Philip L.H. Yu 楊良河

Associate Professor

B.Sc., Ph.D. (HK)

Office:

Rm 521, Meng Wah Complex

Email:

plhyu@hku.hk

 
Phone:

(852) 2857-8321

Fax:

(852) 2858-9041

Locations of visitors to this page
 
 
   Courses Taught in 2013-2014

  • STAT6013 Financial Data Analysis (MSTAT/RPG course, 1st semester)
  • STAT6012 / STAT8017 Data Mining Techniques (MSTAT/RPG course, 2nd semester)

   Current Research Interests

  • Data Mining and Statistical Learning.
  • Preference Learning. Analysis of Discrete Choice and Ranking Data.
  • Financial Data Mining and Modeling.
  • Quantitative Risk Management.
  • Environmental Statistics.

 

   Publications

  1. 林建、楊良河(2013). 計出你的投資勝算. 天窗出版(信報系列), 240 頁.

  2. 數堥ㄞu章

  3. Yu, P.L.H. and Lam, K. (1991). Tightness of some confidence and predictive intervals related to selection. Communication in Statistics: Theory and Methods, 20, 1401-1408.

  4. Lam, K. and Yu, P.L.H. (1992). Hedging performance of the Hang Seng Index futures contract. The Review of Futures Markets, 11, 447-466.

  5. Yu, P.L.H. (1994). A simple statistical project: image reconstruction. American Statistician, 48, 30- 34.

  6. Lam, K. and Yu, P.L.H. (1994). A predictive approach for the selection of a fixed number of good treatments. Communication in Statistics: Theory and Methods, 23, 2469-2492.

  7. Yu, P.L.H. and Cowan, R.J. (1995). A statistical model for duplicate tournaments in games of luck and skill. Australian Journal of Statistics, 37, 1-17.

  8. Yu, P.L.H. and Lam, K. (1996). Likelihood ratio test for the spacing between two adjacent location parameters. Statistics and Probability Letters, 26, 43-49.

  9. Cowan, R.J., Yu, P.L.H. and Ferguson, T.S. (1996). Restrictions on the saddle point solution in the game of teamball. Journal of Applied Probability, 33(2), 443-447.

  10. Yu, P.L.H. and Lam, K. (1996). Analysis of duplicate bridge tournament data. Scandinavian Journal of Statistics, 23, 621-633.

  11. Yu. P.L.H. and Lam, K. (1997). How to predict election winners from a poll. Journal of Applied Statistics, 24(1), 11-23.

  12. Yu, P.L.H. and Lam, K. (1997). Regression estimator in ranked set sampling. Biometrics, 53, 1070-1080.

  13. Yu, P.L.H. and Lam, K. and Sinha, B.K. (1997). Estimation of mean based on an unbalanced ranked set sample. Applied Statistical Science,II, Nova Science Publisher Inc, New York, 87-97.

  14. Tam, C.Y.C., Yu, P.L.H. and Fung, W.K. (1998). Sensitivity analysis of BLUE of mean based on a ranked set sample. Communication in statistics, Simulation and Computation, 27(4), 1075-1091.

  15. Yu, P.L.H. and Lam, K. and Sinha, B.K. (1999). Estimation of variance based on balanced and unbalanced ranked set samples. Environmental and Ecological Statistics, 6, 23-45.

  16. Yu, P.L.H., Sun, Y. and Sinha, B.K.(1999). On exact confidence intervals for the common mean of several normal populations. Journal of Statistical Planning and Inference., 81(2), 263-277.

  17. So, M.K.P. and Yu, P.L.H. (1999). The impact of Futures and Options tradings on the Hang Seng Index volatility. International Journal of Finance. 11(1), 1238-1254.

  18. Yu, P.L.H. (2000). Bayesian analysis of order statistics models for ranking data. Psychometrika. 65, 281-299.

  19. Kwan, J.W.C., Lam, K., So, M.K.P. and Yu, P.L.H. (2000). Forecasting and trading strategies based on a price trend model. Journal of Forecasting. 19, 485-498.

  20. Yu, P.L.H. and Chan, L.K.Y. (2001). Bayesian analysis of wandering vector models for displaying ranking data. Statistica Sinica. 11, 445-461.

  21. Yu, P.L.H., Lam, K.F. and Alvo, M. (2002). Nonparametric rank tests for independence in opinion surveys. Austria Journal of Statistics. 31(4), 279-290.

  22. Yu, P.L.H. and Tam, C.Y.C.(2002). Ranked set sampling in the presence of censored data. Environmetrics. 13, 379-396.

  23. Lam, K.F., Yu, P.L.H. and Lee, C.F.(2002). Kernel method for the estimation of the distribution function and the mean with auxiliary information in ranked set sampling. Environmetrics. 13, 397-406.

  24. Yu, P.L.H. Sun, Y. and Sinha, B.K.(2002). Estimation of the common mean of a bivariate normal population. Annals of the Institute of Statistical Mathematics. 54(4), 861-878.

  25. Li, W.K. and Yu, P.L.H.(2003). On the residual autocorrelation of the autoregressive conditional duration model. Economics Letters. 79(2), 169-175.

  26. Leung, G.M., Yu, P.L.H., Wong, I.O.L., Johnston, J.M. and Tin, K.Y.K. (2003). Incentives and barriers that influence clinical computerization in Hong Kong: a population-based physician survey. Journal of American Medical Informatics Association. 10, 201-212.

  27. Pang, S.M., Sawada, A., Konishi, E., Olsen, D.P., Yu, P.L.H., Chan, M.F. and Mayumi, N. (2003). A comparative study of Chinese, American and Japanese nurses' perception of ethical role responsibilities. Nursing Ethics. 10(3), 295-311.

  28. Yu, P.L.H., Lam, K. and Ng, S.H. (2003). Automating technical analysis. In Advances in Data Mining and Modeling: Hong Kong 27 - 28 June 2002. (Edited by Wai-Ki Ching & Michael Kwok-Po Ng), World Scientific. 85-96.

  29. Yu, P.L.H. (2003). Statistical modelling of ranking data. In Computational Mathematics and Modeling. (Y. Lenbury, N.V. Sanh, Y.H. Wu and B. Wiwatanapataphee Eds.). 319-326.

  30. Fung, W.K. and Yu, P.L.H. (2003). SARS case-fatality rates. Canadian Medical Association Journal. 169(4), 277.

  31. Yu, P.L.H., Lam, K.F. and Lo, S.M. (2005). Factor analysis for ranked data with application to a job selection attitude survey. Journal of Royal Statistical Society. Series A. 168(3), 583-597.

  32. Li, W.K., Yu, P.L.H. and Tse, M.K.S. (2005). A vulnerability index for predicting extreme market events in Hong Kong. International Journal of Applied Economics. 2(2), 31 pages.

  33. Wu, E.H.C. and Yu, P.L.H. (2005). Volatility modelling of multivariate financial time series by using ICA-GARCH models. In Intelligent Data Engineering and Automated Learning - IDEAL 2005, Lecture Notes in Computer Science, Volume 3578, (M. Gallagher, J. Hogan, and F. Maire (Eds)), 571-579. Springer-Verlag: Berlin.

  34. Wu, E.H.C. and Yu, P.L.H. (2005). Independent component analysis for clustering multivariate time series data. In Advanced Data Mining and Applications, Lecture Notes in Artificial Intelligence, Volume 3584, (X. Li, S. Wang, and Z.Y. Dong (Eds)), 474-482. Springer-Verlag: Berlin.

  35. Wu, E.H.C., Yu, P.L.H. and Li, W.K. (2006). An Independent component ordering and selection procedure based on the MSE criterion. In The 6th International Conference on Independent Component Analysis and Blind Source Separation (ICA2006), Lecture Notes in Computer Science, Volume 3889, (J. Rosca et al. (Eds.)), 286-294. Springer-Verlag: Berlin.

  36. Wu, E.H.C. and Yu, P.L.H. (2006). Pattern Recognition of the term structure using independent component analysis. International Journal of Pattern Recognition and Artificial Intelligence, 20(2), 173-188.

  37. Wu, E.H.C. and Yu, P.L.H. (2006). ICLUS: A robust and scalable clustering model for time series via independent component analysis. International Journal of Systems Science. 37(13), 987-1001.

  38. Wu, E.H.C., Yu, P.L.H. and Li, W.K. (2006). Value at risk estimation using ICA-GARCH models. International Journal of Neural Systems, 16(5), 371-382.

  39. Fung, W.K. and Yu, P.L.H. (2006). New-based learning in Statistics. (Referred) Proceedings of the 7th International Conference on Teaching Statistics. Salvador, Bahia, Brazil, 2-7 July 2006.

  40. So, M.K.P. and Yu, P.L.H. (2006). Empirical analysis of GARCH models in Value at Risk estimation. Journal of International Financial Markets, Institutions & Money, 16(2) 180-197.

  41. Yu, P.L.H., Chan, J.S.K. and Fung, W.K.(2006). To learn a statistics lesson from SARS. American Statistician, 60(1), 81-91.

  42. Chan, J.S.K., Yu, P.L.H., Lam, Y. and Ho, A.P.K.(2006). Modeling SARS data using threshold Geometric Process. Statistics in Medicine, 25(1), 1826-1839.

  43. Hui H.C.C., Chiu W.C.K., Yu P.L.H., Cheng K. and Tse H. (2007). The effects of service climate and the effective leadership behaviour of supervisors on frontline employee service quality: A multilevel analysis, Journal of Occupational and Organizational Psychology, 80, 151-172.

  44. Yu, P.L.H., Chung, K.H., Lin, C.K., Chan, J.S.K. and Lee, C.K. (2007). Predicting potential drop-out and future commitment for first time donors based on first one and a half years donation patterns: the case in Hong Kong Chinese donors. Vox Sanguinis, 93, 57-63.

  45. Fung, J.K.W. and Yu, P.L.H. (2007). Order imbalance and the dynamics of index and futures prices. Journal of Futures Markets, 27(12), 1129-1157.

  46. Zhao, J.H., Yu, P.L.H. and Jiang, Q. (2008). ML estimation for factor analysis: EM or non-EM? Statistics and Computing, 18(2), 109-123.

  47. Zhao, J.H. and Yu, P.L.H. (2008). Fast ML estimation for the mixture of factor analyzers via an ECM algorithm. IEEE Transactions on Neural Networks, 19(11), 1956-1961.

  48. Yu, P.L.H., Wan, W.M. and Lee, P.H. (2008). Analyzing ranking data using decision tree. (Presented in ECML/PKDD 2008 - Workshop on Preference Learning). In Proceedings of Preference Learning. Furnkranz, J. and Hullermeier, E. (eds.), 139-156.

  49. Lam, K., Yu, P.L.H. and Xin, L. (2009). Accumulator pricing. (Presented in IEEE/IAFE Conference on Computational Intelligence for Financial Engineering), In Proceedings of CIFEr, 72-79.

  50. Kwok, S.S.M., Li, W.K. and Yu, P.L.H. (2009). The autoregressive conditional marked duration model: statistical inference to market microstructure. Journal of Data Science, 7, 189-201.

  51. Cheng, X., Yu, P.L.H. and Li, W.K. (2009). On a dynamic mixture GARCH model. Journal of Forecasting, 28, 247-265.

  52. Zhao, J.H. and Yu, P.L.H. (2009). A note on variational Bayesian factor analysis. Neural Networks, 22(7), 988-997.

  53. Wu, E.H.C., Yu, P.L.H. and Li, W.K. (2009). A smoothed bootstrap test for independence based on mutual information. Computational Statistics and Data Analysis, 53(7), 2524-2536.

  54. Yu, P.L.H., Wu, E.H.C. and Li, W.K. (2010). Financial data mining using flexible ICA-GARCH models. In Shawkat Ali, A B M and Xiang, Yang (eds). Dynamic and Advanced Data Mining for Progressing Technological Development: Innovations and Systemic Approaches. Chapter 11, 255-272. Information Science Reference.

  55. Lee, P.H. and Yu, P.L.H. (2010). Distance-based tree models for ranking data. Computational Statistics and Data Analysis, 54, 1672-1682.

  56. Lam, K., Yu, P.L.H. and Lee, P.H. (2010). A margin scheme that advises on when to change required margin. European Journal of Operational Research, 207, 524-530.

  57. Yu, P.L.H., Wan, W.M. and Lee, P.H. (2010). Decision tree modelling for ranking data. In Furnkranz, J. and Hullermeier, E. (eds.) Preference Learning, 83-106, Springer-Verlag.

  58. Yu, P.L.H., Li, W.K. and Jin, S. (2010). On some models for value-at-risk. Econometric Reviews, 29, 622-641.

  59. Cheng, X., Yu, P.L.H. and Li, W.K. (2011). Basket trading under co-integration with the logistic mixture autoregressive model. Quantitative Finance, 11, 1407-1419.

  60. Cheng, X., Li, W.K., Yu, P.L.H., Zhou, X., Wang, C. and Lo, P.H. (2011). Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Computational Statistics and Data Analysis, 55, 2590-2604.

  61. Tian, G.L., Ng, K.W. and Yu, P.L.H. (2011). A note on the Binomial model with simplex constraints. Computational Statistics and Data Analysis, 55(12), 3381-3385.

  62. Knapp, G., Xu, D. and Yu, P.L.H. (2011). On some aspects of inference about effect sizes. International Journal of Statistical Sciences, 11, 59-74.

  63. Chen, C.W.S., Lin, S. and Yu, P.L.H. (2012). Smooth transition quantile capital asset pricing models with heteroscedasticity. Computational Economics, 40(1), 19-48.

  64. Zhao, J.H., Yu, P.L.H. and Kwok, J.T. (2012). Bilinear probabilistic principal component analysis. IEEE Transactions on Neural Networks and Learning Systems, 23(3), 492-503.

  65. Lee, P.H. and Yu, P.L.H. (2012). Mixtures of weighted distance-based models for ranking data with applications in political studies. Computational Statistics and Data Analysis, 56(8), 2486-2500.

  66. Wang, F., Yu, P.L.H. and Cheung, D.W. (2012). Complex stock trading strategy based on particle swarm optimization. In Proceedings of IEEE Computational Intelligence for Financial Engineering & Economics 2012, 234-239.

  67. Chan, J.S.K., Lam, C.P.Y., Yu, P.L.H., Choy, S.T.B. and Chen, C.W.S. (2012). A Bayesian conditional autoregressive geometric process model for range data. Computational Statistics and Data Analysis, 56(11), 3006-3019.

  68. Zhao, J.H., Yu, P.L.H., Lei, S. and Li, S.L. (2012). Separable linear discriminant analysis. Computational Statistics and Data Analysis, 56(12), 4290-4300.

  69. Lee, P.H. and Yu, P.L.H. (2013). An R Package for Analyzing and Modeling Ranking Data. BMC Medical Research Methodology, 13(65), 11 pages.

  70. Yung, E.H.K., Yu, P.L.H. and Chan, E.H.W. (2013). Economic valuation of historic properties: Review and recent developments. Property Management, 31(4), 335-358.

  71. Yu, P.L.H., Lee, P.H. and Wan, W.M. (2013). Factor analysis for paired ranked data with application on parent-child value orientation preference data. Computational Statistics, 28, 1915-1945.

  72. Gao, C.F., Wu, X.J. and Yu, P.L.H. (2013). An algorithm of fuzzy collaborative clustering based on kernel competitive agglomeration. Journal of Computers, 8(10), 2623-2631.

  73. Wang, F., Yu, P.L.H. and Cheung, D.W. (2014) Combining technical trading rules using particle swarm optimization. Expert Systems with Applications, 41(6), 2016-2026.

  74. Yu, P.L.H., Li, W.K. and Ng, F.C. (2014). Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework. North American Journal of Economics and Finance, 27, 17-33.

  75. Lim, H.K., Li, W.K. and Yu, P.L.H. (2014). Zero-inflated Poisson regression mixture model. Computational Statistics and Data Analysis, 71, 151-158.

  76. Zhu, K., Yu, P.L.H. and Li, W.K. (2014). Testing for the buffered autoregressive processes. Statistica Sinica, 24(2), 971-984.

  77. Chan, J.S.K., Wan, W.Y. and Yu, P.L.H. (2014). A Poisson geometric process approach for predicting dropout and committed first time blood donors. Journal of Applied Statistics, 41(7), 1486-1503.

  78. Yu, P.L.H. and Li, G.D. (2014). Comment to Discussion Paper "Principal volatility component analysis" by Hu, Y. and Tsay, R.S., Journal of Business and Economic Statistics, 32(2), 166-167.

  79. Ng, F.C., Li, W.K. and Yu, P.L.H. A Black-Litterman approach to correlation stress testing. To appear in Quantitative Finance.

   Working papers

Li, G.D., Guan, B., Li, W.K. and Yu, P.L.H. Buffered threshold autoregressive time series models.

Lo, P.H., Li, W.K., Yu, P.L.H. and Li, G.D. On buffered threshold GARCH model.

Ng, F.C., Li, W.K. and Yu, P.L.H. The generalized conditional autoregressive Wishart model for multivariate stochastic volatility.

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