Shuangzhe Liu | University of Canberra (original) (raw)

Papers by Shuangzhe Liu

Lecture notes-monograph series, 2003

Journal of Multivariate Analysis, Mar 1, 2022

Entropy

This paper introduces a novel approach, called causal relation quantification, based on change-po... more This paper introduces a novel approach, called causal relation quantification, based on change-point detection to address the issue of harmonic responsibility division in power systems. The proposed method focuses on determining the causal effect of chronological continuous treatment, enabling the identification of crucial treatment intervals. Within each interval, three propensity-score-based algorithms are executed to assess their respective causal effects. By integrating the results from each interval, the overall causal effect of a chronological continuous treatment variable can be calculated. This calculated overall causal effect represents the causal responsibility of each harmonic customer. The effectiveness of the proposed method is evaluated through a simulation study and demonstrated in an empirical harmonic application. The results of the simulation study indicate that our method provides accurate and robust estimates, while the calculated results in the harmonic applicat...

Journal of Statistical Computation and Simulation

Journal of Risk and Financial Management

Bayesian inference has gained popularity in the last half of the twentieth century thanks to the ... more Bayesian inference has gained popularity in the last half of the twentieth century thanks to the wider applications in numerous fields such as economics, finance, physics, engineering, life sciences, environmental studies, and so forth. In this paper, we studied some key benefits of Bayesian inference and how they can be used in predicting loan default in the banking sector. Various traditional classification techniques are also presented to draw comparisons primarily in terms of the ease of interpretability and model performance. This paper includes the use of non-informative priors to attempt to arrive to the convergence of posterior distribution. Finally, with the Bayesian techniques proven to be an alternative to the classical approaches, the paper attempted to demonstrate that Bayesian techniques are indeed powerful in financial data analytics and applications.

In this paper, the estimation of the common mean vector of two multivariate normal populations is... more In this paper, the estimation of the common mean vector of two multivariate normal populations is considered and a new class of unbiased estimators is proposed. Several dominance results under the quadratic loss and LINEX loss functions are established. To illustrate the usefulness of these estimators, a simulation study with finite samples is conducted to compare them with four existing estimators, including the sample mean and the Graybill-Deal estimator. Based on the comparison studies, we found that the numerical performance of the proposed estimators is almost as good as \(\tilde {\mu }_{CC}\) proposed by Chiou and Cohen (Ann Inst Stat Math 37:499–506, 1985) in terms of the risks. Its theoretical dominance over the sample mean of a single population under the sufficient conditions given is also established.

IET Generation, Transmission & Distribution, 2021

International Journal of Mathematical Education in Science and Technology, 2020

BackgroundThe epidemiology of COVID-19 remains speculative in Africa. To the best of our knowledg... more BackgroundThe epidemiology of COVID-19 remains speculative in Africa. To the best of our knowledge, no study, using robust methodology provides its trajectory for the region or accounts for local context. This paper is the first systematic attempt to provide prevalence, incidence, and mortality estimates across Africa.MethodsCaseloads and incidence forecasts are from a co-variate-based instrumental variable regression model. Fatality rates from Italy and China were applied to generate mortality estimates after making relevant health system and population-level characteristics related adjustments between each of the African countries.ResultsBy June 30 2020, around 16.3 million people in Africa will contract COVID-19 (95% CI 718,403 to 98,358,799). Northern and Eastern Africa will be the most and least affected areas. Cumulative cases by June 30 are expected to reach around 2.9 million (95% CI 465,028 to 18,286,358) in Southern Africa, 2.8 million (95% CI 517,489 to 15,056,314) in Wes...

Journal of Computational and Applied Mathematics, 2019

Journal of Risk and Financial Management, 2019

The paper aims to assess the level of competition in the Indian banking sector overall as well as... more The paper aims to assess the level of competition in the Indian banking sector overall as well as within the three groups of banks: foreign owned, state owned (public sector), and privately owned. We use panel data for the period from 2005–2018. We found that the overall competition in the Indian banking sector is strong, although there are differences by type of bank ownership. The Indian banking market continues to be characterized by monopolistic competition. The various policy measures taken by the Indian government in recent years appear to have helped boost competition. A policy suggestion would be to further liberalize the banking sector for foreign investment.

Journal of Statistical Computation and Simulation, 2017

ABSTRACT Multivariate control charts are powerful and simple visual tools for monitoring the qual... more ABSTRACT Multivariate control charts are powerful and simple visual tools for monitoring the quality of a process. This multivariate monitoring is carried out by considering simultaneously several correlated quality characteristics and by determining whether these characteristics are in control or out of control. In this paper, we propose a robust methodology using multivariate quality control charts for subgroups based on generalized Birnbaum–Saunders distributions and an adapted Hotelling statistic. This methodology is constructed for Phases I and II of control charts. We estimate the corresponding parameters with the maximum likelihood method and use parametric bootstrapping to obtain the distribution of the adapted Hotelling statistic. In addition, we consider the Mahalanobis distance to detect multivariate outliers and use it to assess the adequacy of the distributional assumption. A Monte Carlo simulation study is conducted to evaluate the proposed methodology and to compare it with a standard methodology. This study reports the good performance of our methodology. An illustration with real-world air quality data of Santiago, Chile, is provided. This illustration shows that the methodology is useful for alerting early episodes of extreme air pollution, thus preventing adverse effects on human health.

... An empirical investigation Milind Sathye, Dharmendra Sharma, Shuangzhe Liu and Girija Chetty ... more ... An empirical investigation Milind Sathye, Dharmendra Sharma, Shuangzhe Liu and Girija Chetty 1. Introduction ... Another strand of study in this area has examined the impact on time-varying beta (Choudhry (2003), policy and regulatory response (Johnston and Nedelscu, 2006, ...

Econometric Theory, 1993

ABSTRACT

All in-text references underlined in blue are linked to publications on ResearchGate, letting you... more All in-text references underlined in blue are linked to publications on ResearchGate, letting you access and read them immediately.