investigator(s): | Prof.
Li W.K. , Prof. Franke J. |
| Source(s) of Funding: | Germany/Hong
Kong Joint Research Scheme |
| Start Date: | January 2001 |
| Abstract: |
| Models and methods for financial time series
data are to be generalized in such a manner to allow
for sudden changes in the structure of the processes.
Such sudden changes caused by unexpected economic
or political events are important in practical problems
like risk assessment or derivative pricing. |
|
Fong P.W.,
Li W.K.,
Some results on cointegration with random coefficients
in the error correction form : estimation and testing,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 293: 1-30.
|
|
Fu B., Li W.K., Fung T.W.K.,
Testing model adequacy for dynamic panel data with
intercorrelation, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 294:
1-20.
|
|
Ling S., Li
W.K.,
Asymptotic inference for nonstationary fractionally
integrated autoregressive moving-average models, Econometric
Theory. The United States of America, Cambridge
University Press, 2001, 17: 738-764.
|
|
Ling S.L., Li
W.K., McAleer M.,
Estimation and testing for unit root processes with
GARCH (1, 1) errors: theory and Monte Carlo study,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 297: 1-27.
|
|
Wang J., Tong H.,
Li W.K.,
Limiting distribution of LAD estimators for AR(p) models
with infinite variance innovations, Research Report.
Department of Statistics and Actuarial Science, HKU,
2000, 284: 1-19.
|
|
Wong C.S.,
Li W.K.,
On a Mixture Autoregressive conditional heteroscedastic
model, Journal of the American Statistical Association.
U.S.A., American Statistical Association, 2001, 96(455):
982-995.
|
|
Wong C.S.,
Li W.K.,
On a logistic mixture autoregressive model, Biometrika.
Great Britain, Biometrika Trust, 2001, 88(3): 833-846.
|
|
Xia Y., Tong H., Li W.K., Zhu L.,
A unified approach to dimension reduction, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2000, 275: 1-53.
|
| Project Title: | Conditional specification
of multivariate probability distribution
|
| Investigator(s): | Dr.
Ng K.W. , Prof. Dawid A.P. |
| Source(s) of Funding: | UK/HK
Joint Research Scheme (British Council / Hong Kong
Research Grants Council) |
| Start Date: | April 1999 |
| Abstract: |
| To develop our existing collaboration in this
area to tackle a wider range of problems. In particular,
we plan to investigate in depth the various different
cases that can arise when condition of involving the
whole set of variables is no longer assumed. |
|
Chan B., Ng K.W.,
Threshold growth rates for sustainable healthcare with
health protection account, Research Report.
Department of Statistics and Actuarial Science, HKU,
2001, 303: 1-8.
|
|
Ng K.W.,
Tian G.L.,
Characteristic functions of L1
- spherical andLl1
- norm symmetric distributions and their applications,
Journal of Multivariate Analysis. Academic Press,
2001, 76: 192-213.
|
|
Tse W.M., Li
L.K., Ng K.W.,
Pricing discrete barrier and hindsight options with
the tridiagonal probability algorithm, Management
Science. Institute for Operations Research & the
Management Sciences, 2001, 47(3): 383-393.
|
|
Siu K.T.K.,
Tong H., Yang H.,
Bayesian risk measures for derivatives via random Esscher
transform, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 286: 1-28.
|
|
Siu K.T.K.,
Tong H.,
Yang H.,
Bayesian risk measures for derivatives via random Esscher
transform, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 286: 1-28.
|
|
Tong H.,
Finkenstädt B.,
Yao Q.,
A conditional density approach to the order determination
of time series, Statistics & Computing. Kluwer
Academic Publishers, 2001, 11: 229-240.
|
|
Tong H.,
Finkenstäadt B.,
Yao Q., Stenseth N.C.,
Common structure in panels of short ecological time-series,
Proceeding of Royal Society London (Series B).
U.K., The Royal Society, 2001, 267: 1-9.
|
|
Tong H.,
Yang H.,
Discussion on the paper by Barndorff-Nielsen and Shephard,
Journal of the Royal Statistical Society: Series
B (Statistical Methodology). U.K., Blackwell Publishers,
2001, 63(2): 232-233.
|
|
Tong H.,
Discussion on the paper by J. Durbin and S.J. Koopman,
Journal of the Royal Statistical Society: Series
B (Statistical Methodology). U.K., Blackwell Publishers,
2001, 40-41.
|
|
Tong H.,
Yao Q.,
Nonparametric estimation of ratios of noise to signal
in stochastic regression, Statistica Sinica.
Taiwan, International Chinese, 2001, 10: 751-770.
|
|
Tong H.,
The Canadian lynx data: From the nonparametric perspective,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2000, 285: 1-13.
|
|
Wang J., Tong
H., Li
W.K.,
Limiting distribution of LAD estimators for AR(p) models
with infinite variance innovations, Research Report.
Department of Statistics and Actuarial Science, HKU,
2000, 284: 1-19.
|
|
Xia Y., Tong H., Li W.K., Zhu
L.,
A unified approach to dimension reduction, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2000, 275: 1-53.
|
|
Fang X., Watson R., Wang
Y., Yip
P.S.F.,
A procedure for complete fault detection with a removal
process, Research Report. Department of Statistics
and Actuarial Science, HKU, 2000, 280: 1-13.
|
|
Wang Y.,
Yip P.S.F.,
Hayakawa Y.,
A frailty model for detecting number of faults in a
system, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 287: 1-19.
|
|
Wang Y.,
Yip P.S.F.,
A semiparametric model for recapture experiments, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 289: 1-12.
|
|
Wang Y.,
Yip P.S.F.,
Estimation of population size for additive-multiplicative
models based on continuous-time recapture experiments,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 295: 1-16.
|
|
Yip P.S.F.,
Fang X., Zhou Y., Wang
Y.,
A sequential procedure for fixed accuracy estimation
of the population size with recapture sampling, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 298: 1-20.
|
|
Wong C.S.,
Li W.K.,
On a Mixture Autoregressive conditional heteroscedastic
model, Journal of the American Statistical Association.
U.S.A., American Statistical Association, 2001, 96(455):
982-995.
|
|
Wong C.S.,
Li W.K.,
On a logistic mixture autoregressive model, Biometrika.
Great Britain, Biometrika Trust, 2001, 88(3): 833-846.
|
|
Yip P.S.F.,
Chen Q., Xi
L.,
Estimation of threshold parameter for a general epidemic
model in a heterogeneous population, Research Report.
Department of Statistics and Actuarial Science, HKU,
2000, 282: 1-13.
|
|
Xia Y.,
Tong H., Li W.K., Zhu
L.,
A unified approach to dimension reduction, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2000, 275: 1-53.
|
| Project Title: | Investment risk related
problems in actuarial science
|
| Investigator(s): | Dr.
Yang H. , Prof. Li W.K., Dr.
Tsoi A.H., Dr. Yuen K.C. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | September 1998 |
| Abstract: |
| To investigate the effects of different investment
risks on some actuarial problems. |
| Project Title: | Analysis of risk measures
|
| Investigator(s): | Dr.
Yang H. |
| Source(s) of Funding: | Block
Grant Earmarked for Research |
| Start Date: | July 1999 |
| Abstract: |
| To analyse different risk measures, includng
VaR, and coherent risk measures; to build the portfolio
manager's subjective view into the risk measurement
model, and analyse the properties. |
|
Siu K.T.K.,
Tong H., Yang H.,
Bayesian risk measures for derivatives via random Esscher
transform, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 286: 1-28.
|
|
Tong H., Yang H.,
Discussion on the paper by Barndorff-Nielsen and Shephard,
Journal of the Royal Statistical Society: Series
B (Statistical Methodology). U.K., Blackwell Publishers,
2001, 63(2): 232-233.
|
|
Yang H.,
An integrated risk management method: VaR approach,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 290: 1-21.
|
|
Yang H.,
Conditional ruin probability with stochastic interest
rate, Stochastic Analysis and Applications.
New York, U.S.A., Marcel Dekker, Inc., 2001, 19(2):
207-214.
|
|
Yang H.,
Ruin Theory and Credit Risk, U.S.A., Society of Actuaries,
2001, 2001. 1: 23.
|
|
Yang H.,
Zhang L.,
Spectrally negative Lévy
processes with Applications in Risk Theory, Advances
in Applied Probability. Northern Ireland, Applied
Probability Trust, 2001, 33: 281-291.
|
|
Yang H.,
Zhang L.,
Spectrally negative Lévy
processes with applications in risk theory, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2000, 283: 1-17.
|
|
Yang H.,
Zhang L.,
The joint distribution of surplus immediately before
ruin and the deficit at ruin under interest force,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 288: 1-17.
|
| Project Title: | Development and assessment
of more efficient models and designs for capture-recapture
studies
|
| Investigator(s): | Dr.
Yip P.S.F. , Dr. Lloyd C.J. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | October 1997 |
| Abstract: |
| To develop a better experimental design for
population size estimation and to suggest robust estimators
when the assumptions of a closed population and homogeneity
among the capture probabilities are not valid. |
| Project Title: | Elderly suicide in
Hong Kong
|
| Investigator(s): | Dr.
Yip P.S.F. , Prof. Chi I., Dr.
Chiu H. |
| Source(s) of Funding: | Hong
Kong Special Administrative Region Government |
| Start Date: | September 1999 |
| Abstract: |
| To study the prevalence and risk factors of
elderly suicide in Hong Kong. |
| Project Title: | A multi-disciplinary
approach to understanding elderly suicide in Hong Kong
|
| Investigator(s): | Dr.
Yip P.S.F. , Prof. Chi I., Dr.
Chiu H. |
| Source(s) of Funding: | Health
and Welfare Bureau, Hong Kong Special Administrative
Region Government |
| Start Date: | October 1999 |
| Abstract: |
| To study a multi-disciplinary approach to understanding
elderly suicide in Hong Kong. |
| Project Title: | Estimating population
size for open populations with heterogeneous capture
probabilities
|
| Investigator(s): | Dr.
Yip P.S.F. , Prof. Chao A., Dr.
Huggins R. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | September 2000 |
| Abstract: |
| To develop methodology in estimating the size
of a closed population. The project also examines
the use of sequential procedures to help optimize resources
in the design of capture-recapture studies. |
|
Chan Y.M.,
Ngan H.Y.S.,
Yip P.S.F.,
Li B.Y.G., Lau O.W.K., Tang
G.W.K.,
Psychosocial adjustment in Gynecologic cancer survivors:
a longitudinal study on risk factors for maladjustment,
Gynecologic Oncology. 2001, 80: 387-394.
|
|
Chao A., Yip
P.S.F., Lee S.M., Chu W.,
A unification approach to population size for closed
capture-recapture models via a martingale estimating
function, Journal of Statistical Planning and Inference.
The Netherlands, Elsevier Science, 2001, 92: 213-232.
|
|
Chau P.H.,
Yip P.S.F.,
Cui J.,
Reconstructing HIV incidence in Hong Kong using data
from HIV positive tests and AIDS diagnoses, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 300: 1-22.
|
|
Cheung Y.B.,
Yip P.S.F.,
Karlberg J.P.E.,
Mortality of Twins and Singletons by Gestational Age:
A Varying-Coefficient Approach, American Journal
of Epidemiology. 2000, 152(12): 1107-1116.
|
|
Cheung Y.B.,
Yip P.S.F.,
Social patterns of birth weight in Hong Kong, Social
Science and Medicine. U.K., 2001, 52: 1135-1141.
|
|
Cheung Y.B.,
Yip P.S.F.,
Suicide risk and marital status, Journal of Epidemiology
Community Health. U.K., 2000, 54: 878-880.
|
|
Fang X., Watson R., Wang
Y., Yip
P.S.F.,
A procedure for complete fault detection with a removal
process, Research Report. Department of Statistics
and Actuarial Science, HKU, 2000, 280: 1-13.
|
|
Hayakawa Y., Yip
P.S.F.,
A Gibbs sampler approach to estimation of the number
of faults in a system using capture-recapture sampling,
IEEE Transactions of Reliability. U.S.A., 2000,
49: 342-351.
|
|
Hayakawa Y., Upton D., Yip
P.S.F., O'Neill D.,
Inference for a multitype epidemic model using Markov
chain Monte Carlo methods, Research Report.
Department of Statistics and Actuarial Science, HKU,
2000, 277: 1-12.
|
|
Liu L., Yip
P.S.F.,
Removal process estimation of population size for a
population with a known sex ratio, Research Report.
Department of Statistics and Actuarial Science, HKU,
2001, 296: 1-15.
|
|
Tang O.S., Tang
G.W.K., Yip
P.S.F., Li B.,
Further evaluation on long-term depot-medroxyprogesterone
acetate use and bone mineral density: a longitudinal
cohort study, Contraception. 2000, 62: 161-164.
|
|
Wang Y., Yip P.S.F.,
Hayakawa Y.,
A frailty model for detecting number of faults in a
system, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 287: 1-19.
|
|
Wang Y., Yip P.S.F.,
A semiparametric model for recapture experiments, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 289: 1-12.
|
|
Wang Y., Yip P.S.F.,
Estimation of population size for additive-multiplicative
models based on continuous-time recapture experiments,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 295: 1-16.
|
|
Yip P.S.F.,
Yam C.H.K., Chau
P.H.,
A re-visit on seasonal variations in suicides in the
Hong Kong Special Administrative Region (HKSAR), Acta
Psychiat Scand. U.K., Munksgaard, 2001, 103: 315-316.
|
|
Yip P.S.F.,
Fang X., Zhou Y., Wang
Y.,
A sequential procedure for fixed accuracy estimation
of the population size with recapture sampling, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2001, 298: 1-20.
|
|
Yip P.S.F.,
Wan E., Chan K.S.,
A unified of capture-recapture methods in discrete
time, Journal of Agriculture, Biological and Environmental
Statistics. U.S.A., 2001, 6: 183-194.
|
|
Yip P.S.F.,
An epidemiological of profile suicides in Beijing,
China, Suicide and Life Threatening Behaviour.
U.S.A., 2001, 31: 62-70.
|
|
Yip P.S.F.,
Law C.K.,
Assessment of the future resources and needs for hospitalisation
in Hong Kong SAR, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 304:
1-12.
|
|
Yip P.S.F.,
Xi L., Chao A., Wang H.,
Estimating population size of a capture-recapture experiment
with behavioural response, Environmental and Ecological
and Statistics. U.S.A., 2000, 7: 405-414.
|
|
Yip P.S.F.,
Chen Q., Xi
L.,
Estimation of threshold parameter for a general epidemic
model in a heterogeneous population, Research Report.
Department of Statistics and Actuarial Science, HKU,
2000, 282: 1-13.
|
|
Yip P.S.F.,
Chen Q.,
Measuring vaccine efficacy from a general epidemic
model, Australian and New Zealand Journal of Statistics.
Australia, Canberra, Blackwell, 2000, 42: 367-381.
|
|
Yip P.S.F.,
Chao A., Chiu C.,
Seasonal variation in suicides: Diminished or Vanished.
Experience from England and Wales, 1982-1996, British
Journal of Psychiatry. U.K., 2000, 177: 366-369.
|
|
Yip P.S.F.,
Lee J.,
The effect of migration on Hong Kong age distribution,
The Asian Journal of Public Administration.
Hong Kong, 2000, 22: 90-104.
|
|
Yip P.S.F.,
Lee J.M.K.,
The effects of the year of the dragon on reproductive
behaviour among Chinese: an experience of Hong Kong
SAR, Research Report. Department of Statistics
and Actuarial Science, HKU, 2001, 291: 1-7.
|
| Project Title: | Ranked set sampling
technique and its applications in environmental sampling
and assessment
|
| Investigator(s): | Dr.
Yu P.L.H. , Prof. Lam K., Prof.
Sinha B.K. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | October 1997 |
| Completion Date: | September 2000 |
| Abstract: |
| To develop suitable ranked set sampling techniques
with particular emphasis on its applicability in assessing
the quality of the environment surrounding us, in detecting
changes of key measurements of the environment and
in identifying factors that may have impact on environmental
quality. In environmental and ecological sampling
situations where the exact measurement of an environmental
factor of a selected unit is either difficult or expensive
in terms of time, money, or labour, ranked set sampling
has been found to be extremently useful in this context.
To further this statistical technique so that (i)
it can handle various complication that may arise in
practical situations in environmental sampling; and
(ii) in addition tothe problems of estimating population
parameters, the technique can be used to answer other
relevant questions in environmental issues. |
| Project Title: | Statistical methods
for analyzing ranking data and their applications in
business and social studies
|
| Investigator(s): | Dr.
Yu P.L.H. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | December 1998 |
| Abstract: |
| To develop suitable statistical methods for
analyzing ranking data with particular emphasis on
its applicability in business, marketing research,
educational testing, psychological and sociological
studies. |
|
Kwan J.W.C., Lam K., So M.K.P., Yu
P.L.H.,
Forecasting and trading strategies based on a price
trend model, Journal of Forecasting. New York,
U.S.A., John Wiley & Sons, Ltd., 2000, 19: 485-498.
|
|
Lam K.F., Yu P.L.H.,
Lee C.F.,
Kernel method for the estimation of the distribution
function and the mean with auxiliary information in
ranked set sampling, Research Report. Department
of Statistics and Actuarial Science, HKU, 2000, 274:
1-17.
|
|
Yu P.L.H.,
Chui S.B.,
A maximum entropy approach to recovering information
from ranking data, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 299:
1-18.
|
|
Yu P.L.H.,
Bayesian analysis of order-statistics models for ranking
data, Psychometrika. The Psychometric Society,
2000, 65: 281-299.
|
|
Yu P.L.H.,
Chan L.K.Y.,
Bayesian analysis of wandering vector models for displaying
ranking data, Statistica Sinica. 2001, 11(2):
445-461.
|
|
Yu P.L.H.,
Commentary of 'Pricing Hang Seng Index Options around
the Asian financial crisis - A GARCH approach' by J.C.
Duan, Research Symposium Proceedings for the 11th
Annual Asia-Pacific Futures Research Symposium.
2000, 251-254.
|
|
Yu P.L.H.,
Mailbase list editor on 'Discrete Choice Models', New
Economics Papers, U.K.. 2001.
|
|
Yu P.L.H.,
Lam K.F., Lo
S.M.,
Monte Carlo EM Estimation of Factor Models for Ranking
Data, The 4th International Conference on Monte
Carlo & Quasi-Monte Carlo Methods in Scientific Computing,
Hong Kong. 2000.
|
|
Yu P.L.H.,
Tam Y.C.,
Ranked set sampling in the presence of censored data,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2001, 302: 1-22.
|
|
Yu P.L.H.,
Chui S.B.,
Simulation-based estimation methods for rank-ordered
probit models, Conference and Workshop on Random
Utility Theory and Probabilistic Measurement Theory,
Durham, N.C., U.S.A.. 2000.
|
| Project Title: | Analyses of correlated
aggregate claims in a book of insurance business
|
| Investigator(s): | Dr.
Yuen K.C. , Dr. Yang H. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | September 1999 |
| Abstract: |
| (1) To investigate the exponential and non-exponential
upper bounds for ruin probability. (2) To enhance
the practicality of the correlated aggregate claims
model, we will develop some estimation procedures for
high dimensions. (3) The time at ruin, the surplus
immediately prior to ruin and the deficit at ruin are
random variables of interest in classical risk theory.
Under the assumed model, the distributions of these
random variables as well as their joint distribution
will be examined. |
| Project Title: | Further analyses of
some newly developed semiparametric survival models
|
| Investigator(s): | Dr.
Yuen K.C. , Dr. Zhu L.X. |
| Source(s) of Funding: | RGC
Fundable Projects (Block Grant Funded) |
| Start Date: | May 2000 |
| Completion Date: | July 2001 |
| Abstract: |
| To study three semiparametric survival models:
Dikta's semiparametric random censorship model, mean
residual life regression model, and proportional odds
model. |
|
Yuen K.C.,
Zhu L., Zhang
D.,
Comparing k cumulative incidence functions through
resampling methods, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 306:
1-24.
|
|
Yuen K.C.,
Guo J.Y.,
Ruin probabilities for some risk processes with correlated
aggregate claims, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 305:
1-21.
|
|
Yuen K.C.,
Guo J.Y.,
Ruin probabilities for time-correlated claims in the
compound binomial model, Insurance: Mathematics
and Economics. North-Holland, Elsevier Science,
2001, 29: 47-57.
|
| Project Title: | Dimension-reduction
in statistical inference
|
| Investigator(s): | Dr.
Zhu L.X. , Dr. Ng K.W. |
| Source(s) of Funding: | RGC
Fundable Projects (Block Grant Funded) |
| Start Date: | February 2000 |
| Completion Date: | March 2001 |
| Abstract: |
| To investigate certain problems in statistical
inference in terms of dimension reduction methods. |
| Project Title: | Statistical inference
for some semiparametric regression models with censored
data
|
| Investigator(s): | Dr.
Zhu L.X. , Dr. Yuen K.C. |
| Source(s) of Funding: | Hong
Kong Research Grants Council Competitive Earmarked
Research Grants |
| Start Date: | October 2000 |
| Abstract: |
| To apply partial linear, single index, and
generalized partially linear single-index models on
censoring case. |
|
An H.Z., Zhu
L.,
A mixed-type test for linearity in time series, Journal
of Statistical Planning and inference. Amsterdam,
The Netherlands, Elsevier Science BV., 2000, 88(2):
339-353.
|
|
Sun L.Q., Zhu
L.,
A semiparametric model for truncated and censored data,
Statistics & Probability Letters. Amsterdam,
The Netherlands, Elsevier Science BV., 2000, 48(3):
217-227.
|
|
Wang Q.H., Zhu
L.,
Estimation in partly linear error-in-covariable models
with censored data, Communications in Statistics-Theory
and Methods. New York, U.S.A., Marcel Dekker Inc.,
2001, 30(1): 41-54.
|
|
Xia Y., Tong H., Li
W.K., Zhu
L.,
A unified approach to dimension reduction, Research
Report. Department of Statistics and Actuarial
Science, HKU, 2000, 275: 1-53.
|
|
Yuen K.C.,
Zhu L.,
Zhang D.,
Comparing k cumulative incidence functions through
resampling methods, Research Report. Department
of Statistics and Actuarial Science, HKU, 2001, 306:
1-24.
|
|
Zhu L.,
Neuhaus G.,
Nonparametric Monte Carlo tests for multivariate distributions,
Biometrika. London, Biometrika Trust, 2000,
87(4): 919-928.
|
|
Zhu L.,
Cui H.,
Semiparametric regression model with errors in variables,
Research Report. Department of Statistics and
Actuarial Science, HKU, 2000, 276: 1-30.
|
Research postgraduate student: CHEN Qizhi
| Ph.D. thesis - | Analysis of Infectious Disease Data |
Research postgraduate student: CHAN Ka Lai
| MPhil. thesis - | Some Statistical Aspects in Forensic Science |
Research postgraduate student: CHAN Yuen Fai
| MPhil. thesis - | On Exact Algorithms for Small-Sample Bootstrap Iterations and Their Applications |
Research postgraduate student: CHUI Shiu Bong
| MPhil. thesis - | Estimation Methods for Rank Data |
Research postgraduate student: HUI Wai Choi
| MPhil. thesis - | Optimal Asset Allocation Under GARCH Model |
Research postgraduate student: LEE Yau Wing
| MPhil. thesis - | Modeling Multivariate Survival Data Using Semiparametric Models |
Research postgraduate student: TSANG Tat Shing
| MPhil. thesis - | Statistical Inference on the Coefficient of Variation |
Research postgraduate student: TSANG Wai Yin
| MPhil. thesis - | Aspects of Modeling Stochastic Volatility |
Research postgraduate student: WONG Oi Ling
| MPhil. thesis - | A Study of Saddlepoint-Based Resampling Methods |
-- End of Listing --