John Lau

Associate Professor, BSc MSc PhD Hong Kong

  • The University of Western Australia (M019), 35 Stirling Highway,

    6009 Perth

    Australia

  • 287 Citations
  • 7 h-Index
20062019
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Research Output 2006 2019

  • 287 Citations
  • 7 h-Index
  • 23 Article
  • 1 Chapter
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Article
2019

Climate inference on daily rainfall across the Australian continent, 1876-2015

Bertolacci, M., Cripps, E., Rosen, O., Lau, J. W. & Cripps, S., Jun 2019, In : Annals of Applied Statistics. 13, 2, p. 683-712 30 p.

Research output: Contribution to journalArticle

2018

A hidden Markov regime-switching smooth transition model

Elliott, R. J., Siu, T. K. & Lau, J. W., 29 Jun 2018, In : Studies in Nonlinear Dynamics and Econometrics. 22, 4, 20160061.

Research output: Contribution to journalArticle

Markov Switching
Regime Switching
Transition Model
regime
Nonlinear Time Series Model
2016
1 Citation (Scopus)
173 Downloads (Pure)

Bayesian analysis of individual level personality dynamics

Cripps, E., Wood, R. E., Beckmann, N., Lau, J., Beckmann, J. F. & Cripps, S. A., 19 Jul 2016, In : Frontiers in Psychology. 7, p. 1-13 1065.

Research output: Contribution to journalArticle

Open Access
File
Aptitude
Bayes Theorem
Personality
Individuality
Psychology
2015
21 Citations (Scopus)

Classifying machinery condition using oil samples and binary logistic regression

Phillips, J., Cripps, E., Lau, J. & Hodkiewicz, M., 2015, In : Mechanical Systems and Signal Processing. 60-61, 1, p. 316-325

Research output: Contribution to journalArticle

Machinery
Logistics
Support vector machines
Neural networks
Engines

Stick-Breaking Representation and Computation for Normalized Generalized Gamma Processes

Lau, J. & Cripps, E., 2015, In : Sankhya A. 77, p. 300-329

Research output: Contribution to journalArticle

2013
1 Citation (Scopus)

A conjugate class of random probability measures based on tilting and with its posterior analysis

Lau, J., 2013, In : Bernoulli. 19, 5 B, p. 2590-2626

Research output: Contribution to journalArticle

Open Access
Random Probability Measure
Tilting
Random Measure
Poisson process
Partition
2 Citations (Scopus)

Filtering a double threshold model with regime switching

Elliott, R. J., Siu, T. & Lau, J., 2013, In : IEEE Transactions on Automatic Control. 58, 12, p. 3185-3190

Research output: Contribution to journalArticle

Switches
2012
1 Citation (Scopus)

Bayesian non-parametric mixtures of GARCH(1,1) models

Lau, J. & Cripps, E., 2012, In : Journal of Probability and Statistics. 2012, Article ID 167431, p. 1-16

Research output: Contribution to journalArticle

Open Access
3 Citations (Scopus)

Viterbi-Based Estimation for Markov Switching GARCH Model

Elliott, R. J., Lau, J., Miao, H. & Siu, T. K., 2012, In : Applied Mathematical Finance. 19, 3, p. 219-231

Research output: Contribution to journalArticle

2011
6 Citations (Scopus)
12 Downloads (Pure)

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Lau, J. & So, M. K. P., 2011, In : Statistics and Computing. 21, 1, p. 69-81

Research output: Contribution to journalArticle

2010
7 Citations (Scopus)

Bayesian nonparametric estimation and consistency of mixed multinomial logit choice models

De Blasi, P., James, L. F. & Lau, J., 2010, In : Bernoulli. 16, p. 679-704

Research output: Contribution to journalArticle

Open Access
2008
16 Citations (Scopus)

Bayesian mixture of autoregressive models

Lau, J. & So, M. K. P., 2008, In : Computational Statistics and Data Analysis. 53, 1, p. 38-60

Research output: Contribution to journalArticle

Autoregressive Model
Time series
Partition
Bayesian Prediction
Dirichlet Process Prior
4 Citations (Scopus)

Modelling long-term investment returns via Bayesian infinite mixture time series models

Lau, J. & Siu, T. K., 2008, In : Scandinavian Actuarial Journal. 4, p. 243-282

Research output: Contribution to journalArticle

3 Citations (Scopus)

On option pricing under a completely random measure via a generalized Esscher transform

Lau, J. & Siu, T. K., 2008, In : Insurance Mathematics & Economics. 43, 1, p. 99-107

Research output: Contribution to journalArticle

Esscher Transform
Random Measure
Option Pricing
Gamma Process
Biased
36 Citations (Scopus)

Pricing currency options under two-factor Markov-modulated stochastic volatility models

Siu, T. K., Yang, H. & Lau, J., 2008, In : Insurance : Mathematics & Economics. 43, p. 295-302

Research output: Contribution to journalArticle

Stochastic Volatility Model
Currency
Pricing
American Options
Stochastic Volatility
25 Citations (Scopus)
163 Downloads (Pure)

Pricing participating products under a generalized jump-diffusion model

Siu, T. K., Lau, J. & Yang, H., 2008, In : Journal of Applied Mathematics and Stochastic Analysis. 2008, p. 1-30

Research output: Contribution to journalArticle

Open Access
File
Jump-diffusion Model
Pricing
Equivalent Martingale Measure
Regime-switching Model
Markovian Switching

Pricing risky debts under a Markov-modulated Merton model with completely random measures

Lau, J. & Siu, T. K., 2008, In : Computational Economics. 31, 3, p. 255-288

Research output: Contribution to journalArticle

Pricing
Merton model
Debt
Jump
Jump-diffusion model

Ruin theory under a generalized jump-diffusion model with regime switching

Siu, T. K. K., Lau, J. W. & Yang, H., 2008, In : Applied Mathematical Sciences. 2, 29-32, p. 1415-1430 16 p.

Research output: Contribution to journalArticle

2007
85 Citations (Scopus)

Bayesian model-based clustering procedures

Lau, J. & Green, P. J., 2007, In : Journal of Computational and Graphical Statistics. 16, 3, p. 526-558

Research output: Contribution to journalArticle

Model-based Clustering
Bayesian Model
Loss Function
Clustering
Stochastic Search
2 Citations (Scopus)

On valuing participating life insurance contracts with conditional heteroscedasticity

Siu, T. K., Lau, J. & Yang, H., 2007, In : Asia-Pacific Financial Markets. 14, 3, p. 255-275

Research output: Contribution to journalArticle

Conditional volatility
Insurance contract
Conditional heteroscedasticity
Life insurance
GARCH model
66 Citations (Scopus)

Pricing options under a generalized Markov-Modulated jump-diffusion model

Elliott, R. J., Siu, T. K., Chan, L. & Lau, J., 2007, In : Stochastic Analysis and Applications. 25, 4, p. 821-843

Research output: Contribution to journalArticle

Jump-diffusion Model
Option Pricing
Gamma Process
Jump
Esscher Transform
2006
2 Citations (Scopus)
Gamma Process
Unobserved Heterogeneity
Parametric Modeling
Bayesian Estimator
Right Censoring
6 Citations (Scopus)

On Bayesian mixture credibility

Lau, J., Siu, T. K. & Yang, H., 2006, In : ASTIN Bulletin. 36, 2, p. 573-588

Research output: Contribution to journalArticle

Credibility
Mixture model
Premium
Sampling
Portfolio insurance