Keming Yu

     

     

I am a Professor and Chair in Statistics,  and a memebr of Finance, OR and Statistics Research Group and the Department Research Director  (Impact) and a member of   Description: \\pinn.brunel.ac.uk\mastkky\webhome\carisma.gif. I join Brunel University from 2005. Before that I held posts at various institutions, including University of Plymouth, Lancaster University and the Open University.

Professional Service, Honours and External Duties

*      Fellow of the Royal Statistics Society (www.rss.org.uk)

*      Fellow of the International Chinese Statistics Society (www.icsa.org)

*      Membership of International Society for Bayesian Analysis (http://www.bayesian.org)

*      Member of the editorial board of Journal of Modern Applied Statistical Methods (2000-2006). 

    *      Reviewer of Mathematical Reviews (AMS)

*      Inclusion of the biographical profile in Who's Who in Science and Engineering, 2006-2007 9th Edition. Inclusion of the biographical profile in Who's Who in Science and Engineering, 10th Anniversary Edition, 2008, then 2009, 2010, 2011, ....

*      Guest Editor on Quantile Regression for the journal "Statistical Modelling: An International Journal" to publish a special issue on the ICMS Workshop, 2006--2007.

Research in methodology:

Regression analysis, Dynamic modelling, Quantile process, variable selection, Bayesian inference, nonparametric method, lifetime data analysis.

 

R packages made by PhD students for Bayesian Quantile Regression are available on CRAN R website below.

Please acknowledge your sources when you use it:

http://crantastic.org/authors/1947.

http://cran.r-project.org/web/packages/bayesQR

http://127.0.0.1:15679/library/MCMCpack/html/MCMCquantreg.html

Research in statistical applications and consultancy:

Risk analysis, Health economics, Reliability engineering, Environemnt and Bioinfromatics


Details of grant from 2008 see  http://www.brunel.ac.uk/siscm/research-overview/research-grants.



NSIRC scholarship funed by TWI for supporting a

three-year PhD study on Statistical analysis and modelling of pipeline data:  £80,000, 2014--2017. PI with Bin Wang.


National Institute of Health Research: £68,883, 2014--2015, PI with Joanne Lord and Rahim Alhamzawi. Project:  Bayesain quantile regression analysis of  BMI.

Awarded from Optirisk Systems on the research project "News analytics toolkit and stochastic programming solution algorithms":    £18,000,  2012-2013.

London Mathematics Society £1,400 for research network (http://maths.dur.ac.uk/sGR/S68293 tats/people/fc/LMS-Reliability.html), 2011-2014.

EPSRC Industrial Mathematics KTN Internship for PhD students ``Bayesian Quantile Inference with applications in finance, economics and risk analysis'': £11,800, 2011.

National Institute of Health Research: £70,517, 2009--2010, PI with Gautam Mitra and Joanne Lord. Project:  Applying stochastic programming models to health technology assessment.

Knowledge Transfer Partnership: £100,000, 2009--2011. PI with Cormac Lucas. Researcher: Leela Mitra. Industry Partner: RavenPack/Xenomorph.

EPSRC Vacation Bursary Scheme 2008 (£2000).

Three PhD students funded by the EPSRC Doctoral Training Account Studentships (2007-2010).

EPSRC workshop grant on workshop ``Quantile regression, LMS method and robust statistics,'' (£25,000), 2006.

EU visiting grant HPRI-CT-2001-00128 hosted by IRISS-C/I at CEPS/INSTEAD (Luxembourg) (£1,900), 2003.

EPSRC grant: GR/S68293 (£20200), 2002.

National Natural Science Foundation of China: 70271003/G0109 (RMB140, 000), 2002 (CI under the Chinese Academy of Sciences in Beijing).

(2001 onward)

Plenary talk for the Annual Germany Statistics Conference, Sept. 2013.
(http://www.statistische-woche.de/en/)  ( http://www.statistische-woche.de/fileadmin/Guide_berlin.pdf)

Programme Committee on 8th International Conference on Modelling in Industrial Maintenance and Reliability (MIMAR) (July  2014,  Oxford)


Keynote-speaker for SESAMI Program meeting, Kobe University, Japan.  January 30--Feb 2, 2013.

Organiser of May 31, 2013 meeting on Lifetime data analysis under Mathematics Methods for Reliability

(http://maths.dur.ac.uk/stats/people/fc/LMS-Reliability.html)

Organiser of May 22, 2012 meeting on Lifetime data analysis under Mathematics Methods for Reliability

(http://maths.dur.ac.uk/stats/people/fc/LMS-Reliability.html)

Invited speaker for 2012 Fifth International Conference on Statistics and Society at Renmin University (http://stat.ruc.edu.cn/shouye/newhuo/2011/1128/114.html)

Invited speakers for the session of Bayesian quantile in CFE-ERCIM 2011 (http://www.cfe-csda.org/ercim11)

Seminar in ENSAI, Rennes University I, France, Sept. 2011.

Organise committee for the workshop Quantile Regression Methods: Theory and Applications (http://www.case.hu-berlin.de/events/quantile%20workshop/), 6—9 Oct. 2010, Humboldt−Universität zu Berlin, Germany.

RSS event:
http://membership.rss.org.uk/main.asp?group=&page=1321&event=1239&month=4&year=2011&date=20%2F04%2F2011

20 April  2011  Statistical reliability and lifetime data analysis

This meeting brings together academic researchers and practitioners from several disciplines to present and discuss their ideas about this important topic, and aims to stimulate further interest and advances in the field and offer attendees the opportunity to learn about the latest vision research.

Invited speaker for ERCIM'10 conference at track session on quantile regression and semiparametric methods, London, 10-12 December 2010. 

Invited speaker for the workshop on model choice and dynamic dependence structures, September 20-21, 2010, Dortmund (Germany). 

Invited session organisation for the international conference on Statistical Analysis of Complex Data (SACD), July 2—4, 2010,  Kunming, Yunnan, China.     

   

Invited session organisation for 2009 WNAR/IMS Meeting http://www.mth.pdx.edu/wnar/program/WNAR_IMS_Invited.pdf

Invited session organisation for 2009 ICFSFE (http://shop.swufe.edu.cn/newforum/indexen.aspx).

Invited presentation in International Conference on Financial Statistics and Financial Econometrics, Chengdu, China.

Presentation in COMPSTAT'2008, Porto, Portugal.

Presentation in APMOD2008, Bratislava, Slovak Repubic.

Invited participant for the workshop ``Contemporary Frontiers in High-Dimensional Statistical Data Analysis’’ at Isaac Newton Institute for Mathematical Sciences, August 2008.

Invited session organiser for the conference: Taipei Symposium and ICSA 2007 (http://www.stat.sinica.edu.tw/2007symp/)

Invited speaker for the conference: Taipei Symposium and ICSA 2007.

Invited participant/speaker for the workshop ``Construction and Properties of Bayesian Nonparametric Regression’’ at Isaac Newton Institute for Mathematical Sciences, August 2007.

Main speaker on Statistical Analysis of Performance Indicators in Cassino, Italy, April 2006.

Main speaker on the New Trouble for Standard Regression Analysis, Regensburg, Germany, November 2005.

Talk in Xian China, 2006 China International Conference in Finance 17--22 July 2006.

RSS2006, the Royal Statistical Society - RSS 2006, Belfast, 10--14 Sept. 2006.

Invited speaker on the 6th ICSA International Conference, Singapore, and July 2004.

The member of Local Organizing Committee of RSS2002, 3-6 September 2002 (http://www.tech.plym.ac.uk/maths/research/stats/RSS2002.html).

Recently industrial-link talks or joint talks: CARISMA Annual Meeting/UNICOM company (http://www.unicom.co.uk/) seminar (twice): NEW DIRECTIONS IN FINANCIAL MODELLING, February 2006, May 2006, and July 2008.

2016

Taylor, J.W. and Yu, K. (2016) Using Autoregressive Logit Models to Forecast the Exceedance Probability for Financial Risk Management,  Journal of the Royal Statistical Society-A,  In Press.

Yu, K. Liu, X. Alhamzaw, R., Becker, F. and Lord, J. (2016) Statistical methods for body mass index: a selective review, Statistical Methods in Medical Research, DOI: 10.1177/0962280216643117.

Dai X, Karl Härdle W, Yu,  K (2016)  Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study, Journal of Applied Statistics, http://dx.doi.org/10.1080/02664763.2016.1155203

Rubio, F.J. and Yu, K. (2016) Flexible objective Bayesian linear regression with applications in survival analysis, Journal of Applied Statistics, accepted.

2015

Dang, W. and Yu, K. (2015) Density Regression Based on Proportional Hazards Family, Entropy 17, 3679-3691.

Wang, B.X., Yu, K. and Collen, F. (2015) Interval estimation for proportional reversed hazard family based on lower record values, Statistics and Probability Letter, 98, 115-122.

Hashem,H., Vinciotti, V., Alhamzawi, R. and Yu, K. (2015) Quantile Regression with Group Lasso for Classification, Advances in Data Analysis and Classification, DOI 10.1007/s11634-015-0206-x.

Sheikh Rajab, R., Drazic, M., Mladenovic, N. and Yu, K. (2015) Fitting Censored Quantile Regression by Variable Neighborhood Search, Journal of Global Optimization, DOI 10.1007/s10898-015-0311-6.

Alhamzawi, R. and Yu, K. (2015) Bayesian Tobit quantile regression using g-prior distribution, Journal of Statistical Computation and Simulation, 85, 2903–2918.

Wang, B., Wang, X. and Yu, K. (2015) Inference on the Kumaraswamy distribution, Communications in Statistics – Theory and Methods, accepted. http://www.tandfonline.com/doi/pdf/10.1080/03610926.2015.1032425

2014

Wang, B.X., Yu, K. and Sheng, Z. (2014) New Inference for Constant-Stress ALT with Weibull Distribution and Progressively Type II Censoring, IEEE Transactions on RELIABILITY, 63, 3.

He, J., Sheng, Z., Wang, B. and Yu, K. (2014) Point and exact interval estimation for the generalized Pareto distribution with small samples, Statistics and Its Interface, 7, 389—404.
Alhamzawi, R. and Yu, K. (2014)
Bayesian Tobit quantile regression using g-prior distribution, Journal of Statistical Computation and Simulation, in press.
You, W., Zhu, H.  Yu, K. and Cheng, C.  (2014)
Democracy, financial openness and global carbon dioxide emissions: Heterogeneity across existing emissions levels, World Development.
Zhu, H.,  Lv, Z., Yu, K. and Deng, D. (2014) Robust variable selection in partially varying coefficient single-index model, Journal of the Korean Statistical Society, 44, 45-57.
Chen, Y., Tian, M., Yu, K. and Pan, J. (2014) Composite Hierachical Linear Quantile Regression, Acta Mathematicae Application Sinica, English Series, 30, 49-64
.
Z
hu, H.,  Lv, Z., Yu, K. and Deng, D. (2014) Robust variable selection in partially varying coefficient single-index model, Journal of the Korean Statistical Society, 44, 45-57.

2013

Yu, K., Wang, B. and Patilea, V. (2013)  New estimating equation approaches with application in lifetime data analysis, Annals of the Institute of Statistical Mathematics, 65:589–615.

Dang, W. and Yu, K. (2013) Discussion of the paper `Large covariance estimation by thresholding principal orthogonal complements” by Jianqing Fan et al. Journal of the Royal Statistical Society, B., Forthcoming.

Yu, K., Dang, W., Zhu, H. and Al-Hamzawi, R. (2013) Invited discussion on `local quantile regression’ by the Editor-in-Chief, Journal of Statistical Planning and Inference. 143:1140-1144.

Al-Hamzawi, R. and Yu, K. (2013) Bayesian Lasso mixed quantile regression, Journal of Statistical Computation and Simulation,  in press.

Al-Hamzawi, R. and Yu, K. (2013) Conjugate priors and variable selection  for  Bayesian quantile regression, Computational Statistics and Data Analysis, 64: 209-219.

Zhu, H., Zeng, H. and Yu, K. (2013) Bayesian inference for non-parametric quantile regression using a fourier representation, International Journal of Advancements in Computing Technology, 5,  632-641.

Yu  K,  Chen  C.W.S, Reed  C. and Dunson, D.B. (2013) Bayesian variable selection in quantile regression, Statistics and Its Interface, 6, 261-274.

 

2012

Li, S., Zhu, H. and Yu, K. (2012) Oil prices and stock market in China: A sector analysis using panel cointegration with  multiple breaks, Energy Economics, 34, 1951-1958.

Al-hamzawi, R., Yu, K. and Benoit, D.F. (2012) Bayesian adaptive LASSO quantile regression, Statistical Modelling,  12, 279-297.

Al-Hamzawi, R. and Yu, K. (2012) Variable Selection in Quantile Regression Via Gibbs Sampling,  Journal of Applied Statistics, 39:4, 799-813.

Liu, X., Guo, W. and Yu, K (2012), Codon substitution models based on residue similarity and their applications, Gene, 509, 136—41.

Jiang, J., Liu, X. and Yu, K. (2012), Maximum likelihood estimation of multinomial probit factor analysis models for multivariate t-distribution, Computational Statistics, in press.
Al-Kenani, A. and Yu, K. (2012) A comparative study for robust canonical correlation methods, Journal of Statistical Computation and Simulation, in press.


2011

Al-Hamzawi, R. and Yu, K. (2011) Prior elicitation for mixed quantile regression with an allometric model for fish data analysis. Environmetrics, 22, 911-920.

Al-Hamzawi, R. and Yu, K.  and Pan, J. (2011) Prior elicitation in Bayesian quantile regression for longitudinal data, Journal of Biometrics and Biostatistics, 73, 659--
674.

Zhu, H., S. Li and Yu, K. (2011) Crude oil shocks and stock markets: A panel threshold cointegration Approach, Energy Economics,  33, 987—994.

Al-Hamzawi, R. and Yu, K. (2011)  Power prior elicitation in Bayesian quantile regression, Journal of Probability and Statistics, Article ID 874907, 16 pages, doi:10.1155/2011/874907.

2010

Wang, B., Yu, K. and Jones, M.C. (2010) Inference under progressively Type II right censored  sampling for certain lifetime distributions, Technometrics, 52(4), pp. 453–460.

Wei, X., Yang, S., Yu, K. and Yang, X. (2010), Bahadur  representation of linear kernel quantile estimator of  VaR under mixing assumptions,  Journal of Statistical Planning and Inference, 140, 1620--1634.

Wu, T. Z., Yu, K. and Yu, Y. (2010)  Single-Index Quantile Regression, Journal of Multivariate Analysis, 101, 1607--1621. 

Yu, K., Allay, A., Yang, S. and Hand, D.J. (2010) Kernel Quantile based Estimation of Expected Shortfall, The Journal of Risk, 12, 15--32.

Gannoun, A., Saracco, J. and Yu, K. (2010) On Semiparametric Mode Regression Estimation,  Communications in Statistics: Theory and Methods, 39, 1141--1157.

Reed C. and Yu, K. (2010), Efficient Gibbs sampling for Bayesian quantile regression, (under revision).

Reed, C. Dunson, D. and Yu, K. (2010)  Bayesian quantile regression model selection using stochastic search (under revision).

Yu, K. and Stander, J. (2010), Bayesian inference of conditional flood quantiles in a changing climate, (under revision).

 

2009
Vinciotti, V. and Yu, K. (2009) M-quantile Regression Analysis of Temporal Gene Expression Data, Statistical Applications in Genetics and Molecular Biology, 8, Iss. 1.
Yu, K. and A. Ally (2009) Improving Prediction Intervals: Some Elementary Methods, The American Statistician, 63, 17-19. 
Yu, Y., Yu, K., Li, M., Wang, Q. (2009) Semiparametric Estimation for Time-Inhomogeneous Diffusions, Statistica Sinica, 19, 843-867.

Hallin, M., Lu, Z. and Yu, K. (2009), Local Linear Spatial Quantile Regression, Bernoulli. 15, 659-686.
Wang, B. and Yu, K. (2009), Optimum Plan for Step-Stress Model with Progressive Type-II Censoring, TEST, 18, 115–135.
Chen, L. and Yu, K. (2009), Automatic Bayesian Quantile Regression Curve, Statistics and Computing,  19,  271–281.

Marston L, Peacock JL, Yu K, Brocklehurst P, Calvert SA, Greenough A, Marlow N. (2009) comparing methods of analysing datasets with small clusters – case studies using four paediatric datasets. Paediatric and Perinatal Epidemiology, 23(4), 380-392.
Hand, D.J. and Yu, K. (2009), Justifying adverse actions with new scorecard technologies, The Journal of Financial Transformation, 26, 13—17.

 

2008

Hewson, P.J. and Yu, K. (2008) Quantile Regression for the Investigation of Benefits Administration. Applied Stochastic Models in Business and Industry 24(5): 401-418.

Yang, S., Su, C. and Yu, K. (2008), A general method to the strong law of large numbers and its applications, Statistics and Probability Letter,78, 794-803.
Wu, W., Yu, K. (2008), Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk, Journal of Financial Econometrics, 6(2), 253-270. 

Zhu,H., Li, F., Yang, J. and Yu, K. (2008), Bayesian heavy-tailed stochastic volatility model in finance analysis based on MCMC simulation, Journal of System Simulation, 20, 2479—2482.
Yu, K. (2008) Contribution to the discussion of the paper 'Sure independence screening for ultra-high dimensional feature space' of J. Fan and J. Lv, Journal of the Royal Statistical Society, B, 70, 1-35.

 2007

Wang, Q. and Yu, K. (2007), Likelihood-Based Kernel Estimation in Semiparametric Errors-in-Covariables Models with Validation Data, Journal of Multivariate Analysis, 98, 455--480.

Yu, K. and Stander, J. (2007), Bayesian analysis of a Tobit quantile regression model, Journal of Econometrics, 137, 260--276.

Yu, K. Mateu, J., Porch, E. (2007),  A Kernel-based method for nonp

Mr Xun Xiao, City University, Hong Kong, April-June, 2015.

Dr Ilaria  Amerise, from  Economics, Statistics and Finance, University of Calabria (01—03/2015)

arametric estimation of variograms, Statistica  Neerlandica, 61, 173--191.

Feng, Y., Beran, J. and Yu, K. (2007), Modelling financial time series with SEMIFAR-GARCH models, IMA Journal of Management Mathematics, 18, 395-412.

Gannoun, A., Saracco, J. and Yu, K. (2007), Comparison of Nonparametric Estimators of Conditional Distribution Function and Quantile Regression Under Censoring for Survival Analysis, Statistical Modelling, 7(4): 329--344.

Jones, M.C. and Yu, K. (2007),  Improve Double Kernel Local Linear Quantile Regression, Statistical Modelling, 7(4): 377--389.

Yu, K., V. Vinciotti, X. Liu and P.A.C. 't Hoen (2007) Bayesian median regression for temporal gene expression data. Proceedings of CompLife 2007, Utrecht. 

Yu, K., Yang, S. and Gannoun, A. (2007), Contribution to the Discussion of Zeng and Lin ``Maximum likelhood estimation in semiparametric regression models with censored data'' Journal of the Royal Statistical Society, B. 69, 557--58.

2006

Zhang, J. and Yu, K. (2006), The Null Distribution of the Likelihood-Ratio Test for One or Two Outliers in a Normal Sample. TEST,15, 14--50. 

Yu, K. and Mamon, R. (2006)  Contribution to the discussion of the p

Mr Xun Xiao, City University, Hong Kong, April-June, 2015.

Dr Ilaria  Amerise, from  Economics, Statistics and Finance, University of Calabria (01—03/2015)

aper “Double hierarchical generalized linear models? by Lee and Nelder , Appl. Statist., 55, 139--85.

Mamon, R. and Yu, K. (2006)  Contribution to the discussion of the paper “Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes?by Beskos, Papaspiliopoulos, Roberts and Fearnhead, J. R. Statist. Soc. B, 68.

2005

Yu, K., Philippe Van Kerm and J. Zhang (2005), Bayesian Quantile Regression: An Application to the Wage Distribution in 1990s Britain. Sankhya, 67, 359--377.

Yu, K. and Zhang, J. (2005), Parameters estimate for asymmetric Laplace distribution function. Communications in Statistics: Theory and Methods, 34, 1867--879.  

2004

Yu, K., Lu, Z. (2004), Local linear additive quantile regression, Scandinavian Journal of Statistics, 31, 333---346.

Yu, K., Jones, M.C. (2004), Likelihood-based local linear estimation of the conditional variance function. Journal of the American statistical Association. 99, 139--44.

Zhang, J. and Yu, K. (2004), The null distribution of the likelihood-ratio test for two upper outliers in a Gamma sample, Journal of Statistical Computation and Simulation. 74, 461 --467.  

2003

Yu, K., Lu, Z., Stander, J. (2003), Quantile regression: applications and current research area. The Statistician. 52, 331--350.

Gannoun, A., Saracco, J., Yu, K. (2003), Nonparametric time-series prediction by conditional median and quantiles. Journal of Statistical Planning and Inference, 117, 207-223.  

2002

Zhang, Y., Yu, K., Rennolls, K. (2002), Bayesian approach for investigating the relationship between road trafficpollution and asthma among children. In: J. Mateu, F. Montes (Eds.) Spatial Statistics through Applications, Chapter 10, pp239-263, Witpress.

Yu, K., Mateu, J. (2002), Nonparametric nearest-neighbour variogram estimation. In: J. Mateu, F. Montes (Eds.) Spatial Statistics through Applications, Chapter 5, pp103-125, Witpress.

Yu, K. (2002). Reversible jump MCMC Approach Quantile Regression. Computational Statistics and Data Analysis, 40(2), 303-315.  

2001

Hand, D. J., Yu, K. (2001), Idiot’s Bayes ?not so stupid after all? International Statistical Review, 69, 385--98.

Yu, K., Moyeed, R. A. (2001), Bayesian quantile regression, Statistics and Probability Letters, 54, 437--447.  

Yu, K. (2001), Contribution to the discussion of the paper “A penalized likelihood approach to image warping?by C. A. Glasbey and K. V. Mardia, J. R. Statist. Soc. B, 63.

Recent conference proceedings

 Aristodemou, K. and Yu, K. (2008), CaViaR via Bayesian Nonparametric Quantile Regression, Proceedings of the Workshop Inference and Estimation in Probabilistic Time-Series Models at the Isaac Newton Institute for Mathematical Sciences, Cambridge, UK, June 2008.

 Yu, K., V. Vinciotti, X. Liu and P.A.C. 't Hoen (2007) Bayesian median regression for temporal gene expression data. Proceedings of CompLife 2007, Utrecht, October 2007.

 Publications before 2001

Yu, K. (1999). Smoothing Regression Quantile by Combining k-NN Estimation with Local Linear Kernel Fitting, Statistica Sinica, 9, 759-774.

Yu, K., Jones, M. C. (1998). Local linear quantile regression, Journal of the American Statistical Association, 93, 228-238.

Yu, K., Jones, M. C. (1997). A comparison of local constant and loc

Mr Xun Xiao, City University, Hong Kong, April-June, 2015.

Dr Ilaria  Amerise, from  Economics, Statistics and Finance, University of Calabria (01—03/2015)

al linear regression quantile estimators, Computational Statistics and Data Analysis, 25, 159-66.

Yu, K. (1997). Contribution to the discussion of the paper Statistics and the theory of measurement?by David Hand, J. R. Statist. Soc. A, 159, 445-492.

Hand, D. J., Yu, K., Adams, N. (1997). Assessing and improving classification rules, Proc. Sixth International Workshop on AI and Statistics, Fort Lauderdale, FL, USA.

Garthwaite P.H., Yu, K. and Hope, P.B.(1995). Bayesian analysis of a multiple recapture model. Communications in Statistics: Theory and Methods, 24, 2229-2247.

Yu, K. (1994) Contribution the discussion of Royston and Altman's paper "Regression using fractional polynomials." . Appl. Statist., 43, 429-467.

Yu, K. and Wang, J. (1994), The outlier test for a constrained linear model (Chinese), Gaoxiao Yingyong Shuxue Xuebao Ser. A, 9, no. 4, 416--20.

Yu, K. (1988). The random weighting approximation for the error of sample variance estimator and the application of random weighting method to sample surveys. Chinese J. Appl. Prob. Statist. 4, 121-132.

Jing, X. and Yu, K. (1987), On the convergence rates for the virtual waiting time of a GI/G/1 system (Chinese), Chinese J. Appl. Probab. Statist. 3, no. 4, 298-305.

Yu, K. (1987) The asymptotic bias and variance of non-linear regression model. Gaoxiao Yingyoung Shuxue Xuebao Ser, A, 2, 124-141.

Yu, K. (1987) Boostrapping sampling for AR model. J. of East China Normal University, Natur.Sci. Ed, 3, 3--10.

Technical reports      

Yu, K. and Dunson, D.B., The skewed Lasso.

Mitra, L., Sun, X. Roman, D., Mitra, G. and Yu, K. (2009), Mixed distribution scenarios for investment decisions with downside risk.

Aristodemou, K., Yu, K. and Vinciotti , V. (2009) Bayesian quantile regression for errors in variable model.

Dunson, D.B., Reed, C.  and Yu, K. (2009),  Bayesian variable selection in quantile regression

Serguieva, S. Bozhkov, A. Scurr, K. Yu: Computational approaches to estimating catastrophic and operational risk, Fifth International Conference on Computational Management Science, London, Abstracts pp 43-45, 2008. Journal of Empirical Finance (revision).

Yu, K., Song, S. and Hardle, W.K. (2009) Nonparametric and Semiparametric Quantile Regression for Longitudinal Data Analysis

Aristodemou, K. and Yu, K. (2009) CaViaR via Bayesian Nonparametric Quantile Regression

 

Currently teaching ``Statistical design of experiments and General linear model’’  for the final year of undergraduate math students and "Biostatistics'' for the graduate students in Public Health.

Previously  teaching the following courses: Computer Intensive Methods in Statistics; Probability and Statistics Inferences; Stochastic Process; Business Data Analysis for Postgraduate students; Time series analysis with R.

 


Past MPhil/PhD students:  

1. Aseemali Fazal, 2006. Project Title: Dynamic Asset Pricing Using Statistics Forecasting Methods.

2. Yang Liu, 2007. Project Title: Modelling Credit Risk Securities.

3. Tracy Wu, 2008. Project Title: Single-Index Quantile Regression.

4. Xiaochen Sun, 2009. Project Title: Copula Methods for risk management in finance.  

5. Craig Reed, 2010. Project Title: New Gibbs sampling and variable selection  for quantile regression with application.

6.  Abdallah Ally, 2011.  Project Title: Quantile-based methods for prediction and risk analysis.

7.  Antonios Koutsourelis, 10/2008--12/2011. Project Title: ``Bayesian inference extreme quantile regression and hidden Markov models with application in risk analysis.’’

8. Balash Vladimir, 10/2010--05/2012. Project Title: `Stochastic Volatility Model with an Exogenous Control Process of News Flow.''

9. Zhuo Sheng, 10/2008--2013. Project Title: ``Extreme quantiles based volatility measurement in high-frequency data’’.

10. Raheem Jabbar Thaher, 2009--2013. Project Title: ``Prior selection in Bayesian quantile inference''' , a winer of Vice-Chancellor's Prize for Doctoral Research 2012/13.

11. Ali Al-Kenani, 10/2009--2013, Project Title: ``Dimension reduction in quantile regression’’.

12.  Katerina Aristodemou, --2014,  Project Title: ``New Regression Methods for Measures of Central Tendency’’.

Current PhD students:  

1. Hadeel Klakattawi , 09/2013--, Project Title: Parametric Density Regression For Lifetime Data .

2. Salam Adel , 10/2014, Project Title: Bayesian regression models based lifetime inference.

3. Francisco  Anes Arteche, 03/2014-- Project Title: Modelling and prediction of remaining life of pipeline.

4. Xi Liu,

5. Linda Huang,

 

Recent Research Visitors (2005 onward)

Mr Xun Xiao, City University, Hong Kong, April-June, 2015.

Dr Ilaria  Amerise, from  Economics, Statistics and Finance, University of Calabria (01—03/2015)

Prof. Yan Chen, from Beijing University of Post and Telecommunications, 09/2008—08/2009.

Prof. Zhijie Xiao, from Boston College, USA, 3/3/2008—10/3/2008.

Prof. Xiangyu Yang, from Hunan University, China, funded by Chinese Government, 03/2007--3/2008.

Prof. Huiming Zhu, from Hunan University, China, funded by Chinese Government, 10/2007--10/2008.

Prof. Shanchao Yang, from Gangxi Normal University, China, funded by Chinese Government, 03/2006--03/2007.

Ms   Xiu Kan from Shanghai Donghua University,  Project Title: ``Multivariate quantile regression.''

Prof   Xinsheng Liu from Nanjing University of Aeronautics and Astronautics.  10/2011-09/2012

Prof  Bing-Xing Wang from Zhijiang, Hanzhou, China, 2013--2014.

A Collection of Bayesian Quantile  Regression related PhD projects and publications by reseachers in the world (more than a dozen of PhD projects and a hundred of articles)

 PhD dissertations include

 1.     (2010) On Bayesian Regression Regularization Methods by Qing Li, Department of Mathematics, Washington University in St. Louis with Advisor : Nan Lin

2.      (2010) Essays on Bayesian Quantile Regression Using Laplace-like Distributions  with Applications in Economics by Dries F. Benoit , Faculty of Economics and Business Administration, Ghent University with  advisor Prof. dr. Dirk Van den Poel

3.      (2011)  Bayesian Spatial Quantile Regression by Kristian Lum in Department of Statistical Science,  Duke University with  advisor Alan Gelfand.

4.      (2011) Quantile Regression: Bayesian and Likelihood-based Approaches by Paul D. Baines in Harvard University with advisor Xiao-Li Meng.

5.      (2008) Bayesian Nonparametric Approach to Inference for Quantile regression by MA TADDY in Department of Applied Math and Statistics, University of California with advisor Athanasios Kottas.

6.      (2005) Contributions to Bayesian Statistical Analysis: Model Specification and Nonparametric Inference by Milovan Krnjajic in Department of Applied Math and Statistics, University of California with  advisor Athanasios Kottas.

7.       (2010) Spatially Adaptive Priors for Regression and Spatial Modeling by Yu Yue in Department of Statistics, University of Missouri with Advisor: Paul L. Speckman.

8.      (2011) Expectile and Quantile Regression Using the Idea of Bayesian Semiparametric Regression by Arash Ardalan, University of Auckland
  with advisors: Matt Wand (University of Technology, Sydney) and Thomas Yee (University of Auckland)

9.      (2011) Bayesian linear QR by Feng, Yang in Department of Statistics, University of Illinois with advisor Yuguo Chen

10.    (2009) Semiparametric Bayesian regression by Jungmo Yoon in Department of Economics, University of Illinois with advisor Roger Koenker

11.    (2011) Bayesian Empirical Likelihood for Quantile Regression by Yunwen Yang in Department of Statistics, University of Illinois with advisor Xuming He.

12.    (2011) Gibbs Sampling Methods for Bayesian Quantile Regression by Hideo Kozumi in  Graduate School of Business, Kobe University with advisor  Genya Kobayashia

 

More than  100 researchers and practitioners across the world have published articles in the field/topics recent ten years.