| THE
UNIVERSITY OF HONG KONG |
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
| Researcher : Chan JSK |
| Project Title: | Modelling trended binary response with geometric process |
| Investigator(s): | Dr. Chan J.S.K. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Social Sciences Faculty Research Fund |
| Start Date: | 02/2000 |
| 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. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2000 |
| Completion Date: | 10/2003 |
| 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. |
| Project Title: | Likelihood and Bayesian analysis of stochastic volatility, jump diffusion and other financial models using scale mixtures distributions |
| Investigator(s): | Dr. Chan J.S.K., Dr. Choy B.S.T. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 05/2002 |
| Abstract: |
| To handle some important financial models with the class of scale mixture distributions using both likelihood and Bayesian approaches. |
| Project Title: | Generalized geometric process with applications |
| Investigator(s): | Dr. Chan J.S.K., Dr. Choy B.S.T., Prof. Lam Y. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 07/2003 |
| Abstract: |
| To generalize the GP models to data within the exponential family and incorporate the GGP models within the GLMMs framework by including random effects in their mean functions; to derive tests to check whether the data comes from a GGP; to develop new estimation methodologies for the extended models in (1) using parametric, nonparametric or semi-parametric methods. Both likelihood and Bayesian approaches will also be studied and compared; to perform sensitivity analysis of the effect of various model and distribution assumptions on parametric inference; to implement the extended GP models in demographic stuides and clinical trials using data obtained in Hong Kong and communities in China. |
| Project Title: | Modelling of SARS data using threshold geometric process models |
| Investigator(s): | Dr. Chan J.S.K., Prof. Lam Y. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2003 |
| Abstract: |
| To apply the threshold Geometric Process (GP) model to data with multiple trends such as the SARS data and use the moving window technique to estimate turning points. |
| List of Research Outputs |
| Chan J.S.K., 統計遊行人數要客觀科學, Hong Kong Economic Journal. 信報, Hong Kong, Hong Kong Economic Journal, 2004. |
| Chan J.S.K., 讓數字說話-新移民哀歌, Hong Kong Economic Journal. 信報, Hong Kong, Hong Kong Economic Journal, 2004. |
| Chan J.S.K., Kuk A.Y.C. and Yam H.K., Monte Carlo approximation through Gibbs output in generalized linear mixed models , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 389: 1-19. |
| Lam Y., Zhu L. and Chan J.S.K., Analysis of data from a series of events by a geometric process model , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 390: 1-29. |
| Lam Y., Zhu L., Chan J.S.K. and Liu Q., Analysis of data from a series of events by a geometric process model, Acta Mathematicae Applicatae Sinica. New York, Springer-Verlag, 2004, 20(2): 263-282. |
| Researcher : Chan WS |
| Project Title: | Non-linear time series models for actuarial use |
| Investigator(s): | Dr. Chan W.S., Dr. Wong C.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Actuarial Education and Research Fund, The Actuarial Foundation, U.S.A. |
| Start Date: | 05/2001 |
| Abstract: |
| To introduce actuaries to some advanced nonlinear time-series techniques that might be useful in building stochastic models for pricing and reserving; to illustrate these techniques step-by-step so that actuaries or actuarial students not expert in this area can still perform the procedures. |
| Project Title: | Retirement income in Hong Kong: how much is enough? |
| Investigator(s): | Dr. Chan W.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 09/2001 |
| Abstract: |
| To study how much retirement income is needed to sustain an individual's (or a famil's) pre-retirement standard of living in Hong Kong, considering changes between pre- and post-retirement taxes, savings and expenditures, and other categories; to build a model for determination of appropriate income replacement ratios for Hong Kong residents. |
| List of Research Outputs |
| Chan F.W.H. and Chan W.S., Law, Probability and Risk, On Selection of the Discount Rate for Actuarial Assessment of Damages in Personal Injury Litigation in Hong Kong. Oxford University Press, 2003, 2, Issue 1: 15-24. |
| Chan W.S. and Chan F.W.H., A Longlinear Analysis of Legal Representation Statistics on Hearings of Civil Cases in the District Court of Hong Kong., Hong Kong Law Journal (2003). Hong Kong, Sweet & Maxwell, 2004, Vol.33, Part 3: 523-542. |
| Chan W.S., Cheung S.H. and Wu K.H., Multiple forecasts with autoregressive time series models: case studies, Mathematics and Computers in Simulation. Elsevier B.V., 2004, 64: 421-430. |
| Chan W.S. and Ng M.W., Robustness of alternative non-linearity tests for SETAR models, Journal of Forecasting. John Wiley & Sons, Ltd., 2004, 23: 215-231. |
| Chan W.S., Yang H. and Zhang L., Some results on ruin probabilities in a two-dimensional risk model, Insurance: Mathematics and Economics. The Netherlands, Elsevier Science B.V., 2003, 32(3): 345-358. |
| Chan W.S. and Chan F.W.H., The Paradigm Shift in Personal Injury Litigation in Hong Kong - The Actuarial Perspectives, A refereed paper published in the proceedings of "The Global Business and Finance Research Conference (14-17 July 2004, London). U.S.A., The Journal of American Academy of Business, 2004, 11. |
| Sarony QC N., Chan W.S. and Chan F.W.H., PIOS - Personal Injuries Online Service (updated weekly). Hong Kong, Sweet & Maxwell, 2004. |
| Researcher : Chau PH |
| List of Research Outputs |
| Chau P.H. and Yip P.S.F., Estimating reporting delay function of suicide in Hong Kong using aggregated data and correcting the observed number of suicide for reporting delay, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 379: 1-24. |
| Chau P.H. and Yip P.S.F., Modelling the severe acute respiratory syndrome epidemic, Hong Kong Medical Journal. Hong Kong, Hong Kong Academy of Medicine and Hong Kong Medical Associat, 2003, 9(4): 310-311. |
| Chau P.H. and Yip P.S.F., Monitoring the severe acute respiratory syndrome epidemic and assessing effectiveness of interventions in Hong Kong Special Administrative Region, Journal of Epidemiology and Community Health. BMJ Publishing Group Ltd, 2003, 57: 766-769. |
| Cui J.S., Yip P.S.F. and Chau P.H., Estimation of reporting delay and suicide incidence in Hong Kong, Statistics in Medicine. John Wiley & Sons, 2003, 23: 467-476. |
| Researcher : Cheung KC |
| List of Research Outputs |
| Cheung K.C. and Yang H., Asset allocation with regime-switching: discrete-time case, Astin Bulletin. 2004, 34(1): 99-111. |
| Cheung K.C. and Yang H., Asset allocation with regime-switching: discrete-time case, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 375: 1-16. |
| Cheung K.C. and Yang H., Asset allocation: investment strategies for financial and insurance portfolio, In: Shapiro A.F. & Jain L.C., Intelligent and Other Computational Techniques in Insurance : Theory and Applications. River Edge, N.J., World Scientific Pub., 2003, 587-623. |
| Researcher : Cheung KY |
| List of Research Outputs |
| Cheung K.Y. and Lee S.M.S., Variance estimation for sample quantiles using the m out of n bootstrap, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 376: 1-21. |
| Researcher : Fong PW |
| List of Research Outputs |
| Fong P.W. and Li W.K., On time series with randomized unit root and randomized seasonal unit root, Computational Statistics & Data Analysis. The Netherlands, Elsevier Science B.V., 2003, 43: 369-395. |
| Fong P.W. and Li W.K., Some results on cointegration with random coefficients in the error correction form: estimation and testing, Journal of Time Series Analysis . Cambridge, U.S.A., Blackwell Publishers Ltd, 2004, 25(3): 419-441. |
| Researcher : Fu B |
| List of Research Outputs |
| He X., Fu B. and Fung T.W.K., Median regression of longitudinal data, Statistics in Medicine. New York, Wiley, 2003, 22: 3655-3669. |
| Lee A.H., Fung T.W.K. and Fu B., Analyzing hospital length of stay: mean or median regression?, Medical Care. Hagerstown, MD, Lippiucott & Wilkins, 2003, 41: 681-686. |
| Researcher : Fung TWK |
| Project Title: | Statistical analysis of blood alcohol measurements of Chinese in Hong Kong |
| Investigator(s): | Prof. Fung T.W.K. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2002 |
| Completion Date: | 10/2003 |
| Abstract: |
| To determine the time to peak blood alcohol concentration level; to estimate the Widmark factor for local Chinese; to determine the rate of elimination of blood alcohol. |
| Project Title: | Robust inference with semiparametric generalized linear models for longitudinal data |
| Investigator(s): | Prof. Fung T.W.K., Prof. He X.M. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 07/2003 |
| Abstract: |
| To build a theoretical foundation and provide a tool-kit for using robust methods in the analysis of longitudinal data by semiparametric generalized linear models; (1) construct unbiased estimating equations to ensure Fisher consistency and robustness; (2) derive the large sample properties of the GEE estimators; (3) address the possible multiple root problem of the GEE; (4) develop appropriate criteria for the selection of knots in spline approximations; (5) investigate the robustness properties of the estimators; (6) study the impact on efficiency and robustness for different choices of the working correlation matrix; (7) construct and compare various significance tests for variable selection; (8) develop influence diagnostics for the model. |
| Project Title: | Robust inference with semiparametric generalized linear models for longitudinal data |
| Investigator(s): | Prof. Fung T.W.K., Prof. He X.M. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 07/2003 |
| Abstract: |
| To build a theoretical foundation and provide a tool-kit for using robust methods in the analysis of longitudinal data by semiparametric generalized linear models; (1) construct unbiased estimating equations to ensure Fisher consistency and robustness; (2) derive the large sample properties of the GEE estimators; (3) address the possible multiple root problem of the GEE; (4) develop appropriate criteria for the selection of knots in spline approximations; (5) investigate the robustness properties of the estimators; (6) study the impact on efficiency and robustness for different choices of the working correlation matrix; (7) construct and compare various significance tests for variable selection; (8) develop influence diagnostics for the model. |
| Project Title: | Influence curves for the factor loadings |
| Investigator(s): | Prof. Fung T.W.K., Dr. Kwan C.W. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2003 |
| Abstract: |
| To study: (a) The derivation of influence measures before and after scale and rotation transformation, also see if the measures are invariant to such transformation, (b) The interpretation of influence measures when there is a possible swap of factor loadings after the case deletion, (c) The role of sample and empirical influence curves in our study. |
| List of Research Outputs |
| Fung T.W.K., Wong D.M. and Chung Y.K., How well do STR loci perform in excluding paternity in relatives of the biologic father among immigration cases, Transfusion. Oxford, Blackwell, 2003, 42: 982-983. |
| Fung T.W.K. and Hu Y., Interpreting DNA mixtures with related contributors in subdivided populations, Scandinavian Journal of Statistics. Oxford, Blackwell, 2004, 31: 115-130. |
| Fung T.W.K., Zhong X.P. and Wei B.C., On estimation and influence diagnostics in linear mixed measurement error models, American Journal of Mathematical and Management Sciences. Columbus, American Sciences Press, 2003, 23: 37-59. |
| Fung T.W.K. and Yu P.L.H., SARS case-fatality rates, Canadian Medical Association Journal. Ottawa, Canadian Medical Association, 2003, 169(4): 277-278. |
| Fung T.W.K., Carracedo A. and Hu Y., Testing for kinship in a subdivided population, Forensic Science International. Lausanne, Elsevier, 2003, 135: 105-109. |
| Fung T.W.K., User-friendly programs for easy calculations in paternity testing and kinship determinations, Forensic Science International. Lausanne, Elsevier, 2003, 136: 22-34. |
| He X., Fu B. and Fung T.W.K., Median regression of longitudinal data, Statistics in Medicine. New York, Wiley, 2003, 22: 3655-3669. |
| Hu Y. and Fung T.W.K., Evaluating forensic DNA mixtures with contributors of different structured ethnic origins: A computer software, International Journal of Legal Medicine. Heidelberg, Springer, 2003, 117: 248-249. |
| Lee A.H., Fung T.W.K. and Fu B., Analyzing hospital length of stay: mean or median regression?, Medical Care. Hagerstown, MD, Lippiucott & Wilkins, 2003, 41: 681-686. |
| Shi P. and Fung T.W.K., Estimation of covariate effects in Cox's regression models with frailities, Sankhya A. India, India Statistical Institute, 2003, 65: 56-71. |
| Yuan K.H., Fung T.W.K. and Reise S.P., Three mahalanobis-distances and their role in assessing unidimensionality, British Journal of Mathematical and Statistical Psychology. U.K., British Psychological Society, 2004, 57: 151-165. |
| Zhu Z.Y., He X. and Fung T.W.K., Local influence analysis for penalized Gaussian likelihood estimators in partially linear models, Scandinavian Journal of Statistics. Oxford, Blackwell, 2003, 30: 767-780. |
| Researcher : Ho HS |
| List of Research Outputs |
| Ho H.S. and Lee S.M.S., Calibrated interpolated confidence intervals for population quantiles, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 365: 1-25. |
| Researcher : Hu Y |
| List of Research Outputs |
| Fung T.W.K. and Hu Y., Interpreting DNA mixtures with related contributors in subdivided populations, Scandinavian Journal of Statistics. Oxford, Blackwell, 2004, 31: 115-130. |
| Fung T.W.K., Carracedo A. and Hu Y., Testing for kinship in a subdivided population, Forensic Science International. Lausanne, Elsevier, 2003, 135: 105-109. |
| Hu Y. and Fung T.W.K., Evaluating forensic DNA mixtures with contributors of different structured ethnic origins: A computer software, International Journal of Legal Medicine. Heidelberg, Springer, 2003, 117: 248-249. |
| Researcher : Jin S |
| List of Research Outputs |
| Jin S., Li W.K. and Yu P.L.H., On some models for value-at-risk, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 372: 1-28. |
| Researcher : Lai PY |
| List of Research Outputs |
| Lai P.Y. and Lee S.M.S., Adaptive Lp estimation under a general class of error densities, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 378: 1-28. |
| Lai P.Y. and Lee S.M.S., Estimation of central shapes of error distributions in linear regression problems , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 387: 1-24. |
| Lai P.Y. and Lee S.M.S., Lp regression under general classes of error densities: an asymptotic overview, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 370: 1-38. |
| Researcher : Lam KF |
| Project Title: | State-space modeling of multivariate grouped survival data |
| Investigator(s): | Dr. Lam K.F. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2000 |
| 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. |
| Project Title: | Semiparametric regression analysis with current status data |
| Investigator(s): | Dr. Lam K.F. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2003 |
| Abstract: |
| For a typical setup in survival analysis that all subjects in the population are susceptible to the event of interest, the estimation of the semiparametric regression model with current status data will be studied. The asymptotic properties of the estimator will be explored. Analysis of current status data that hypothesize subpopulation of individuals highly susceptible to some types of adverse events while others are assumed to be at much less risk, say recurrence of breast cancer tumors. A mixture model that combines a logistic regression model for the probability of cure and the semiparametric regression model proposed in the first part of the project is suggested. The properties of the estimator will be explored theoretically and/or empirically. |
| Project Title: | Semiparametric regression analysis with current status data |
| Investigator(s): | Dr. Lam K.F. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 12/2003 |
| Abstract: |
| For a typical setup in survival analysis that all subjects in the population are susceptible to the event of interest, the estimation of the semiparametric regression model with current status data will be studied. The asymptotic properties of the estimator will be explored. Analysis of current status data that hypothesize subpopulation of individuals highly susceptible to some types of adverse events while others are assumed to be at much less risk, say recurrence of breast cancer tumors. A mixture model that combines a logistic regression model for the probability of cure and the semiparametric regression model proposed in the first part of the project is suggested. The properties of the estimator will be explored theoretically and/or empirically. |
| List of Research Outputs |
| Cheung E.Y.N., Ho A.Y.Y., Lam K.F., Tam S.C.F. and Kung A.W.C., Bioavailable testosterone is a risk factor for osteoporotic fracture while bioavailable estradiol is a risk factor for low bone mineral density in men, ENDO 2004, The Endocrine Society’s 86th Annual Meeting, June 16-19, 2004 New Orleans, USA. 2004, P2-53. |
| Fong D.Y.T., Kwan C.W., Lam K.F. and Lam K.S.L., Use of the Sign Test for the Median in the Presence of Ties, The American Statistician. 2003, 57(4): 237-240. |
| Ho P.L., Lam K.F., Chow K.H., Lau Y.L., Wong S.S.Y., Cheng S.L.E. and Chiu S.S.S., Serotype distrubtion and antimicrobial resistance patterns of nasopharyngeal and invasive Streptococcus pneumoniae isolates in Hong Kong Children, Vaccine. Elsevier Ltd, 2004, 22: 3334-3339. |
| Lam K.F. and Xue H.Q., A semiparametric regression cure model with current status data , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 388: 1-28. |
| Wong M.C.M., Lo E.C.M. and Lam K.F., Modeling multilevel clustered grouped survival data using Cox regression model, Journal of Dental Research. 2004, 83 (Spec Iss A): 3416. |
| Wong R.W.M., Lai K.C., Hui W.M., Lam K.F., Huang J., Hu H.C., Wong Y.H., Lam C.L.K., Xia H.H.X., Chan O.O., Lam S.K. and Wong B.C.Y., Double-blind, Randomized Controlled Study to Assess the Effects of Lansoprazole 30 mg and Lansoprazole 15 mg on 24-h Oesophageal and Intragastric pH in Chinese Subjects with Gastro-Oesophageal Reflux Disease, Alimentary Pharmacology and Therapeutics. 2004, 19(4): 455-62. |
| Wong R.W.M., Lam K.F., Cheng C., Hui W.M., Xia H.H.X., Lai K.C., Hu H.C., Huang J., Lam C.L.K., Chan C.K., Chan O.O., Lam S.K. and Wong B.C.Y., Population Based Study of Noncardiac Chest Pain in Southern Chinese: Prevalence, Psychosocial Factors and Health Care Utilization, World Journal of Gastroenterology. 2004, 10(5): 707-712. |
| Wong W.M., Lai K.C., Lam K.F., Hui W.M., Hu H.C., Lam C.L.K., Xia H.H.X., Huang J., Chan C.K., Lam S.K. and Wong B.C.Y., Prevalence, Clinical Spectrum and Health Care Utilization of Gastro-Oesophageal Reflux Disease in a Chinese Population: a Population-Based Study, Alimentary Pharmacology and Therapeutics. 2003, 18(6): 595-604. |
| Xue H., Lam K.F. and Li G., Sieve maximum likelihood estimator for semiparametric regression models with current status data, Journal of the American Statistical Association. Alexandria, VA, USA, EBSCO Publishing, 2004, 99(466): 346-356. |
| Xue H.Q., Lam K.F. and Li G.Y., Analysis of current status data based on the class of partly linear models , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 386: 1-34. |
| Yu P.L.H., Lam K.F. and Lo S.M., Factor analysis for incomplete ranking data, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 367: 1-25. |
| Researcher : Lam Y |
| List of Research Outputs |
| Lam Y., A geometric process maintenance model, Southeast Asian Bulletin of Mathematics. U.S.A., Springer-verlag, 2003, 27: 295-305. |
| Lam Y., An inspection-repair-replacement model for a deteriorating system with unobservable state, Journal of Applied Probability. Sheffield, England, Applied Probability Trust, 2003, 40(4): 1031-1042. |
| Lam Y., Zhu L. and Chan J.S.K., Analysis of data from a series of events by a geometric process model , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 390: 1-29. |
| Lam Y., Zhu L., Chan J.S.K. and Liu Q., Analysis of data from a series of events by a geometric process model, Acta Mathematicae Applicatae Sinica. New York, Springer-Verlag, 2004, 20(2): 263-282. |
| Lam Y., Zheng Y.H. and Zhang Y.L., Some limit theorems in geometric processes, Acta Mathematicae Applicatae Sinica (English Series). U.S.A., Springer-verlag, 2003, 19(3): 405-416. |
| Researcher : Lau HYE |
| List of Research Outputs |
| Huggins R.M., Yip P.S.F. and Lau H.Y.E., A note on the estimation of the initial number of susceptible individuals in the general epidemic model, Statistics & Probability Letters. North-Holland, Elsevier B.V., 2004, 67: 321-330. |
| Researcher : Lauder IJ |
| List of Research Outputs |
| Cheung B.M.Y., Lauder I.J. and Kumana C.R., Effectiveness and Safety of Statins Reappraised: Updated Meta-Analysis with 5 New Trials (P17), Seventh Annual Scientific Meeting of the Institute of Cardiovascular Science and Medicine: Journal of the Hong Kong College of Cardiology. 2003, 11 (Suppl 1). |
| Cheung B.M.Y., Lauder I.J., Lau C.P. and Kumana C.R., Meta-analysis of large randomized controlled trials to evaluate the impact of statins on cardiovascular outcomes, British Journal of Clinical Pharmacology. Blackwell Publishing, 2004, 57(5): 640-651. |
| Ip M.S.M., Lam B., Tang L.C., Lauder I.J., Ip T.Y. and Lam W.K., A community study of sleep-disordered breathing in middle-aged Chinese women in Hong Kong - prevalence and gender differences, Chest. 2004, 125: 127-134. |
| Kumana C.R., Tong M.K.L., Li C.S., Lauder I.J., Lee J.S.K., Kou M., Walley T., Haycox A. and Chan D.T.M., Diltiazem co-treatment in renal transplant patients receiving microemulsion cyclosporin, British Journal of Clinical Pharmacology. Blackwell Publishing, 2003, 56(6): 670-678. |
| Kumana C.R., Cheung B.M.Y. and Lauder I.J., Rhythm Control for Atrial Fibrillation Reanalysed by NNT, 8th International Workshop on Cardiac Arrhythmias . 2003. |
| Kumana C.R., Cheung G.T.Y., Lauder I.J. and Chan L.S., Screening for Fever by Means of Infrared Thermographic Camera (S110), 11th Ineternational Congress of infectious diseases – Mexico 2004: International Journal of Infectious Diseases. 2004, 8 (Suppl 1). |
| Kumana C.R., Cheung B.M.Y. and Lauder I.J., The burden of rate control in atrial fibrillation, Journal of Cardiovascular Pharmacology and Therapeutics. 2003, 8(3): 247-248. |
| Lam B., Ooi C.G.C., Peh W.C.G., Lauder I.J., Tsang K.W.T., Lam W.K. and Ip M.S.M., Computed tomographic evaluation of the role of craniofacial and upper airway morphology obstructive sleep apnea in Chinese, Respiratory Medicine. 2004, 98: 301-307. |
| Pederson B., Cheung B.M.Y., Lauder I.J. and Kumana C.R., Rhythm Control of Atrial Fibrillation Analysed by Number Needed to Treat (P19), Seventh Annual Scientific Meeting of the Institute of Cardiovascular Science and Medicine: Journal of the Hong Kong College of Cardiology . 2003, 11 (Suppl 1). |
| Researcher : Lee SMS |
| Project Title: | Consistency and efficiency of iterated resampling algorithms under general conditions |
| Investigator(s): | Dr. Lee S.M.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 10/2000 |
| 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: | Robust conditional bootstrap procedures for linear regression |
| Investigator(s): | Dr. Lee S.M.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2001 |
| Abstract: |
| To develop new procedures, based on the bootstrap or resampling idea, for making such inference, taking into consideration the conditionality principle and the concept of robustness simultaneously. |
| Project Title: | A study of m out of n bootstrap procedures for general M-estimation |
| Investigator(s): | Dr. Lee S.M.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2002 |
| Abstract: |
| This project proposes to explore the theoretical and practical effects of the m out of n bootstrap in general M-estimation problems, to which the method is anticipated to offer reliable solutions. Such discovery will be of great importance to practical statistical analysis involving M-estimators over a broad range of applications. |
| List of Research Outputs |
| Cheung K.Y. and Lee S.M.S., Variance estimation for sample quantiles using the m out of n bootstrap, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 376: 1-21. |
| Ho H.S. and Lee S.M.S., Calibrated interpolated confidence intervals for population quantiles, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 365: 1-25. |
| Lai P.Y. and Lee S.M.S., Adaptive Lp estimation under a general class of error densities, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 378: 1-28. |
| Lai P.Y. and Lee S.M.S., Estimation of central shapes of error distributions in linear regression problems , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 387: 1-24. |
| Lai P.Y. and Lee S.M.S., Lp regression under general classes of error densities: an asymptotic overview, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 370: 1-38. |
| Lee S.M.S. and Young G.A., Parametric bootstrapping with nuisance parameters, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 369: 1-13. |
| Lee S.M.S. and Young G.A., Prepivoting by weighted bootstrap iteration, Biometrika. Oxford, Oxford University Press, 2003, 90(2): 393-410. |
| Researcher : Li G |
| List of Research Outputs |
| Li G. and Li W.K., Diagnostic checking time series model with conditional heteroscedasticity estimated by the LAD approach , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 385: 1-25. |
| Researcher : Li WK |
| Project Title: | Common nonlinear dynamics in a panel of time series |
| Investigator(s): | Prof. Li W.K., Prof. Chan K.S., Prof. Tong H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 01/2001 |
| Abstract: |
| To use a systematic approach to tests of common nonlinear dynamics in time series |
| List of Research Outputs |
| Fong P.W. and Li W.K., On time series with randomized unit root and randomized seasonal unit root, Computational Statistics & Data Analysis. The Netherlands, Elsevier Science B.V., 2003, 43: 369-395. |
| Fong P.W. and Li W.K., Some results on cointegration with random coefficients in the error correction form: estimation and testing, Journal of Time Series Analysis . Cambridge, U.S.A., Blackwell Publishers Ltd, 2004, 25(3): 419-441. |
| Jayawardena A.W., Xu P. and Li W.K., Radial basis function network for prediction of hydrological time series, Water Resources Systems - Water Availability and Global Change (Proceedings of symposium HSO2a held during IUGG2003 at Sapporo July 2003). 2003, 280: 260-266. |
| Jin S., Li W.K. and Yu P.L.H., On some models for value-at-risk, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 372: 1-28. |
| Li G. and Li W.K., Diagnostic checking time series model with conditional heteroscedasticity estimated by the LAD approach , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 385: 1-25. |
| Li W.K., Diagnostic Checks in Time Series. Boca Raton, Chapman & Hall/CRC, 2004, 1-196. |
| Ling S.Q. and Li W.K., Asymptotic inference for unit root processes with GARCH (1, 1) errors, Econometric Theory. England, U.K., Cambridge University Press, 2003, 19: 541-564. |
| Ling S.Q., Li W.K. and McAleer M., Estimation and testing for unit root processes with GARCH (1, 1) errors: Theory and monte carlo evidence, Econometric Reviews. New York, U.S.A., Marcel Dekker, Inc., 2003, 22(2): 179-202. |
| Xia Y., Li W.K., Tong H. and Zhang D., A goodness-of-fit test for single-index models, Statistica Sinica. Taipei, Taiwan, Statistica Sinica, 2004, 14(1): 1-39. |
| Researcher : Liu CS |
| List of Research Outputs |
| Liu C.S. and Yang H., Optimal investment for an insurer to minimize its probability of ruin, North American Actuarial Journal. Ann Arbor, Mich., UMI, 2004, 8(2): 11-31. |
| Liu C.S. and Yang H., Optimal investment for an insurer to minimize its probability of ruin, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 373: 1-32. |
| Researcher : Ng KW |
| List of Research Outputs |
| Aitchison J., Mateu-Figueras G. and Ng K.W., Characterization of distributional forms for compositional data and associated distributional tests, Mathematical Geology. Canada, International Association for Mathematical Geology, 2003, 35(6): 667-680. |
| Cui H., He X. and Ng K.W., Asymptotic distributions of principal components based on robust dispersions, Biometrika. Oxford, Oxford University Press, 2003, 90(4): 953-966. |
| Cui H., Ng K.W. and Zhu L., Estimation in mixed effects model with errors in variables, Journal of Multivariate Analysis. Elsevier Inc., 2004, 91: 53-73. |
| Ng K.W. and Tang Q., Asymptotic behavior of tail and local probabilities for sums of subexponential random variables , Journal of Applied Probability. England, Applied Probability Trust, 2004, 41(1): 108-116. |
| Ng K.W., Tang Q., Yan J.A. and Yang H., Precise large deviations for sums of random variables with consistently varying tails, Journal of Applied Probability. England, Applied Probability Trust, 2004, 41(1): 93-107. |
| Ng K.W., Yang H. and Zhang L., Ruin probability under compound poisson models with random discount factor, Probability in the Engineering and Informational Sciences. New York, Cambridge University Press, 2004, 18(1): 55-70. |
| Tan M., Tian G.L. and Ng K.W., A noniterative sampling method for computing posteriors in the structure of EM-type algorithms , Statistica Sinica. Taipei, Taiwan, Statistica Sinica, 2003, 13(3): 625-639. |
| Tse Y.K., Ng K.W. and Zhang X., A small-sample overlapping variance-ratio test, Journal of Time Series Analysis. Oxford, UK, Blackwell Publishing Ltd., 2004, 25(1): 127-135. |
| Yuen K.C., Guo J. and Ng K.W., On a delayed-claims risk model, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 377: 1-19. |
| Yuen K.C., Wang G. and Ng K.W., Ruin probabilities for a risk process with stochastic return on investments, Stochastic Processes and their Applications. Amsterdam, North-Holland Pub. Co.,, 2004, 110(2): 259-274. |
| Zhu L. and Ng K.W., Checking the adequacy of a partial linear model, Statistica Sinica. Taipei, Taiwan, Institute of Statistical Science, Academia Sinica, 2003, 13(3): 763-781. |
| Researcher : Ng MW |
| List of Research Outputs |
| Chan W.S. and Ng M.W., Robustness of alternative non-linearity tests for SETAR models, Journal of Forecasting. John Wiley & Sons, Ltd., 2004, 23: 215-231. |
| Researcher : Tong H |
| Project Title: | Partially linear reduced-rank regression |
| Investigator(s): | Prof. Tong H., Prof. Chan K.S. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 10/2002 |
| Completion Date: | 09/2005 |
| Abstract: |
| The project is to develop statistical tools and study their large-sample properties needed for implementing this new semiparametric approach to practical and innovative data analysis. The project will hopefully result in the development of a set of statistical tools useful for studying the functional form of the regression function, and a framework for studying common structure and nonlinear co-integration in the context of time series analysis. |
| Project Title: | Adaptive testing in nonparametric and semiparametric time series models |
| Investigator(s): | Prof. Tong H., Dr. Gao J. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2003 |
| Completion Date: | 12/2006 |
| Abstract: |
| To make new theoretical investigations of a number of nonparametric and semiparametric nonlinear time series models and stochastic nonlinear dynamical systems which incorporate to varying degrees, nonlinearity, additivity, nonstationarity and long-range dependence; (ii) to establish efficient estimation and simultaneous test procedures for nonlinear time series models and stochastic dynamical systems; (iii) to develop computer-intensive programmes for the necessary statistical inference associated with new nonlinear time series models and stochastic dynamical systems; (iv) to apply the techniques and programmes to improve model building and forecasting from better models and systems. |
| Project Title: | Adaptive testing in nonparametric and semiparametric time series models |
| Investigator(s): | Prof. Tong H., Dr. Gao J. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 12/2003 |
| Completion Date: | 12/2006 |
| Abstract: |
| To make new theoretical investigations of a number of nonparametric and semiparametric nonlinear time series models and stochastic nonlinear dynamical systems which incorporate to varying degrees, nonlinearity, additivity, nonstationarity and long-range dependence; (ii) to establish efficient estimation and simultaneous test procedures for nonlinear time series models and stochastic dynamical systems; (iii) to develop computer-intensive programmes for the necessary statistical inference associated with new nonlinear time series models and stochastic dynamical systems; (iv) to apply the techniques and programmes to improve model building and forecasting from better models and systems. |
| List of Research Outputs |
| Chan K.S., Li M.C. and Tong H., Partially linear reduced-rank regression, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 384: 1-37. |
| Siu T.K., Tong H. and Yang H., On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 382: 1-34. |
| Xia Y., Li W.K., Tong H. and Zhang D., A goodness-of-fit test for single-index models, Statistica Sinica. Taipei, Taiwan, Statistica Sinica, 2004, 14(1): 1-39. |
| Researcher : Wang Y |
| List of Research Outputs |
| Fang X.Z., Watson R., Wang Y. and Yip P.S.F., A procedure for complete fault detection with a removal process, Journal of statistical influence and planning. The Netherlands, Elsevier Science B.V., 2003, 117(1): 1-14. |
| Researcher : Wu X |
| List of Research Outputs |
| Wu X. and Yuen K.C., A discrete-time risk model with interaction between classes of business, Insurance: Mathematics and Economics. The Netherlands, Elsevier Science B.V., 2003, 33(1): 117-133. |
| Yuen K.C., Guo J. and Wu X., On a bivariate compound Poisson model, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 366: 1-21. |
| Researcher : Yam HK |
| List of Research Outputs |
| Simkin S., Hawton K., Yip P.S.F. and Yam H.K., Seasonality in suicide: A study of farming suicides in England and Wales, Crisis. 2003, 24: 93-97. |
| Researcher : Yam SCP |
| List of Research Outputs |
| Yam S.C.P. and Yang H., Does the completeness of a large market depend on traders' views? How GL(Zp) and q-Series come to play, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 371: 1-25. |
| Researcher : Yang H (Yang Hailiang) |
| Project Title: | Insurance and financial risks: actuarial science approaches |
| Investigator(s): | Dr. Yang H., Dr. Ng K.W. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 09/2001 |
| Abstract: |
| To study ruin probability under the correlated insurance risk model; to study the upper bounds and asymptotic results for the ruin probability with random interest incomes; to credit risk and risk management; to integrated risk management method which can manage the credit and market risks in an integrated way; to risk measures for derivative securities; to numerical study and applications. |
| Project Title: | Characterisations of no-arbitrage under fractional market models |
| Investigator(s): | Dr. Yang H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2001 |
| Abstract: |
| To consider a financial market with frictions which include transaction costs, bid-ask spread and taxes; by using some probability, stochastic calculus, optimization, linear and non-linear programming, convex programming and game theory techniques; to provide several necessary and sufficient conditions for the weak and strong no-arbitrage. |
| Project Title: | On two mathematical finance problems |
| Investigator(s): | Dr. Yang H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2002 |
| Abstract: |
| To investigate the probability of market completeness by using Lie group; to investigate the pricing of financial derivatives with time-dependent parameters by using Lie group technique; to derive closed form formulas algorithmically; to illustrate the application of the technique. |
| Project Title: | Risk Theory under Markovian Regime Switching Insurance Risk Models |
| Investigator(s): | Dr. Yang H., Prof. Yin G.G. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 07/2003 |
| Abstract: |
| To investigate the distribution of surplus before and after ruin and the joint distribution of the surplus before and after ruin in the regime switching models; to investigate the properties of the ruin probability when the claim distribution is heavy tailed under the regime switching models; to investigate the problem of insurance premium calculation; to extend the model to include a diffusion term and study the same problems, if the number of state of the Markov chain is large or the diffusion involves more than one Brownian motion, the problem will be very difficult, we will study the limit properties of this model; to compare our results with those in the literature for the classical and various extended models, and further investigate our model and our results by using some real data. |
| Project Title: | Optimal investment policy for insurance portfolio |
| Investigator(s): | Dr. Yang H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2003 |
| Abstract: |
| The portfolio selection problem is set up as a stochastic control problem and will be tackled by dynamic programming technique. The criterion for portfolio selection is maximizing survival probability of the investor. The surplus process follows a Cramer-Lundberg model; the investor is allowed to invest into a risk-free bond and a risky asset following a geometric Brownian motion. The investment behavior will be investigated numericaly under the assumption of different claim size distributions. The optimal policy and the solution for the associated Hamilton-Jacobi-Bellman equation will be then computed under each assumption. The effects of changes in various factors such as stock volatility on optimal investment strategies and survival probability will also be discussed. This model wll be generalized to cases where borrowing constraint, or reinsurance are presented. |
| List of Research Outputs |
| Chan W.S., Yang H. and Zhang L., Some results on ruin probabilities in a two-dimensional risk model, Insurance: Mathematics and Economics. The Netherlands, Elsevier Science B.V., 2003, 32(3): 345-358. |
| Cheung K.C. and Yang H., Asset allocation with regime-switching: discrete-time case, Astin Bulletin. 2004, 34(1): 99-111. |
| Cheung K.C. and Yang H., Asset allocation with regime-switching: discrete-time case, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 375: 1-16. |
| Cheung K.C. and Yang H., Asset allocation: investment strategies for financial and insurance portfolio, In: Shapiro A.F. & Jain L.C., Intelligent and Other Computational Techniques in Insurance : Theory and Applications. River Edge, N.J., World Scientific Pub., 2003, 587-623. |
| Elliott R.J., Siu T.K. and Yang H., On a generalised form of risk measure, Australian Actuarial Journal. Sydney, N.S.W, Institute of Actuaries of Australia, 2003, 9(4): 587-623. |
| Elliott R.J., Siu T.K. and Yang H., On a generalized form of risk measure, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 364: 1-27. |
| Lai T.L., Yang H. and Yung S.P., Probability, Finance and Insurance. Singapore, World Scientific, 2004. |
| Liu C.S. and Yang H., Optimal investment for an insurer to minimize its probability of ruin, North American Actuarial Journal. Ann Arbor, Mich., UMI, 2004, 8(2): 11-31. |
| Liu C.S. and Yang H., Optimal investment for an insurer to minimize its probability of ruin, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 373: 1-32. |
| Ng K.W., Tang Q., Yan J.A. and Yang H., Precise large deviations for sums of random variables with consistently varying tails, Journal of Applied Probability. England, Applied Probability Trust, 2004, 41(1): 93-107. |
| Siu T.K., Tong H. and Yang H., On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 382: 1-34. |
| Sun L. and Yang H., On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes, Insurance: Mathematics and Economics . The Netherlands, Elsevier Science B.V., 2004, 34(1): 121-125. |
| Sun L. and Yang H., Ruin theory in a discrete time risk model with interest incomes, British Actuarial Journal. Oxford, Institute of Actuaries and the Faculty of Actuaries, 2003, 9(3): 637-652. |
| Yam S.C.P. and Yang H., Does the completeness of a large market depend on traders' views? How GL(Zp) and q-Series come to play, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 371: 1-25. |
| Yang H. and Yin G., Ruin Probability for a Model Under Markovian Switching Regime, In: Tze Leung Lai, Hailiang Yang and Siu Pang Yung, Probability, Finance and Insurance: Proceedings of a Workshop at the University of Hong Kong, Hong Kong 15-17 July 2002. Singapore, World Scientific, 2004, 206-217. |
| Yang H., Ruin theory in a financial corporation model with credit risk , Insurance: Mathematics and Economics . The Netherlands, Elsevier Science B.V., 2003, 33(1): 135-145. |
| Yin G. and Yang H., Two-time-scale jump-diffusion models with markovian switching regimes, Stochastics and Stochastics Reports. U.K., Taylor & Francis Ltd, 2004, 76(2): 77-99. |
| Yuen K.C., Yang H. and Wang R., On Erlang(2) risk process perturbed by diffusion, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 374: 1-20. |
| Researcher : Yang H (Yang Hu) |
| List of Research Outputs |
| Ng K.W., Yang H. and Zhang L., Ruin probability under compound poisson models with random discount factor, Probability in the Engineering and Informational Sciences. New York, Cambridge University Press, 2004, 18(1): 55-70. |
| Researcher : Yip PSF |
| Project Title: | Elderly suicide in Hong Kong |
| Investigator(s): | Dr. Yip P.S.F., Prof. Chi I., Dr. Chiu H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Special Administrative Region Government |
| Start Date: | 09/1999 |
| Abstract: |
| To study the prevalence and risk factors of elderly suicide in Hong Kong. |
| Project Title: | Population size estimation for a proportional trapping recapture and removal models |
| Investigator(s): | Dr. Yip P.S.F., Prof. Huggins R., Dr. Liu L.P. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 09/2003 |
| Abstract: |
| To study martingale estimating function for a heterogeneous population; to study bayesian inference for population size for a proportional tapping model; to a partial likelihood approach for a proportional trapping model. |
| Project Title: | Population size estimation for a proportional trapping recapture and removal models |
| Investigator(s): | Dr. Yip P.S.F., Prof. Huggins R., Dr. Liu L.P. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 09/2003 |
| Abstract: |
| To study martingale estimating function for a heterogeneous population; to study bayesian inference for population size for a proportional tapping model; to a partial likelihood approach for a proportional trapping model. |
| List of Research Outputs |
| Chao A., Yang H.C. and Yip P.S.F., The use of capture-recapture methodology in epidemiological surveillance, In: Y Lu and JQ Fang, Advanced Medical Statistics. Singapore, World Scientific Publishing Co. Pte. Ltd., 2003, 711-739. |
| Chau P.H. and Yip P.S.F., Estimating reporting delay function of suicide in Hong Kong using aggregated data and correcting the observed number of suicide for reporting delay, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 379: 1-24. |
| Chau P.H. and Yip P.S.F., Modelling the severe acute respiratory syndrome epidemic, Hong Kong Medical Journal. Hong Kong, Hong Kong Academy of Medicine and Hong Kong Medical Associat, 2003, 9(4): 310-311. |
| Chau P.H. and Yip P.S.F., Monitoring the severe acute respiratory syndrome epidemic and assessing effectiveness of interventions in Hong Kong Special Administrative Region, Journal of Epidemiology and Community Health. BMJ Publishing Group Ltd, 2003, 57: 766-769. |
| Chong S.Y., Yip P.S.F. and Karlberg J.P.E., Maternal smoking: an increasing unique risk factor for sudden infant death syndrome in Sweden, Acta Paediatrica. 2004, 93: 471-478. |
| Cui J.S., Yip P.S.F. and Chau P.H., Estimation of reporting delay and suicide incidence in Hong Kong, Statistics in Medicine. John Wiley & Sons, 2003, 23: 467-476. |
| Fang X.Z., Watson R., Wang Y. and Yip P.S.F., A procedure for complete fault detection with a removal process, Journal of statistical influence and planning. The Netherlands, Elsevier Science B.V., 2003, 117(1): 1-14. |
| Hayakawa Y., O'Neill P.D., Upton D. and Yip P.S.F., Bayesian inference for a stochastic epidemic model with uncertain numbers of susceptibles of several types, Australian and New Zealand Journal of Statistics. Blackwell Publishing Asia Pty Ltd., 2003, 45(4): 491-502. |
| Huggins R.M., Yip P.S.F. and Lau H.Y.E., A note on the estimation of the initial number of susceptible individuals in the general epidemic model, Statistics & Probability Letters. North-Holland, Elsevier B.V., 2004, 67: 321-330. |
| Yip P.S.F. and Thorburn J., Marital Status and the Risk of Suicide: Experience from England and Wales, 1982-1996, Psychological Reports. 2004, 94: 401-407. |
| Researcher : Yu PLH |
| Project Title: | Spatial models for multiple ranking data and their applications |
| Investigator(s): | Dr. Yu P.L.H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2002 |
| Abstract: |
| In this project, the research team will develop new spatial models to fit multiple ranking data so as to provide a flexible framework to describe individual differences in various choice decisions. The study will focus on developing practically efficient estimation procedures for these spatical models. |
| Project Title: | Diagnosis and prognosis prediction of SARS using high-resolution computed tomography |
| Investigator(s): | Dr. Yu P.L.H., Prof. Fung T.W.K., Dr. Hui J.Y.H., Dr. Luk W.H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 11/2003 |
| Abstract: |
| To explore and consolidate the use of HRCT in the diagnosis of CoV associated SARS using statistical analyses to validate the sensitivity, specificity and predictive value; to evaluate the HRCT pattern in the prediction of prognosis in SARS patients, such as the length of stay in the hospital or the mortality; to define the window period (counting from the onset of symptoms to positive Chest X-ray or HRCT) of SARS. |
| List of Research Outputs |
| Fung T.W.K. and Yu P.L.H., SARS case-fatality rates, Canadian Medical Association Journal. Ottawa, Canadian Medical Association, 2003, 169(4): 277-278. |
| Jin S., Li W.K. and Yu P.L.H., On some models for value-at-risk, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 372: 1-28. |
| Yu P.L.H. and So M.K.P., Estimating value at risk using GARCH models: Can we do better if long memory exists?, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 368: 1-12. |
| Yu P.L.H., Lam K.F. and Lo S.M., Factor analysis for incomplete ranking data, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 367: 1-25. |
| Researcher : Yuen KC |
| Project Title: | Analyses of correlated aggregate claims in a book of insurance business |
| Investigator(s): | Dr. Yuen K.C., Dr. Yang H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 09/1999 |
| Abstract: |
| To investigate ruin probability for the correlated aggregate claims model proposed by Ambagaspitiya; to develop parameter estimation for some discrete multivariate distributions related to the assumed model stated above; to study distribution of some random variables of interest related to ruin under the assumed model; to investigate ruin probabilities for time-correlated claims in the compound binomial model; to study a risk model with Poisson and Erlang risk processes; to examine a new risk model with dependent classes of business; to study a risk model with delayed by-claims. |
| Project Title: | Survival analysis for some biomedical and clinical trial problems |
| Investigator(s): | Dr. Yuen K.C., Dr. Zhu L.X. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2001 |
| Abstract: |
| To conduct statistical evaluation of carcinogenicity using semiparametric regression models; to propose a new testing procedure to compare k (k >= 2) cumulative incidence functions simultaneously in a competing risks model; to study some newly developed semiparametric survival models, namely the Dikta's semiparametric random censorship model, mean residual life regression model, and proportional odds regression model. |
| Project Title: | Risk analyses of dependent classes of insurance business |
| Investigator(s): | Dr. Yuen K.C., Dr. Yang H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | RGC Projects (Block Grant Funded) |
| Start Date: | 07/2003 |
| Abstract: |
| To investigate the exponential upper bound for the ruin probability; to consider the ruin probability that at least one component in the vector of dependent risk processes ever falls below zero. |
| Project Title: | Ruin analyses of two insurance risk models |
| Investigator(s): | Dr. Yuen K.C. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 02/2004 |
| Abstract: |
| To consider the following two risk processes; a bivariate risk process whose components correspond to risk processes of two dependent classes, and a risk process with stochastic interest. |
| List of Research Outputs |
| Chen Z., Xu C. and Yuen K.C., Stochastic programming method for multiperiod consumption and investment problems with transactions costs, Journal of Systems Science and Complexity. Beijing, China, Science Press, 2004, 17(1): 39-53. |
| Wu X. and Yuen K.C., A discrete-time risk model with interaction between classes of business, Insurance: Mathematics and Economics. The Netherlands, Elsevier Science B.V., 2003, 33(1): 117-133. |
| Yuen K.C., Yang H. and Wang R., On Erlang(2) risk process perturbed by diffusion, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 374: 1-20. |
| Yuen K.C., Guo J. and Wu X., On a bivariate compound Poisson model, Research Report. Department of Statistics and Actuarial Science, HKU, 2003, 366: 1-21. |
| Yuen K.C., Guo J. and Ng K.W., On a delayed-claims risk model, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 377: 1-19. |
| Yuen K.C., Wang G. and Ng K.W., Ruin probabilities for a risk process with stochastic return on investments, Stochastic Processes and their Applications. Amsterdam, North-Holland Pub. Co.,, 2004, 110(2): 259-274. |
| Researcher : Zhu L |
| Project Title: | Statistical inference for some semiparametric regression models with censored data |
| Investigator(s): | Dr. Zhu L.X., Dr. Yuen K.C. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 10/2000 |
| Abstract: |
| To apply partial linear, single index, and generalized partially linear single-index models on censoring case. |
| Project Title: | Dimension-reduction methods with special reference to an economic problem in China |
| Investigator(s): | Dr. Zhu L.X., Dr. Ng K.W., Prof. Tong H. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Hong Kong Research Grants Council Competitive Earmarked Research Grants |
| Start Date: | 12/2002 |
| Abstract: |
| The project attempts to understand the reasons why economic development in western China is lagging behind that in eastern China. New methods will be developed to identify the driving forces of the GDP growth and to predict the GDP in terms of these major factors in the future. |
| Project Title: | Checking the adequacy of some measurement error models |
| Investigator(s): | Dr. Zhu L.X., Ms. Zhu D.D. |
| Department: | Statistics and Actuarial Science |
| Source(s) of Funding: | Block Grant Earmarked for Research |
| Start Date: | 08/2003 |
| Abstract: |
| To slve some of the central problems in regression analysis. |
| List of Research Outputs |
| Cui H., Ng K.W. and Zhu L., Estimation in mixed effects model with errors in variables, Journal of Multivariate Analysis. Elsevier Inc., 2004, 91: 53-73. |
| He X. and Zhu L., A lack-of-fit test for quantile regression, Journal of the American Statistical Association. Boston, Mass., EBSCO Publishing, 2003, 98(464): 1013-1022. |
| Lam Y., Zhu L. and Chan J.S.K., Analysis of data from a series of events by a geometric process model , Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 390: 1-29. |
| Lam Y., Zhu L., Chan J.S.K. and Liu Q., Analysis of data from a series of events by a geometric process model, Acta Mathematicae Applicatae Sinica. New York, Springer-Verlag, 2004, 20(2): 263-282. |
| Neuhaus G., Heimann G. and Zhu L., Optimal tests for carcinogenicity in a model with fatal and incidental tumours, Journal of Statistical planning and inference. New York, NY, ScienceDirect, 2004, 119(1): 153-169. |
| Stute W. and Zhu L., Nonparametric checks for single-index models, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 381: 1-39. |
| Zhu L. and Ng K.W., Checking the adequacy of a partial linear model, Statistica Sinica. Taipei, Taiwan, Institute of Statistical Science, Academia Sinica, 2003, 13(3): 763-781. |
| Zhu L. and Ohtaki M., Extensions of sliced inverse regression based algorithms, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 383: 1-22. |
| Zhu L., Miao B. and Peng H., On sliced inverse regression with large dimensional covariates, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 380: 1-32. |
| Zhu L., Song W.X. and Gui H.J., Testing lack-of-fit for a polynomial errors-in-variables model, Acta Mathematicae Applicatae Sinica (English Series). Berlin, Germany, Springer Verlag, 2003, 19(3): 353-362. |