Philip L.H. Yu

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 2009-2010

   Research Interests

  • Analysis of discrete choice and ranking data.
  • Data mining.
  • Risk management.
  • Statistical analysis of financial data.
  • Environmental statistics.
  • Statistical ranking and selection.
  • Multiple comparisons and simultaneous inference.
  • Design and analysis of tournament games.

   Selected Publications

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

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

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

  4. 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.

  5. 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.

  6. 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.

  7. 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.

  8. 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.

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

  10. 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.

  11. 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.

  12. 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.

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

  14. 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.

  15. 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.

  16. 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.

  17. 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.

  18. 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.

  19. 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.

  20. 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.

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

  22. 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.

  23. 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.

  24. 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.

  25. 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.

  26. 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.

  27. 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.

  28. 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.

  29. 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.

  30. 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.

  31. 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.

  32. 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.

  33. 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.

  34. 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.

  35. 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.

  36. 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.

  37. 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.

  38. 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.

  39. 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.

  40. 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.

  41. 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.

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

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

  44. 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.

  45. 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.

  46. Yu, P.L.H., Wan, W.M. and Lee, P.H. Decision tree modelling for ranking data. To appear in Furnkranz, J. and Hullermeier, E. (eds.) Preference Learning, Springer-Verlag.

  47. Lee, P.J. and Yu, P.L.H. Distance-based tree models for ranking data. To appear in Computational Statistics and Data Analysis.

  48. Jin, S., Li, W.K. and Yu, P.L.H. On some models for value-at-risk. To appear in Econometric Reviews.

   Working papers

Cheng, X., Li, W.K., Yu, P.L.H. and Zhou, X.: Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis.

Cheng, X., Yu, P.L.H. and Li, W.K.: Basket trading under co-integration with logistic mixture autoregressive model.

Lam, K., Yu, P.L.H. and Lee, P.H.: A margin scheme that advises on when to change required margin.

Yu, P.L.H. and Wan, W.M.: Factor analysis for paired ranked data and model assessment using Bootstrap predictive checks.

Yu, P.L.H., Chung, K.H. and Leung, H.L.: Bayesian spatial analysis of ranking data via wandering ideal point models.

Yu, P.L.H., Chui, S.B.: Simulation-based estimation methods for rank ordered probit models.

Yu, P.L.H. and Chui, S.B.: A maximum entropy approach to recovering information from ranking data.

Chan, J.S.K., Wan, W.Y., Lee, C.K., Yu, P.L.H. and Lin, C.K.: Predicting dropout and committed first time blood donors: the use of Poisson Geometric Process approach.

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