DEPT OF STATISTICS & ACTUARIAL SCIENCE
| Researcher : Bacon-Shone JH |
| Project Title: | Personnel surveys |
| Investigator(s): | Bacon-Shone JH |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Other Funding Scheme |
| Start Date: | 03/1991 |
| Abstract: |
| To study both general and specific problems relating to personnel management in public and private organisations with a view of increasing management effectiveness and efficiency. Research designs will be adopted on individual project basis. |
| Project Title: | An exploratory assessment of willingness to pay for health care in Hong Kong |
| Investigator(s): | Bacon-Shone JH, McGhee SM |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Health Services Research Fund - Full Grants |
| Start Date: | 11/1996 |
| Abstract: |
| To explore factors affecting WTP in Hong Kong health care using qualitative research; to investigate the advantages and disadvantages of using contingent valuation (CV) and conjoint analysis (CA) as tools for assessing WTP for Hong Kong health care; to use CA and CV to obtain initial estimates of WTP in Hong Kong health care. |
| Project Title: | Compositional data analysis with zeros and endmembers - an application to the Hong Kong household expenditure survey |
| Investigator(s): | Bacon-Shone JH |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 10/2003 |
| Abstract: |
| To address two important methodological questions and to assist in answering an important policy question relevant to Hong Kong. - The first methodolocial question is the handling of zeros in compositional data, which has been identified as a major weakness of the key paradigm which uses log ratios (which are undefined for zeros). - The second question is how best to extend previous work on what is called the end methods problem by geologists, which is the problem of identifying which set of compositions has been mixed into a composite composition and what is the mixing process. |
| Project Title: | Analysing Asian Englishes: the historical development of English in Asian newspapers |
| Investigator(s): | Bacon-Shone JH |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Incentive Award for RGC CERG Fundable But Not Funded Projects |
| Start Date: | 07/2004 |
| Completion Date: | 06/2006 |
| Abstract: |
| N/A |
| Project Title: | The UN business crime victim survey: a comparative study of the prevalence of crime against business in Chinese cities |
| Investigator(s): | Bacon-Shone JH, Broadhurst RG |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 01/2005 |
| Abstract: |
| To estimate the prevalence and severity of crimes against business in Chinese cities of varying economic development, legal infrastructure and risks of conventional crime; to estimate the willingness of business to report crime and the reasons for reporting or not to police; to provide capacity to undertake policy relevant longitudinal research on changes in business crime by feasible and routine periodic surveillance of crimes against business in HK and selected Chinese cities; to estimate the risk of organized criminal activities against business and assess the effectiveness of countermeasures and the potential of innovations in crime prevention. |
| Project Title: | The UN business crime victim survey: a comparative study of the prevalence of crime against business in Chinese cities |
| Investigator(s): | Bacon-Shone JH |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 01/2005 |
| Abstract: |
| N/A |
| Project Title: | Statistical Modelling of Mixture Processes for Compositional Data |
| Investigator(s): | Bacon-Shone JH |
| Department: | Social Sciences Research Ctr |
| Source(s) of Funding: | Incentive Award for RGC CERG Fundable But Not Funded Projects |
| Start Date: | 07/2005 |
| Completion Date: | 06/2006 |
| Abstract: |
| N/A |
| List of Research Outputs |
| Researcher : Chan JSK |
| Project Title: | New Methodologies for Loss Reserves and Other Aspects in Insurance Industry |
| Investigator(s): | Chan JSK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Incentive Award for RGC CERG Fundable But Not Funded Projects |
| Start Date: | 07/2005 |
| Completion Date: | 06/2006 |
| Abstract: |
| N/A |
| List of Research Outputs |
| Chan J.S.K., Choy B.S.T. and Lee B.W., Bayesian analysis of constant elasticity of variance models , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 414: 1-19. |
| Chan J.S.K., Bayesian approach to analysing longitudinal bivariate binary data with informative dropout , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 418: 1-25. |
| Chan J.S.K., Choy B.S.T., Makov U. and Lam M.Y., Dynamic and robust models for loss reserve problems in insurance industry , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 416: 1-27. |
| Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modelling SARS data using threshold geometric process, Statistics in Medicine. UK, John Wiley & Sons, Ltd., 2005, 25(11): 1826-1839. |
| Yu P.L.H., Chan J.S.K. and Fung T.W.K., Statistical Exploration from SARS, American Statistician. U.S.A., American Statistical Association, 2006, 60(1): 81-91. |
| Researcher : Chan WS |
| List of Research Outputs |
| Leung G.M., Wong O.L., Chan W.S., Choi S. and Lo S.V., The ecology of health care in Hong Kong, Social Science & Medicine. 2005, 61: 577-590. |
| Wong O.L., Chan W.S., Choi S., Lo S.V. and Leung G.M., Moral hazard or realised access to care? Empirical observations in Hong Kong, Health Policy. 2006, 75: 251-261. |
| Researcher : Chau PH |
| List of Research Outputs |
| Ho P.L., Chau P.H., Yip P.S.F., Ooi C.G.C., Khong P.L., Ho J.C.M., Wong P.C., Ko C.F., Yan C.P.K. and Tsang K.W.T., A prediction rule for clinical diagnosis of severe acute respiratory syndrome, European Respiratory Journal. 2005, 26(3): 474-9. |
| Yip P.S.F., Lam K.F., Lau E.H.Y., Chau P.H. and Tsang K.W.T., A comparison study of real time fatality rate: SARS in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society . Series A, , Statistics in society. 2005, 168 part I: 233-243. |
| Researcher : Chau PH |
| List of Research Outputs |
| Ho P.L., Chau P.H., Yip P.S.F., Ooi C.G.C., Khong P.L., Ho J.C.M., Wong P.C., Ko C.F., Yan C.P.K. and Tsang K.W.T., A prediction rule for clinical diagnosis of severe acute respiratory syndrome, European Respiratory Journal. 2005, 26(3): 474-9. |
| Yip P.S.F., Lam K.F., Lau E.H.Y., Chau P.H. and Tsang K.W.T., A comparison study of real time fatality rate: SARS in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society . Series A, , Statistics in society. 2005, 168 part I: 233-243. |
| Researcher : Chen A |
| List of Research Outputs |
| Chen A., Li J. and Ramesh N.I., General Harris regularity criterion for non-linear Markov branching processes , Statistics & Probability Letters . The Netherlands, Elsevier B.V., 2006, 76(5): 446-452. |
| Chen A. and Li J., Hitting times of general collision branching processes with beta function transition rates , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 433: 1-23. |
| Chen A. and Li J., Probability approach in weighted Markov branching processes , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 432: 1-9. |
| Chen A., Li J. and Ramesh N.I., Uniqueness and extinction of weighted Markov branching processes, Methodology and Computing in Applied Probability. U.S.A., Springer, 2005, 7(4): 489-516. |
| Chen A., Pollett P., Li J. and Zhang H., Uniqueness and extinction properties of weighted collision branching processes , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 434: 1-21. |
| Chen A., Pollett P., Zhang H. and Cairns B., Uniqueness criteria for continuous-time Markov chains with general transition structures, Advances in Applied Probability. U.K., Applied Probability Trust, 2005, 37: 1056-1074. |
| Li J. and Chen A., Markov Branching Processes with Immigration and Resurrection, Markov Processes and Related Fields. Moscow, Russia, Polymat, 2006, 12(1): 139-168. |
| Researcher : Chen Y |
| List of Research Outputs |
| Chen Y., Ng K.W. and Xie X., On the maximum of randomly weighted sums with regularly varying tails, Statistics & Probability Letters. The Netherlands, Elsevier B.V., 2006, 76(10): 971-975. |
| Researcher : Cheung KC |
| List of Research Outputs |
| Cheung K.C. and Yang H., Optimal Stopping Behavior of Equity-Indexed Annuity with Regime Switching, Insurance; Mathematics and Economics. 2005, 37: 599-614. |
| Researcher : Cheung KY |
| List of Research Outputs |
| Cheung K.Y., Lee S.M.S. and Young G.A., Iterating the m out of n bootstrap in nonregular smooth function models, Statistica Sinica. 2005, 15: 945-967. |
| Cheung K.Y., Lee S.M.S. and Young G.A., Stein confidence sets based on non-iterated and iterated parametric bootstraps, Statistica Sinica. 2006, 16: 45-75. |
| Cheung K.Y. and Lee S.M.S., Variance estimation for order statistics and kernel-smoothed sample quantiles, Conference on Ordered Statistical Data and Related Topics. 2006. |
| Researcher : Chung KH |
| List of Research Outputs |
| Yu P.L.H., Chung K.H. and Leung H.L., Bayesian spatial analysis of ranking data via wandering ideal point models , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 417: 1-26. |
| Researcher : Fung TWK |
| Project Title: | Individuality of handwritten numerals and characters in local population |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 11/2004 |
| Abstract: |
| To study if hierarchical cluster analysis is useful to group the quantified handwritten features of numerals and characters which are categorical in nature; to see if the quantified features are statistically independent of one another; the evaluation of the probability of occurrence of certain features would be simplified if the independence condition is satisfied; to investigate if the hypothesis of individuality of handwritten numerals and characters in local population is valid. |
| Project Title: | The Transmission Disequilibrium Test in the Presence of Genomic Imprinting |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 01/2006 |
| Abstract: |
| Key Issues, Background and Problems Being Addressed: The transmission/disequilibrium test (TDT) is a powerful and major approach to search for genes underlying human complex/common diseases. It was introduced originally by Spielman et al. (1993) based on the case-parents trios, to test directly for linkage between the marker locus and a disease susceptibility locus (DSL) when association due to linkage disequilibrium (LD) is present. When both parents' marker genotypes were unavailable, Ewens and Spielman (1995) extended the TDT to the S-TDT for use in sibships with at least one affected individual and one unaffected individual. When only one of the parents was available, Sun et al. (1999) proposed a test, termed the 1-TDT, for use with marker genotypes of the affected individuals and the available parents. A number of investigators worked on the statistical power of the TDT. For example, Xiong and Guo (1998) demonstrated that the power was a function of several genetic parameters including the recombination fraction, penetrance, age of mutant disease allele, marker allele frequency, recurrent mutation rates at the marker and/or disease locus, and initial linkage disequilibrium. Knapp (1999) presented a rigorous method for obtaining the power of the TDT for samples consisting of families with either a single affected child or affected sib pairs, based on the asymptotic normality of the maximum likelihood estimator. Knapp (1999) also pointed out that the approach proposed by Camp (1997) on sample size calculations was erroneous. Wang and Sun (2000) presented a general method to obtain the number of families required to detect linkage disequilibrium and compared the relative power of the TDT, S-TDT and 1-TDT. Deng and Chen (2001) developed a simple and accurate analytical method for computing the statistical power of various TDT, incorporating unrelated cases and controls and their parents into a single analysis therein. Iles (2002) demonstrated a basic model that allowed analytical comparisons of the three methods of Risch and Merikangas (1996), McGinnis (1998, 2000), Tu and Whittemore (1999) and Knapp (1999), for calculating the power of TDT. Genomic imprinting, also known as “parent-of-origin effect”, is an important epigenetic factor. More than 1% of all mammalian genes are known to be imprinted (Morison et al. 2001). Morison et al. (2001) had constructed an imprinted-gene database which contained 230 records in humans at the time of submission (URL: www.otago.ac.nz/IGC). The transcriptional activity of an imprinted gene is dependent on the parent-of-origin of the allele. Imprinting can happen when either the paternal or the maternal copy of a gene is inactivated. DNA methylation and the differential packing density of DNA by histone proteins are two mechanisms known to be involved in the process of imprinting, which is determined by chromosomal region of DNA or by differences in chromatin structure (Hall 1990; Ainscough and Surani 1996, Bartolomei and Tilghman 1997; Strauch et al. 2000; Knapp and Strauch 2004). Reviews of mechanisms and function of genomic imprinting can be referred to Pfeifer (2000), Reik and Walter (2001) and Wilkins and Haig (2003). Parent-of-origin effects have been demonstrated in several genetic disorders, such as Beckwith-Wiedemann, Prader-Willi, and Angleman syndromes (Falls et al. 1999). The statistical power of tests for genetic linkage would be affected when the genes are imprinted. Much work has been done recently to incorporate parent-of-origin effects into existing tests for linkage. Weinberg et al. (1998) investigated the effects in genetic studies of case-parents trios by a log-linear approach. Weinberg (1999) proposed the methods for detection of parent-of-origin. Both of them introduced some parameters to describe the parental effects. Knapp and Strauch (2004) derived the asymptotic distribution of the likelihood-ratio test, allowing for imprinting under the null hypothesis of no linkage, by extending Holmans’ (1993) possible triangle test for affected sib pairs. Wu et al. (2005) proposed a robust generalized minimax test for linkage, based on alleles that were shared identical by descent by different affected sib pairs, allowing for parent-of-origin effects and sex-specific recombination rates. In the presence of genomic imprinting, the methods for incorporating of parent-of-origin into linkage analysis of quantitative traits can be referred to the work of Hanson et al. (2001), Shete and Amos (2002), Shete et al. (2003), among some others. Objectives: According to a rule by Haldane (1922), it is more common to have crossovers in the homogametic sex (e.g., XX) than in the heterogametic sex (e.g., XY) (Ott 1999). In other words, recombination rates are sex-specific. The recombination rate for human females is on the average 60% higher than that for human males (Fann and Ott 1995; Broman et al. 1998), but the rates can be highly variable in some regions of chromosome (Wu et al. 2005). In linkage analysis, sex-specific recombination rates will be a consequence of imprinting and Smalley (1993) suggested the utilization of this information for possible identification of traits undergoing imprinting. The recombination fractions are sex-specific and imprinting is known or believed to play an important role in many genetically complex traits, such as type I diabetes, polycystic ovarian syndrome (Bennett et al. 1997), atopy, celiac disease, cancer, epilepsy, or bipolar disorder (Knapp and Strauch 2004). We consider the following objectives in this project: (i) To study if the statistical power of TDT will change when there is genomic imprinting, i.e. how does the parent-of-origin affect the power of the TDT and is the TDT still a valid test for linkage when imprinting is present? (ii) To construct a valid test (or tests) for imprinting, based on the case-parents trios. (iii) To investigate if we can find a new method to improve the TDT for more powerful test for linkage. (iv) To see the role of sex-specific recombination fractions on the above problems. (Details of the reference list are omitted for brevity.) |
| List of Research Outputs |
| Chan K.M., Chiu C.T., Tsui P., Wong D.M. and Fung T.W.K., Population data for the Identifier™ 15 STR loci in Hong Kong Chinese, Forensic Science International. The Netherlands, Elsevier B.V., 2005, 152(2-3): 307-309. |
| Fung T.W.K., On Statistical Analysis of Forensic DNA: Theory, methods and computer programs, The 17th World Meeting of the International Association of Forensic Sciences (IAFS), August. 2005. |
| Guo W. and Fung T.W.K., An Adjusted Chi-Square Test for Case-Control study in an Admixed Population, Proceedings of the 5th JASC Asian Conference on Statistical Computing, held in Hong Kong, on December 15-17. 2005, 41-44. |
| Guo W., Fung T.W.K., Shi N. and Guo J., On the formula for admixture linkage disequilibrium, Human Heredity. Basel, Switzerland, Karger, 2005, 60(3): 177-180. |
| Guo W. and Fung T.W.K., The admixture linkage disequilibrium and genetic linkage inference on the gradual admixture population, Acta Genetica Sinica. The Netherlands, Elsevier B.V., 2006, 33(1): 12-18. |
| He X., Fung T.W.K. and Zhu Z., Robust estimation in generalized partial linear models for clustered data, Journal of the American Statistical Association. U.S.A., American Statistical Association, 2005, 100(472): 1176-1184. |
| He X., Fung T.W.K. and Zhu Z.Y., Robust estimation in generalized partial linear models for clustered data, The Joint Meeting of The Chinese Society of Probability and Statistics and The Institute of Mathematical Statistics, Peking, July . 2005. |
| Hu Y. and Fung T.W.K., Evaluation of DNA mixtures involving two pairs of relatives, International Journal of Legal Medicine. Berlin, Germany, Springer, 2005, 119(5): 251-259. |
| Hu Y. and Fung T.W.K., Power of excluding an elder brother of a child from paternity, Forensic Science International. The Netherlands, Elsevier B.V., 2005, 152(2-3): 321-322. |
| Hu Y. and Fung T.W.K., Powers of excluding relatives of the child from paternity using X-linked markers, Proceedings of the 5th JASC Asian Conference on Statistical Computing, held in Hong Kong, on December 15-17. 2005, 57-60. |
| Kwan C.W. and Fung T.W.K., Influence curves for factor loadings, British Journal of Mathematical and Statistical Psychology. U.K., The British Psychological Society, 2005, 58(2): 345-358. |
| Li C.K., Poon N.L., Fung T.W.K. and Yang C.T., Significance of strokes sequence in Chinese handwritten examination , The 17th World Meeting of the International Association of Forensic Sciences, Hong Kong, August. 2005. |
| Tam T.W.M., Yang C.T., Fung T.W.K. and Mok V.K.K., Alcohol metabolism of local Chinese in Hong Kong: a statistical determination on the effects of various physiological factors, Forensic Science International. The Netherlands, Elsevier B.V., 2006, 156(2-3): 95-101. |
| Xiang L., Yau K.K.W., Lee A.H. and Fung T.W.K., Influence diagnostics for two-component Poisson mixture regression models: applications in public health, Statistics in Medicine. U.S.A., John Wiley & Sons, 2005, 24(19): 3053-3071. |
| Yu P.L.H., Chan J.S.K. and Fung T.W.K., Statistical Exploration from SARS, American Statistician. U.S.A., American Statistical Association, 2006, 60(1): 81-91. |
| Zhou J., Hu Y. and Fung T.W.K., A simple method for detection of parent-of-origin effects based on case-parents trios, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 428: 1-21. |
| Researcher : Gerber HU |
| List of Research Outputs |
| Cai J., Gerber H.U. and Yang H., Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest, North American Actuarial Journal. USA, SoA, 2006, 10: 94-119. |
| Researcher : Guo W |
| List of Research Outputs |
| Guo W. and Fung T.W.K., An Adjusted Chi-Square Test for Case-Control study in an Admixed Population, Proceedings of the 5th JASC Asian Conference on Statistical Computing, held in Hong Kong, on December 15-17. 2005, 41-44. |
| Guo W., Fung T.W.K., Shi N. and Guo J., On the formula for admixture linkage disequilibrium, Human Heredity. Basel, Switzerland, Karger, 2005, 60(3): 177-180. |
| Guo W. and Fung T.W.K., The admixture linkage disequilibrium and genetic linkage inference on the gradual admixture population, Acta Genetica Sinica. The Netherlands, Elsevier B.V., 2006, 33(1): 12-18. |
| Researcher : Ho PK |
| List of Research Outputs |
| Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modelling SARS data using threshold geometric process, Statistics in Medicine. UK, John Wiley & Sons, Ltd., 2005, 25(11): 1826-1839. |
| Researcher : Hu Y |
| List of Research Outputs |
| Hu Y. and Fung T.W.K., Evaluation of DNA mixtures involving two pairs of relatives, International Journal of Legal Medicine. Berlin, Germany, Springer, 2005, 119(5): 251-259. |
| Hu Y. and Fung T.W.K., Power of excluding an elder brother of a child from paternity, Forensic Science International. The Netherlands, Elsevier B.V., 2005, 152(2-3): 321-322. |
| Hu Y. and Fung T.W.K., Powers of excluding relatives of the child from paternity using X-linked markers, Proceedings of the 5th JASC Asian Conference on Statistical Computing, held in Hong Kong, on December 15-17. 2005, 57-60. |
| Zhou J., Hu Y. and Fung T.W.K., A simple method for detection of parent-of-origin effects based on case-parents trios, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 428: 1-21. |
| Researcher : Hu Y |
| List of Research Outputs |
| Hu Y. and Fung T.W.K., Evaluation of DNA mixtures involving two pairs of relatives, International Journal of Legal Medicine. Berlin, Germany, Springer, 2005, 119(5): 251-259. |
| Hu Y. and Fung T.W.K., Power of excluding an elder brother of a child from paternity, Forensic Science International. The Netherlands, Elsevier B.V., 2005, 152(2-3): 321-322. |
| Hu Y. and Fung T.W.K., Powers of excluding relatives of the child from paternity using X-linked markers, Proceedings of the 5th JASC Asian Conference on Statistical Computing, held in Hong Kong, on December 15-17. 2005, 57-60. |
| Zhou J., Hu Y. and Fung T.W.K., A simple method for detection of parent-of-origin effects based on case-parents trios, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 428: 1-21. |
| Researcher : Kwok SSM |
| List of Research Outputs |
| Kwok S.S.M. and Li W.K., The autoregressive conditional intensity model and its diagnostic checking , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 422: 1-40. |
| Researcher : Lam KF |
| Project Title: | Semiparametric regression analysis for clustered interval censored survival data |
| Investigator(s): | Lam KF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 01/2006 |
| Abstract: |
| N/A |
| Project Title: | Semiparametric regression analysis for clustered interval censored survival data |
| Investigator(s): | Lam KF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 01/2006 |
| Abstract: |
| To propose an asymptotically semiparametric efficient estimator for the regression parameter in the conditional proportional hazards model, at which the effect of the associated covariate X is assumed to be linearly related to log of the hazard function and the dependence parameter with clustered interval censored data. The rate of convergence, the asymptotic properties of the estimator will be studied; to provide a simple efficient estimation method to estimate the parameters of the semiparametric random effects proportional hazards model with a partially linear relative risk function that combines the linear part based on the usual parametric regression models and a nonlinear, nonparametric regression part to explore the nature of relationships between some covariates and the failure time. |
| List of Research Outputs |
| Chan O.O., Cheng C., Hui W.M., Hu H.C., Wong Y.H., Lam K.F., Wong R.W.M., Lai K.C., Lam S.K. and Wong B.C.Y., Differing coping mechanisms, stress level and anorectal physiology in patients with functional constipation, World Journal of Gastroenterology. The WJG Press and Elsevier Inc., 2005, 11(34): 5362-5366. |
| Chan O.O., Jim M.H., Lam K.F., Siu D.C.W., Tong S.M., Ng F.H., Hui W.M., Chan C.K., Lai K.C., Hu H.C., Yuen R.M.F., Lau Y.K., Lee S.W.L., Lam S.K. and Wong B.C.Y., Patients with Coronary Artery Disease are at High Risk for Developing Colorectal Cancer and Adenoma: An Interim Analysis of a Prospective Study, Gastroenterology. 2006, 130 (4 Supp 2): A-36. |
| Chan O.O., Hui W.M., Lam K.F., Leung G., Hu H.C., Chan C.K., Yuen R.M.F., Lam S.K. and Wong B.C.Y., The Clinical Characteristics of Patients with Idiopathic Constipation with a Positive Family History, Gastroenterology. 2006, 130 (4 Suppl 2): A-158. |
| Chan O.O., Lam K.F., Hui W.M., Hu W.H., Li J., Lai K.C., Chan C.K., Yuen R.M.F., Lam S.K. and Wong B.C.Y., Validated questionnaire on diagnosis and symptom severity for functional constipation in the Chinese population, Alimentary Pharmacology and Therapeutics. Blackwell Publishing Ltd, 2005, 22: 483-488. |
| Chen W.H., Kaul U., Leung S.K., Lau Y.K., Tan H.C., Leung A.W., Lee M.K., Li S.K., Ng W., Lee P.Y., Lam K.F., Tse H.F. and Lau C.P., A randomized, double-blind, placebo-controlled trial of abciximab for prevention of in-stent restenosis in diabetic patients after coronary stenting: results of the ASIAD (Abciximab in Stenting Inhibitis restenosis Among Diabetics) Trial, J Invasive Cardiol. 2005, 17(10): 534-8. |
| Cheung E.Y.N., Ho A.Y.Y., Lam K.F., Tam S. and Kung A.W.C., Determinants of bone mineral density in Chinese men, Osteoporosis International. Springer London, 2005, 16: 1481-1486. |
| Chi I., Chou K.L., Kwan C.W., Lam K.F. and Lam T.P., Use of the Minimum Data Set - Home Care: A cluster randomized controlled trial among the Chinese older adults, Aging & Mental Health. Taylor & Francis, 2006, 10(1): 33-39. |
| Lam K.F. and Xue H., A semiparametric regression cure model with current status data, Biometrika. London, Biometrika Trust, 2005, 92(3): 573-586. |
| Lam K.F., Editor, Hong Kong Medical Journal. . Hong Kong Academy of Medicine & HK Medical Association, 2006. |
| Lam K.F., Real time fatality rate for emerging epidemics , International Conference on Reliability and Survival Analysis at Indian Statistical Institute on December 20-22, 2005, New Delhi. 2005. |
| Lam K.F., Xue H.Q. and Cheung Y.B., Semiparametric analysis of zero-inflated count data, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 424: 1-29. |
| Lam T.P., Lam K.F. and Tse E.Y.Y., Why do primary care doctors undertake postgraduate diploma studies in a mixed private/public Asian setting?, Postgraduate Medical Journal. BMJ Publ. Group Ltd & the Fellowship of Postgraduate Med., 2006, 82: 400-403. |
| Ng W., Wong R.W.M., Chen W.H., Tse H.F., Lee P.Y., Lai K.C., Li L.S.W., Ng M.M.T., Lam K.F., Cheng X. and Lau C.P., Incidence and predictors of upper gastrointestinal bleeding in patients receiving low-dose aspirin for secondary prevention of cardiovascular events in patients with coronary artery disease, World Journal of Gastroenterology. Beijing, China, The WJG Press, 2006, 12(18): 2923-2927. |
| Wong M.C.M., Lam K.F. and Lo E.C.M., Bayesian analysis of clustered interval-censored data, Journal of Dental Research. 2005, 84(9): 817-821. |
| Wong M.C.M., Lam K.F. and Lo E.C.M., Multilevel modelling of clustered grouped survival data using Cox regression model: an application to ART dental restorations, Statistics in Medicine. 2006, 25: 447-457. |
| Wong M.C.M., Lam K.F. and Lo E.C.M., Semi-parametric multilevel random effects model with time-yarying regression coefficients for correlated grouped survival data, Second International Meeting of Methodological Issues in Oral Health Research. Begium, 2006. |
| Yip P.S.F., Lam K.F., Lau E.H.Y., Chau P.H. and Tsang K.W.T., A comparison study of real time fatality rate: SARS in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society . Series A, , Statistics in society. 2005, 168 part I: 233-243. |
| Researcher : Lam MY |
| List of Research Outputs |
| Chan J.S.K., Choy B.S.T., Makov U. and Lam M.Y., Dynamic and robust models for loss reserve problems in insurance industry , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 416: 1-27. |
| Researcher : Lam Y |
| List of Research Outputs |
| Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modelling SARS data using threshold geometric process, Statistics in Medicine. UK, John Wiley & Sons, Ltd., 2005, 25(11): 1826-1839. |
| Lam Y., Zhang Y.L. and Liu Q., A geometric process model for M/M/1 queueing system with a repairable service station, European Journal of Operational Research . The Netherlands, Elsevier B.V., 2006, 168(1): 100-121. |
| Lam Y., The expected number of events in a geometric process, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 420: 1-21. |
| Tang Y. and Lam Y., A Log-normal d-Shock maintenance model for a deteriorating system, Journal of Sichuan University (Natural Science Edition). 四川大學學報 (自然科學版), China, Sichuan University, 2006, 43(1): 59-65. |
| Tang Y. and Lam Y., A d-shock maintenance model for a deteriorating system, European Journal of Operational Research . The Netherlands, Elsevier B.V., 2006, 168(2): 541-556. |
| Researcher : Lau EHY |
| List of Research Outputs |
| Yip P.S.F., Lam K.F., Lau E.H.Y., Chau P.H. and Tsang K.W.T., A comparison study of real time fatality rate: SARS in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society . Series A, , Statistics in society. 2005, 168 part I: 233-243. |
| Researcher : Lau HYE |
| List of Research Outputs |
| Lau H.Y.E. and Yip P.S.F., A chain multinomial model for estimating the real time fatality rate of a disease, with an application to severe Acute respiratory sydrome, American Journal of Epidemiology. U.K., Johns Hopkins Bloomberg School of Public Health Oxford Journ, 2005, 162(6): 604-605. |
| Lau H.Y.E. and Yip P.S.F., Estimating the Basic Reproductive Number in General Epidemic Model with an Unknown Initial Number of Susceptible Individuals, 25th European Meeting of Statisticians. 2005. |
| Lau H.Y.E., Statistical Methods for Analyzing Epidemiological Data, The University of Hong Kong. 2005. |
| Researcher : Lee SMS |
| List of Research Outputs |
| Cheung K.Y., Lee S.M.S. and Young G.A., Iterating the m out of n bootstrap in nonregular smooth function models, Statistica Sinica. 2005, 15: 945-967. |
| Cheung K.Y., Lee S.M.S. and Young G.A., Stein confidence sets based on non-iterated and iterated parametric bootstraps, Statistica Sinica. 2006, 16: 45-75. |
| Cheung K.Y. and Lee S.M.S., Variance estimation for order statistics and kernel-smoothed sample quantiles, Conference on Ordered Statistical Data and Related Topics. 2006. |
| Lee S.M.S. and Lok W.S., Two new statistical depth functions, 25th European Meeting of Statisticians, Oslo, Norway. Oslo, Norway, 2005. |
| Lok W.S. and Lee S.M.S., Two new statistical depth functions for high-dimensional data, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 413: 1-46. |
| Researcher : Leung HL |
| List of Research Outputs |
| Yu P.L.H., Chung K.H. and Leung H.L., Bayesian spatial analysis of ranking data via wandering ideal point models , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 417: 1-26. |
| Researcher : Li G |
| List of Research Outputs |
| Li G. and Li W.K., Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach, Biometrika. UK, Biometrika Trust, 2005, 92: 691-701. |
| Li G. and Li W.K., Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 415: 1-47. |
| Li G. and Li W.K., Testing for threshold moving average with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 430: 1-36. |
| Researcher : Li G |
| List of Research Outputs |
| Li G. and Li W.K., Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach, Biometrika. UK, Biometrika Trust, 2005, 92: 691-701. |
| Li G. and Li W.K., Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 415: 1-47. |
| Li G. and Li W.K., Testing for threshold moving average with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 430: 1-36. |
| Researcher : Li WK |
| List of Research Outputs |
| Jayawardena A.W., Xu P.C., Tsang F.L. and Li W.K., Determining the structure of a radial basis function network for prediction of nonlinear hydrological time series, Hydrological Sciences Journal. Wallingford, UK, International Association of Hydrological Sciences, 2006, 51(1): 21-44. |
| Kwok S.S.M. and Li W.K., The autoregressive conditional intensity model and its diagnostic checking , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 422: 1-40. |
| Kwok W.H.K.P., Leung K.M.Y., Lui C.S.G., Li W.K., Lam P.K.S. and Lee J.H.W., Ammonia water quality criteria for saltwater: a revisit, Society of Environmental Toxicology and Chemistry (SETAC) Europe 16th Annual Meeting 7-11 May 2006, The Hague, The Netherlands. 2006. |
| Leung K.M.Y., Bjørgesæter A., Gray J.S., Lui C.S.G., Li W.K. and Lam P.K.S., Deriving sediment quality guidelines from field-based species sensitivity distributions: an update, Society of Envionrmental Toxicology and Chemistry (SETAC) Europe 16th Annual Meeing 7-11 May 2006, The Hague, The Netherlands. 2006. |
| Li G. and Li W.K., Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach, Biometrika. UK, Biometrika Trust, 2005, 92: 691-701. |
| Li G. and Li W.K., Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 415: 1-47. |
| Li G. and Li W.K., Testing for threshold moving average with conditional heteroscedasticity , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 430: 1-36. |
| Sivakumar B., Jayawardena A.W. and Li W.K., Hydrologic classification system: A data reconstruction approach, Proceedings of the International Congress on Modelling and Simulation, Modelling and Simulation Society of Australia and New Zealand, December. Melbourne, Australia, Modelling and Simulation Society of Australia & New Zealand, 2005, 1901-1907. |
| Tse K.S., Yu P.L.H. and Li W.K., A Vulnerability Index for Predicting Extreme Market Events in Hong Kong, International Journal of Applied Economics. 2005, 2(2): 130-160. |
| Wong S.T. and Li W.K., A note on the estimation of extreme value distributions using maximum product of spacings, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 425: 1-18. |
| Yuen K.C., Wang G. and Li W.K., Analysis of the Gerber-Shiu function for compound Poisson models with interest and a constant dividend barrier , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 426: 1-19. |
| Researcher : Liu C |
| List of Research Outputs |
| Wang Q., Dinse G.E. and Liu C., Hazard function estimation with cause-of-death data missing at random , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 431: 1-31. |
| Researcher : Lok WS |
| List of Research Outputs |
| Lee S.M.S. and Lok W.S., Two new statistical depth functions, 25th European Meeting of Statisticians, Oslo, Norway. Oslo, Norway, 2005. |
| Lok W.S. and Lee S.M.S., Two new statistical depth functions for high-dimensional data, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 413: 1-46. |
| Researcher : Lui CSG |
| List of Research Outputs |
| Kwok W.H.K.P., Leung K.M.Y., Lui C.S.G., Li W.K., Lam P.K.S. and Lee J.H.W., Ammonia water quality criteria for saltwater: a revisit, Society of Environmental Toxicology and Chemistry (SETAC) Europe 16th Annual Meeting 7-11 May 2006, The Hague, The Netherlands. 2006. |
| Leung K.M.Y., Bjørgesæter A., Gray J.S., Lui C.S.G., Li W.K. and Lam P.K.S., Deriving sediment quality guidelines from field-based species sensitivity distributions: an update, Society of Envionrmental Toxicology and Chemistry (SETAC) Europe 16th Annual Meeing 7-11 May 2006, The Hague, The Netherlands. 2006. |
| Researcher : Ng CYA |
| List of Research Outputs |
| Ng C.Y.A. and Yang H., On the joint distribution of surplus prior and immediately after ruin under a Markovian regime switching model, Stochastic Processes and Their Applications. 2006, 116: 244-266. |
| Researcher : Ng KW |
| List of Research Outputs |
| Aitchison J. and Ng K.W., The role of perturbation in compositional data analysis, Statistical Modelling: An International Journal. Arnold, 2005, 52(2): 173-185. |
| Chen Y., Ng K.W. and Xie X., On the maximum of randomly weighted sums with regularly varying tails, Statistics & Probability Letters. The Netherlands, Elsevier B.V., 2006, 76(10): 971-975. |
| Li Z., Ng K.W., Tan K.S. and Yang H., A Closed-Form Solution to a Dynamic Portfolio Optimization Problem, Dynamics of Continuous, Discrete and Impulsive Systems. 2005, 12: 517-526. |
| Ng K.W. and Tong H., Inverse Bayes, information gain and a dependence index , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 423: 1-12. |
| Wang Q. and Ng K.W., Asymptotically efficient product-limit estimators with censoring indicators missing at random, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 421: 1-29. |
| Wu J., Wong A.C.M. and Ng K.W., Likelihood-based confidence interval for the ratio of scale parameters of two independent Weibull distributions, Journal of Statistical Planning and Inference. Elsevier B.V., 2005, 135(2): 487-497. |
| Researcher : Tong H |
| Project Title: | Distinguished Visiting Professors in the Department of Statistics and Actuarial Science |
| Investigator(s): | Tong H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Distinguished Research Achievement Award |
| Start Date: | 05/2005 |
| Abstract: |
| N/A |
| List of Research Outputs |
| Ng K.W. and Tong H., Inverse Bayes, information gain and a dependence index , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 423: 1-12. |
| Researcher : Wan WM |
| List of Research Outputs |
| Yu P.L.H. and Wan W.M., Factor analysis for bi-attribute ranked data and model assessment using bootstrap predictive checks , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 429: 1-32. |
| Researcher : Wang Q |
| Project Title: | Statistical Analysis Based on Complex Data |
| Investigator(s): | Wang Q |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 03/2006 |
| Abstract: |
| In this project I will develop statistical inference tools and approaches with complex data including surrogate data and validation data, missing data and censored data. The project has the following objectives. 1) I will develop estimation approaches for a probability density and a regression function with surrogate data and validation sampling. A regression calibration kernel approach will be applied to estimation of the probability density and regression function to incorporate the information contained in both surrogate variables and validation sample. I intend to define two weighted probability density estimators which may have less asymptotic variances than the regression calibration kernel density estimator. I intend to prove that the proposed estimators are asymptotically normal, and derive the asymptotic representations for the mean squared error and mean integrated square error of the proposed estimators, respectively. 2) Let Y be the response variable and X the covariables. Let f(y|x,beta) be the conditional probability density of Y, which is parameterized up to an unknown parameter vector \beta. For making inference on \beta, it is typically assumed that (X,Y) are available. In many applications, however, the exact measurement of X may be difficult, time consuming or expensive, so surrogate {\wt X} is observed instead of X. Generally, the relation between the surrogate {\wt X} and the true variable X can be rather complicated. The usual additive error model may not be sufficient to describe this relation. In this project, I intend to consider settings where some validation data are available to relate X and {\wt X} without specifying any error structure model. A kernel-based likelihood scoring methods with the help of validation data will be developed to define the estimator of $\beta$. Also, I will develop a semiparametric likelihood method by combining parametric likelihood and empirical likelihood to incorporate auxiliary information for improving inference. 3) In this project, I intend to consider a semiparametric model which parameterizes only the relation of interest, f(y|x,\theta), and allows the marginal distribution G(.) of X to be completely arbitrary. I intend to define the estimator of \theta. We use multiple imputation method to impute missing responses and make inference on \theta by semi-empirical likelihood approaches. 4) Consider the partial linear model with the covariables missing at random and response variables are randomly right censored. A model calibration approach and a weighting approach will be developed to define the estimators of the parametric part and nonparametric part in the partial linear model, respectively. I intend to prove that the estimators for the parametric part are asymptotically normal and the estimators of g(.) convergent to g(.) with an optimal convergent rate. 5) I will develop methods for estimating a survival function and a hazard function with censoring indicators missing at random. e.g., we will define several asymptotically efficient PL estimators. I intend to prove all the estimators to be strong uniformly consistent, weakly converge to a Gaussian process and be asymptotically efficient. |
| List of Research Outputs |
| Wang L. and Wang Q., Empirical likelihood for parametric model under imputation for missing data, Journal of Statistics and Management Systems. India, Taru Publications, 2006, 9(1): 1-13. |
| Wang Q. and Ng K.W., Asymptotically efficient product-limit estimators with censoring indicators missing at random, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 421: 1-29. |
| Wang Q. and Jing B., Edgeworth expansion and bootstrap approximation for studentized product-limit estimator with truncated and censored data, Communications in Statistics: Theory and Methods. Taylor & Francis, 2006, 35(4): 609-623. |
| Wang Q. and Yao L., Estimation In Varying-coefficient Proportional Hazard Regression Model, Metrika. Germany, Springer-Verlag, 2006, 64: 271-288. |
| Wang Q., Dinse G.E. and Liu C., Hazard function estimation with cause-of-death data missing at random , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 431: 1-31. |
| Wang Q., Nonparametric regression function estimation with surrogate data and validation sampling, Journal of Multivariate Analysis. Elsevier B. V., 2006, 97(5): 1142-1161. |
| Wang Q., 生存数据统计分析, 北京, 科学出版社, 2006, 1-274. |
| Researcher : Wong ST |
| List of Research Outputs |
| Wong S.T. and Li W.K., A note on the estimation of extreme value distributions using maximum product of spacings, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 425: 1-18. |
| Researcher : Wu HC |
| List of Research Outputs |
| Wu H.C. and Yu P.L.H., Pattern recognition of the term structure using independent component analysis, International Journal of Pattern Recognition and Artificial Intelligence. World Scientific Publishing Company, 2006, 20(2): 173-188. |
| Researcher : Wu X |
| List of Research Outputs |
| Yuen K.C., Guo J. and Wu X., On the first time on ruin in the bivariate compound Poisson model, Insurance, Mathematics and Economics. Elsevier, 2006, 38(2): 298-308. |
| Researcher : Xi L |
| List of Research Outputs |
| Xi L., Yip P.S.F. and Watson R., Estimating population size in a continuous-time removal experiment with a known sub-population size ratio, Environmental and Ecological Statistics. U.S.A., Springer, 2006, 13(1): 109-124. |
| Yip P.S.F., Xi L., Arnold R. and Hayakawa Y., A beta-binomial model for estimating the size of a heterogeneous population , Australian and New Zealand Journal of Statistics. U.K., Blackwell, 2005, 74(3): 299-308. |
| Yip P.S.F., Lin H.Z. and Xi L., A semiparametric method for estimating population size for capture–recapture experiments with random covariates in continuous time, Biometrics. U.K., Blackwell, 2005, 61(4): 1085-1092. |
| Yip P.S.F., Xi L. and Liu L., Population size estimation in proportional trapping removal and recapture models with known capture times , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 419: 1-45. |
| Researcher : Xi L |
| List of Research Outputs |
| Xi L., Yip P.S.F. and Watson R., Estimating population size in a continuous-time removal experiment with a known sub-population size ratio, Environmental and Ecological Statistics. U.S.A., Springer, 2006, 13(1): 109-124. |
| Yip P.S.F., Xi L., Arnold R. and Hayakawa Y., A beta-binomial model for estimating the size of a heterogeneous population , Australian and New Zealand Journal of Statistics. U.K., Blackwell, 2005, 74(3): 299-308. |
| Yip P.S.F., Lin H.Z. and Xi L., A semiparametric method for estimating population size for capture–recapture experiments with random covariates in continuous time, Biometrics. U.K., Blackwell, 2005, 61(4): 1085-1092. |
| Yip P.S.F., Xi L. and Liu L., Population size estimation in proportional trapping removal and recapture models with known capture times , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 419: 1-45. |
| Researcher : Yam SCP |
| List of Research Outputs |
| Yam S.C.P. and Yang H., On Valuation of Derivative Securities: A Lie Group Analytical Approach, Applications of Mathematics. 2006, 51: 49-61. |
| Researcher : Yang CT |
| List of Research Outputs |
| Li C.K., Poon N.L., Fung T.W.K. and Yang C.T., Significance of strokes sequence in Chinese handwritten examination , The 17th World Meeting of the International Association of Forensic Sciences, Hong Kong, August. 2005. |
| Tam T.W.M., Yang C.T., Fung T.W.K. and Mok V.K.K., Alcohol metabolism of local Chinese in Hong Kong: a statistical determination on the effects of various physiological factors, Forensic Science International. The Netherlands, Elsevier B.V., 2006, 156(2-3): 95-101. |
| Researcher : Yang H |
| Project Title: | Closed form expressions for the ruin probabilities |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 11/2004 |
| Completion Date: | 02/2006 |
| Abstract: |
| To consider a risk process in which claim inter-arrival times and the time until the first claim have an Erlang distribution. |
| Project Title: | Actuarial Science and Finance Models with Dependent Risks |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 09/2005 |
| Abstract: |
| N/A |
| Project Title: | Actuarial Science and Finance Models with Dependent Risks |
| Investigator(s): | Yang H, Cai J |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 09/2005 |
| Abstract: |
| The main objectives of this project are: (1) To study the asymptotic properties of the finite time horizon ruin probability, the distribution of the surplus before and after ruin, the joint distribution of the surplus immediately before and after ruin under our models and heavy tailed claim distributions. 2) Optimal Portfolio Selection under Correlated Asset Price Models. We will investigate the optimal asset allocation policy under correlated asset price models in both discrete and continuous settings. (3) Numerical Results. After obtaining some theoretical results, we would like to compare our results with those in the literature for the classical and various extended models. |
| List of Research Outputs |
| Cai J., Gerber H.U. and Yang H., Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest, North American Actuarial Journal. USA, SoA, 2006, 10: 94-119. |
| Cai J. and Yang H., Ruin in the Perturbed Compound Poisson Risk Process under Interest Force, In: C.C. Heyde, Advances in Applied Probability. U.K., Applied Probability Trust, 2005, 37: 819-835. |
| Chan K.C. and Yang H., Upper Bounds for Ruin Probability under Time Series Models, Probability in the Engineering and Informational Sciences. 2006, 20: 529-542. |
| Cheung K.C. and Yang H., Optimal Stopping Behavior of Equity-Indexed Annuity with Regime Switching, Insurance; Mathematics and Economics. 2005, 37: 599-614. |
| Li Z., Ng K.W., Tan K.S. and Yang H., A Closed-Form Solution to a Dynamic Portfolio Optimization Problem, Dynamics of Continuous, Discrete and Impulsive Systems. 2005, 12: 517-526. |
| Ng C.Y.A. and Yang H., On the joint distribution of surplus prior and immediately after ruin under a Markovian regime switching model, Stochastic Processes and Their Applications. 2006, 116: 244-266. |
| Siu T...K..., Tong H... and Yang H., Option Pricing Under Threshold Autoregressive Models by Threshold Esscher Transform, Journal of Industrial and Management Optimization. 2006, 2: 177-197. |
| Yam S.C.P. and Yang H., On Valuation of Derivative Securities: A Lie Group Analytical Approach, Applications of Mathematics. 2006, 51: 49-61. |
| Yang H., Associate editor, Insurance; Mathematics and Economics. 2006. |
| Yang H., Discussion of Cai and Xu's `On the Decomposition of the Ruin Probability for a Jump-Diffusion Surplus Process Compounded by a Geometric Brownian Motion', North American Actuarial Journal. USA, SoA, 2006, 10: 129-131. |
| Yang H., Editorial Board member, International Journal on Statistics and Systems. 2006. |
| Yang H., Guest editor, The Journal of Industrial and Management Optimization. 2006. |
| Yang H., On Absolute Ruin, Shanghai-Hong Kong Insurance and Actuarial Forum. 2006. |
| Yang H., Optimal Consumption Strategy under a discrete and Regime Switching Model, British-Sino workshop on Developments of Stochastic Analysis and Financial Mathematics. London, UK, 2005. |
| Yang H. and Zhang L., Optimal Investment for Insurer with Jump-Diffusion Risk Process, Insurance; Mathematics and Economics. 2005, 37: 615-634. |
| Yang H., Optimal Strategies for an Insurance Portfolio, Conference on Probability with Applications to Finance and Insurance: A joint HKU-HKUST-CUHK-Fudan meeting celebrating Professor Tze Leung Lai's Sixtieth Birthday. 2005. |
| Yang H., Optimal investment strategies for insurance portfolio, The Second International Conference on Risk Management $\&$ The Third International Conference on Financial System Engineering. 2005. |
| Yang H., Pricing Currency Options Under Two-Factor Markov-modulated Stochastic Volatility Models, "Festkolloquium" in honour of Phelim Boyle's 65th birthday. 2006. |
| Yang H., Pricing of Currency Optiuons under Regime Switching Models, International Conference on Asymptotic Theory in Probability and Statistics. 2006. |
| Yang H. and Zhang L., Ruin Problems For Discrete Time Risk Model with Random Interest Rate, Mathematical Methods of Operations Research. 2006, 63: 287-299. |
| Yin G., Liu Y.J. and Yang H., Bounds of Ruin Probability for Regime-switching Models Using Time Scale Separation, Scandinavian Actuarial Journal. 2006, 2006: 111-127. |
| Yuen K.C., Yang H. and Wang R., On Erlang(2) risk process perturbed by diffusion, Communications in Statistics – Theory and Methods. Taylor & Francis, 2005, 34(11): 2197-2208. |
| Researcher : Yip PSF |
| Project Title: | Estimating population size for capture-recapture experiments with missing data and measurement error |
| Investigator(s): | Yip PSF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 09/2005 |
| Abstract: |
| N/A |
| Project Title: | Estimating population size for capture-recapture experiments with missing data and measurement error |
| Investigator(s): | Yip PSF, Huggins R |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 09/2005 |
| Abstract: |
| The main objective of this project is to provide efficient estimation methods for estimating population size in capture-recapture experiments with incomplete information and possibly measurement error on covariates. |
| List of Research Outputs |
| Cheung M.W.L. and Yip P.S.F., Theta reliability, Encyclopedia of Social Measurement. The Netherlands, Elsevier, 2005, 791-796. |
| Ho P.L., Chau P.H., Yip P.S.F., Ooi C.G.C., Khong P.L., Ho J.C.M., Wong P.C., Ko C.F., Yan C.P.K. and Tsang K.W.T., A prediction rule for clinical diagnosis of severe acute respiratory syndrome, European Respiratory Journal. 2005, 26(3): 474-9. |
| Lau H.Y.E. and Yip P.S.F., A chain multinomial model for estimating the real time fatality rate of a disease, with an application to severe Acute respiratory sydrome, American Journal of Epidemiology. U.K., Johns Hopkins Bloomberg School of Public Health Oxford Journ, 2005, 162(6): 604-605. |
| Lau H.Y.E. and Yip P.S.F., Estimating the Basic Reproductive Number in General Epidemic Model with an Unknown Initial Number of Susceptible Individuals, 25th European Meeting of Statisticians. 2005. |
| Xi L., Yip P.S.F. and Watson R., Estimating population size in a continuous-time removal experiment with a known sub-population size ratio, Environmental and Ecological Statistics. U.S.A., Springer, 2006, 13(1): 109-124. |
| Yip P.S.F., Xi L., Arnold R. and Hayakawa Y., A beta-binomial model for estimating the size of a heterogeneous population , Australian and New Zealand Journal of Statistics. U.K., Blackwell, 2005, 74(3): 299-308. |
| Yip P.S.F., Lam K.F., Lau E.H.Y., Chau P.H. and Tsang K.W.T., A comparison study of real time fatality rate: SARS in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society . Series A, , Statistics in society. 2005, 168 part I: 233-243. |
| Yip P.S.F., Lin H.Z. and Xi L., A semiparametric method for estimating population size for capture–recapture experiments with random covariates in continuous time, Biometrics. U.K., Blackwell, 2005, 61(4): 1085-1092. |
| Yip P.S.F., Xi L. and Liu L., Population size estimation in proportional trapping removal and recapture models with known capture times , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 419: 1-45. |
| Yip P.S.F., Liu K.Y., Law C.K. and Law Y.W., Social and economic burden of suicide in Hong Kong SAR, Crisis. U.S.A., Hogrefe & Huber Publishing, 2005, 26(4): 156-159. |
| Researcher : Yu PLH |
| Project Title: | Bayesian Analysis of Price Trend Models for Price Movements in Financial Markets |
| Investigator(s): | Yu PLH, Li WK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 02/2005 |
| Completion Date: | 09/2006 |
| Abstract: |
| Over the years, market investors and technical analysts have devised lots of technical indicators such as moving averages and momentum indicators to forecast the price trend of a financial market. Recent studies (for example van der Hart, et al. 2003, Osler, 2000 and Lo, et al. 2000) and reveal that these rules may provide positive net profits. This result clearly rejected the efficient market hypothesis, which claims that no additional benefit will be gained by using public information related to the market. In other words, asset prices cannot be forecasted from its historical prices or other past variables. The price trend models proposed by Taylor (1980) provide a good alternative solution and have produced many successful applications of the devised price trend trading rules in the futures markets and foreign exchange markets, see Taylor (1980, 1982), Taylor and Kingsman (1978), Taylor and Tari (1989) and Cabral and Guimaraes (1994). Since Taylor's foundation work on price trend model presented in 1980 was so useful for forecasting financial markets, his paper was reprinted as a book chapter in Mills (2002). Taylor (1980) proposed different versions of price trend model, the most basic form of which is called the basic price trend model as described below. Assume that the return R(t) at trading day t is the sum of two unobservable components: the trend T(t) and the white noise et, where the trend T(t) is equal to either the previous trend T(t-1) with probability p, or a new independent trend T(t) with probability 1-p. Therefore, the trend is a constant on each of a sequence of time intervals, each interval having a random duration. In addition, the quantity 1/(1-p) represents the expected trend duration and is a measure of the trend stability. This model assumes that the market satisfies the following conditions: (a) new information arrives randomly at the market; (b) there is new information on a proportion 1-p of the trading days; (c) trend changes only when new information becomes available; (d) when trend changes, the new trend is independent of all past trends; and (e) the trend values are determined by the current information about demand and supply. In estimating model parameters, Taylor applied the methods of moments based on the autocorrelation function and forecasts of future returns were generated as if the trend model is an ordinary ARMA(1,1) model (see Taylor 1986, 1992 and Cabral and Guimaraes 1994). However, such estimation and forecasting methods are rather ad hoc and do not have a strong theoretical basis. To improve the estimation and forecasting methods, Yu (PI) (with Kwan, Lam, So) (2000) developed the maximum likelihood method to estimate the parameters of the basic price trend model and derived one-step ahead forecast to predict the future trend. Based on these optimal forecasts, a new trading rule was constructed and was found to bear similarity to a popular trading rule based on moving averages. The empirical study on trading Hong Kong Hang Seng Index Futures indicated that the new trading rule could earn more net profit than the naïve buy-and-hold rule, especially in an up-and-down market. Time-varying volatility has already been identified as a well-known stylized fact in securities returns. It is thus worthwhile to extend Taylor's price trend models to incorporate time-varying volatility. This project aims at developing flexible price trend models to improve the trend prediction and the performance of the technical trading rules derived from the models. The first part of the proposed research is to develop price trend models in which the error variance is time-varying. The moments of the returns and stationary properties of the above models will be derived. We will adopt a Bayesian approach for parameter estimation of the proposed price trend models. We will also investigate how these models can be used to describe the microstructures of the financial markets. The second part of the proposed research will be devoted to the development of forecasting and trading strategies under the proposed models. We will compare the performances of the new trading rules with the commonly used technical rules. |
| Project Title: | Modeling of ranking data: a decision tree approach |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 11/2005 |
| Abstract: |
| N/A |
| Project Title: | Modeling of ranking data: a decision tree approach |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 11/2005 |
| Abstract: |
| To develop recursive partitioning algorithms for building binary tree models for ranking data; to develop hybrid decision tree models for ranking data by combining a decision tree model and a classical ranking model. |
| List of Research Outputs |
| Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modelling SARS data using threshold geometric process, Statistics in Medicine. UK, John Wiley & Sons, Ltd., 2005, 25(11): 1826-1839. |
| Tse K.S., Yu P.L.H. and Li W.K., A Vulnerability Index for Predicting Extreme Market Events in Hong Kong, International Journal of Applied Economics. 2005, 2(2): 130-160. |
| Wu H.C. and Yu P.L.H., Pattern recognition of the term structure using independent component analysis, International Journal of Pattern Recognition and Artificial Intelligence. World Scientific Publishing Company, 2006, 20(2): 173-188. |
| Yu P.L.H., Chung K.H. and Leung H.L., Bayesian spatial analysis of ranking data via wandering ideal point models , Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 417: 1-26. |
| Yu P.L.H. and Wan W.M., Factor analysis for bi-attribute ranked data and model assessment using bootstrap predictive checks , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 429: 1-32. |
| Yu P.L.H., Chan J.S.K. and Fung T.W.K., Statistical Exploration from SARS, American Statistician. U.S.A., American Statistical Association, 2006, 60(1): 81-91. |
| tse H.M., chiu W.C.K., Yu P.L.H., Hui H.C.C. and cheng K., Supervisor-subordinate agreement in perception of LMX quality: A beautiful misunderstanding. , 6th Australian Industrial and Organisational Psychology Conference. 2005. |
| Researcher : Yuen KC |
| Project Title: | Analyses of insurance risk models with dividend payments |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Merit Award for RGC CERG Funded Projects |
| Start Date: | 01/2006 |
| Abstract: |
| N/A |
| Project Title: | Analyses of insurance risk models with dividend payments |
| Investigator(s): | Yuen KC, Guo J, Li WK, Ng KW |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Competitive Earmarked Research Grants (CERG) |
| Start Date: | 01/2006 |
| Abstract: |
| To study several problems including the expection of discounted dividends until possible ruin and the ruin probability (possibly the classical risk model perturbed by diffusion); to investigate the optimal dividend strategy and then study the ruin probability, the deficit at ruin, and the surplus immediately before ruin (possibly the classical risk model with interest on negative surplus); to studty the Gerber-Shiu expected discounted penalty function which embraces some important actuarial quantities such as the ruin probability, the deficit at ruin, and the surplus immediately before ruin(possibly the classical risk model with investment income). |
| List of Research Outputs |
| Lin L., Zhu L. and Yuen K.C., Profile empirical likelihood for parametric and semiparametric models, Annals of the Institute of Statistical Mathematics. 2005, 57(3): 485-505. |
| Wang G. and Yuen K.C., On a correlated aggregate claims model with thinning dependence, The 36th ASTIN Colloquium, Zurich, Switzerland. 2005. |
| Yuen K.C., Shi J. and Zhu L., A goodness-of-fit test for proportional hazards model with current status data, The Joint Meeting of the Chinese Society of Probability and Statistics and the Institute of Mathematical Statistics, Beijing, China. 2005. |
| Yuen K.C., Shi J. and Zhu L.X., A k-sample test with interval-censored data, Biometrika. 2006, 92(2): 315-328. |
| Yuen K.C., Shi J. and Zhu L., A k-sample test with interval-censored data, The 5th IASC, Asian Conference on Statistical Computing, Hong Kong. 2005. |
| Yuen K.C., Analysis of the Gerber-Shiu discounted penalty function for the Compound Markov Binomial model, The 2nd Conference on Probability and Statistics for Young Chinese Scholars, Tianjin, China. 2006. |
| Yuen K.C., Wang G. and Li W.K., Analysis of the Gerber-Shiu function for compound Poisson models with interest and a constant dividend barrier , Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 426: 1-19. |
| Yuen K.C., Associate Editor, Computational Statistics and Data Analysis. 2006. |
| Yuen K.C., Modeling correlated aggregate claims using thinning dependence, Shanghai-Hong Kong Insurance and Actuarial Forum, Fudan University, Shanghai, China. 2006. |
| Yuen K.C., Yang H. and Wang R., On Erlang(2) risk process perturbed by diffusion, Communications in Statistics – Theory and Methods. Taylor & Francis, 2005, 34(11): 2197-2208. |
| Yuen K.C., Guo J. and Wu X., On the first time on ruin in the bivariate compound Poisson model, Insurance, Mathematics and Economics. Elsevier, 2006, 38(2): 298-308. |
| Yuen K.C. and Guo J., Some results on the compound Markov binomial models, Scandinavian Actuarial Journal. 2006, 2006(3): 129-140. |
| Yuen K.C. and Wang G., Some ruin problems for a risk process with stochastic interest, North American Actuarial Journal. Society of Actuaries, 2005, 9(3): 129-142. |
| Researcher : Zhou J |
| List of Research Outputs |
| Zhou J., Hu Y. and Fung T.W.K., A simple method for detection of parent-of-origin effects based on case-parents trios, Research Report. Department of Statistics and Actuarial Science, HKU, 2006, 428: 1-21. |
| Researcher : Zhu L |
| List of Research Outputs |
| Lin L., Zhu L. and Yuen K.C., Profile empirical likelihood for parametric and semiparametric models, Annals of the Institute of Statistical Mathematics. 2005, 57(3): 485-505. |
| Yuen K.C., Shi J. and Zhu L., A goodness-of-fit test for proportional hazards model with current status data, The Joint Meeting of the Chinese Society of Probability and Statistics and the Institute of Mathematical Statistics, Beijing, China. 2005. |
| Yuen K.C., Shi J. and Zhu L., A k-sample test with interval-censored data, The 5th IASC, Asian Conference on Statistical Computing, Hong Kong. 2005. |
| Researcher : Zhu LX |
| List of Research Outputs |