 
Philip L.H. Yu
·¨¨}ªe

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

Office  : 
Rm 225, Run Run Shaw Building 
Email  : 
plhyu@hku.hk 

Phone  : 
(852) 39178321 
Fax  : 
(852) 28589041 







 
Courses Taught in 20142015 
 
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.
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Alvo, M. and Yu, P.L.H.(2014).
Statistical Methods for Ranking Data. Springer.
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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, 14011408.
Lam, K. and Yu, P.L.H. (1992). Hedging performance of the Hang Seng Index futures contract.
The Review of Futures Markets, 11, 447466.
Yu, P.L.H. (1994). A simple statistical project: image reconstruction.
American Statistician, 48, 30 34.
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, 24692492.
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, 117.
Yu, P.L.H. and Lam, K. (1996). Likelihood ratio test for the spacing between two adjacent
location parameters. Statistics and Probability Letters, 26, 4349.
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), 443447.
Yu, P.L.H. and Lam, K. (1996). Analysis of duplicate
bridge tournament data. Scandinavian Journal of Statistics,
23, 621633.
Yu. P.L.H. and Lam, K. (1997). How to predict
election winners from a poll. Journal of Applied
Statistics, 24(1), 1123.
Yu, P.L.H. and Lam, K. (1997). Regression estimator
in ranked set sampling. Biometrics, 53, 10701080.
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, 8797.
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), 10751091.
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,
2345.
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),
263277.
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),
12381254.
Yu, P.L.H. (2000). Bayesian analysis of order statistics
models for ranking data. Psychometrika. 65,
281299.
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, 485498.
Yu, P.L.H. and Chan, L.K.Y. (2001). Bayesian analysis of wandering vector
models
for displaying ranking data. Statistica Sinica. 11, 445461.
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), 279290.
Yu, P.L.H. and Tam, C.Y.C.(2002). Ranked set sampling in the presence of
censored data. Environmetrics. 13, 379396.
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, 397406.
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),
861878.
Li, W.K. and Yu, P.L.H.(2003). On the residual autocorrelation of the
autoregressive conditional duration model. Economics Letters.
79(2), 169175.
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 populationbased physician survey.
Journal of American Medical Informatics Association.
10, 201212.
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),
295311.
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 WaiKi Ching & Michael KwokPo Ng), World
Scientific. 8596.
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.). 319326.
Fung, W.K. and Yu, P.L.H. (2003). SARS casefatality rates.
Canadian Medical Association Journal. 169(4), 277.
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), 583597.
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.
Wu, E.H.C. and Yu, P.L.H. (2005). Volatility modelling of multivariate financial time series
by using ICAGARCH 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)), 571579. SpringerVerlag: Berlin.
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)),
474482. SpringerVerlag: Berlin.
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.)),
286294. SpringerVerlag: Berlin.
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), 173188.
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), 9871001.
Wu, E.H.C., Yu, P.L.H. and Li, W.K. (2006). Value at risk estimation using ICAGARCH
models. International Journal of Neural Systems, 16(5), 371382.
Fung, W.K. and Yu, P.L.H. (2006). Newbased learning in Statistics. (Referred)
Proceedings of the 7th International Conference on Teaching Statistics. Salvador, Bahia,
Brazil, 27 July 2006.
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) 180197.
Yu, P.L.H., Chan, J.S.K. and Fung, W.K.(2006). To learn a statistics lesson from SARS.
American Statistician, 60(1), 8191.
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), 18261839.
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, 151172.
Yu, P.L.H., Chung, K.H., Lin, C.K., Chan, J.S.K. and Lee, C.K. (2007). Predicting
potential dropout 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, 5763.
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), 11291157.
Zhao, J.H., Yu, P.L.H. and Jiang, Q. (2008). ML estimation for factor analysis: EM or
nonEM? Statistics and Computing, 18(2), 109123.
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),
19561961.
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.), 139156.
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, 7279.
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, 189201.
Cheng, X., Yu, P.L.H. and Li, W.K. (2009). On a dynamic mixture GARCH model.
Journal of Forecasting, 28, 247265.
Zhao, J.H. and Yu, P.L.H. (2009). A note on variational Bayesian factor analysis.
Neural Networks, 22(7), 988997.
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), 25242536.
Yu, P.L.H., Wu, E.H.C. and Li, W.K. (2010). Financial data mining using flexible
ICAGARCH 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, 255272. Information Science Reference.
Lee, P.H. and Yu, P.L.H. (2010). Distancebased tree models for ranking data.
Computational Statistics and Data Analysis, 54, 16721682.
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, 524530.
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,
83106, SpringerVerlag.
Yu, P.L.H., Li, W.K. and Jin, S. (2010). On some models for valueatrisk.
Econometric Reviews, 29, 622641.
Cheng, X., Yu, P.L.H. and Li, W.K. (2011). Basket trading under cointegration with the
logistic mixture autoregressive model. Quantitative Finance, 11, 14071419.
Cheng, X., Li, W.K., Yu, P.L.H., Zhou, X., Wang, C. and Lo, P.H. (2011). Modeling threshold conditional
heteroscedasticity with regimedependent skewness and kurtosis.
Computational Statistics and Data Analysis, 55, 25902604.
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), 33813385.
Knapp, G., Xu, D. and Yu, P.L.H. (2011). On some aspects of inference about effect sizes.
International Journal of Statistical Sciences, 11, 5974.
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), 1948.
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), 492503.
Lee, P.H. and Yu, P.L.H. (2012). Mixtures of weighted distancebased models for ranking data with
applications in political studies. Computational Statistics and Data Analysis, 56(8), 24862500.
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,
234239.
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), 30063019.
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), 42904300.
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.
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), 335358.
Yu, P.L.H., Lee, P.H. and Wan, W.M. (2013). Factor analysis for paired ranked data with
application on parentchild value orientation preference data. Computational Statistics,
28, 19151945.
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), 26232631.
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), 20162026.
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, 1733.
Lim, H.K., Li, W.K. and Yu, P.L.H. (2014). Zeroinflated Poisson regression mixture model.
Computational Statistics and Data Analysis, 71, 151158.
Zhu, K., Yu, P.L.H. and Li, W.K. (2014). Testing for the buffered autoregressive processes.
Statistica Sinica, 24(2), 971984.
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), 14861503.
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), 166167.
Ng, F.C., Li, W.K. and Yu, P.L.H. A BlackLitterman approach to correlation stress testing.
To appear in Quantitative Finance.
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.
Yu, P.L.H., Mathew, T. and Zhu, Y. Meanvariance portfolio optimization via generalized
pivotal quantities.
