## Tony Sit 薛賢鴻

Associate Professor

Director, M.Sc. in Risk Management Science and Data Analytics Programme

Tel: (+852) 3943 7054

Office: 106 Lady Shaw Building

Email: tonysit/at/sta.cuhk.edu.hk

### Education

2006 | B.Sc. in Risk Management Science, The Chinese University of Hong Kong |

2008 | M.Phil. in Risk Management Science, The Chinese University of Hong Kong |

2012 | Ph.D. in Statistics, Columbia University |

### Research Interests

Survival analysis; Quantile regression; Network modelling; Risk management

### Publications and Preprints

Acknowledgement: research is/was supported by HKSAR RGC ECS/GRF Grants

#### Statistical Methodology Papers

- Kim, J.P., Lu, W., Sit, T and Ying, Z. (2013), “A Unified Approach to Semiparametric Transformation Models under General Biased Sampling Scheme,”
*Journal of American Statistical Association*, 108, 217–27. - Brown, M., de la Pena, V.H. and Sit, T. (2015), “From Boundary Crossing of Non-random Functions to Boundary Crossing of Stochastic Processes”
*Probability for Engineering and Information Science*, 29, 345–59. - Sit, T., Liu, M., Shnaidman, M., and Ying, Z. (2016), “Design and Analysis of Clinical Studies in the Presence of Delayed Treatment Effect,”
*Statistics in Medicine*, 35, 1774–9. - Kim, J.P., Sit, T. and Ying, Z. (2016), “Accelerated Failure Time Model under General Biased Sampling Scheme,”
*Biostatistics*, 17, 576–88. - Chan, N.H. and Sit, T. (2016), “Artifactual Unit Root Behavior of Value at Risk (VaR),”
*Statistics and Probability Letters*, 116, 88–93. - Brown, M., de la Pena, V. H., Klass, M. and Sit, T. (2016), “On an Approach to Boundary Crossing by Stochastic Processes,”
*Stochastic Processes and their Applications*, 126, 3843–53. - 7. Xu, G., Sit, T., Wang, L. and Huang, C.-Y. (2017), “Estimation and Inference of Quantile Regression for Survival Data under Biased Sampling,”
*Journal of the American Statistical Association*, 112, 1571–86. - Chan, K.C.G., Ling, H.K., Sit, T. and Yam, S.C.P. (2018), “Estimation of a Monotone Density in
*S*-sample Biased Sampling Models,”*The Annals of Statistics*, 46, 2125–52. - Sit, T., Xing, Y., Xu, Y. Z. and Gu, M.G. (2019), “Pseudo Value Method for Ultra High-dimensional Semiparametric Models with Life-time Data,”
*Statistica Sinica*, 29, 1939–61. - Chen, J., Sit, T. and Wong, H. Y. (2019), “Simulation-based Value-at-Risk for Nonlinear Portfolios,”
*Quantitative Finance*, 19, 1639–58. - Cai, Z. and Sit, T. (2020), “Quantile Regression Model with Time-Varying Covariates under Length-Biased Sampling,”
*Biometrics*, 74, 1201-1215. - Chu, C.W., Sit, T. and Xu, G. (2021), “Transformed Dynamic Quantile Regression on Censored Data,”
*Journal of the American Statistical Association*116, 874-886. - Sit, T., Ying, Z. and Yu, Y. (2021), “Event History Analysis of Dynamic Networks,”
*Biometrika*, 108, 223-230. - Chan, K.C.G., Ling, H.K., Sit, T. and Yam, S.C.P. (2021), “On Asymptotic Equivalence of the NPMLE of a Monotone Density and a Grenander-type Estimator in Multi-sample Biased Sampling Models,”
*Electronic Journal of Statistics*, 15, 2876-904. - Xing, Y., Sit, T. and Wong, H.Y. (2021+), “Variance Reduction for Risk Measure Estimation with Importance Sampling,” To appear in
*Quantitative Finance*. - Lee, S.M., Sit, T. and Xu, G. (2021+), “Efficient Estimation for Censored Quantile Regression,” Under revision.
- Chu, C.W. and Sit, T. (2021+), “Censored Interquantile Regression Model with Time-Dependent Covariates,” Under revision.
- Tsang, M.Y., Sit, T. and Wong, H.Y. (2021+), “Robust Portfolio Optimization with respect to Spectral Risk Measures under Correlation Uncertainty,” Submitted.
- Sit, T. and Xing, Y. (2021+), “Distributed Censored Quantile Regression,” Submitted.
- Li, M., Sit, T., Xu, G. and Huang, C.-Y. (2021+), “Competing Risks Analyses with Semiparametric Density Ratio Models,” (Manuscript).
- Chan, K.C.G., Ling, H.K., Sit, T. and Yam, S.C.P. (2021+), “Semiparametric Multi-sample Biased Sampling Models under Monotonicity,” (Manuscript).
- Chu, C.W., Sit, T. and Ying, Z. (2021+), “Censored Quantile Regression with Time-Dependent Covariates” (Manuscript).
- Cai, Z. and Sit, T. (2021+), “Interquantile Smoothness in Censored Quantile Regressions via Induced Smoothing” (Manuscript).
- Tsang, M.Y., Sit, T. and Wong, H.Y. (2021+), “Adaptive Robust Online Portfolio Section,” (Manuscript).

#### Interdisciplinary Research

- Brown, M., de la Pena, V.H., Kushnir, Y., Ravindarath, A. and Sit, T. (2011), “On a new approach for estimating threshold crossing times with an application to global warming,”
*Proceeding of the New York Workshop on Computer, Earth, and Space Sciences 2011*, Goddard Institute for Space Studies (GISS), National Aeronautics and Space Administration (NASA). - Lam, H.S., Sit, T., Chau, C.L., Cheung, H.M., Wong, P.S. and Ng, P.C. (2016), “Attitudes of Parents and Health Care Workers to Major Surgery for High-Risk Preterm Infants,”
*The Journal of Paediatrics*, 177, 78–83.e3. - Leung, K.T., Lam, H.S., Chan, K.Y.Y., Sit, T., Wong, R.P.O., Yu, J.W.S., Li, K. and Ng, P.C. (2016), “Regulation of Circulating Hematopoietic Stem/Progenitor Cells in Preterm Infants with Septicemia,”
*Stem Cells and Development*, 25, 1780–7. - Ng, P.C., Chan, K.Y.Y., Ma, T.P.Y., Sit, T., Lam, H.S., Leung, K.T., Wong, R.P.O., Chan, C.N.L., Pang, L.I.Y. Cheung, H.M., Chu, W.C.W. and Li, K. (2019), “Plasma miR-1290 is a Novel and Specific Biomarker for Early Diagnosis of Necrotizing Enterocolitis in Preterm Infants – Biomarker Discovery and a Prospective Cohort Evaluation,”
*The Journal of Paediatrics*, 205, 83–90.e10. - Leung, K.T., Ng, P.C., Li, K., Chan, K.Y.Y., Leung, A.W.K., Ng, M.H.L., Zhang, X.-B., Tsang, K.S., Sit, T., Yu, J.W.S., Wong, Y.T.S., Cheng, F.W.T, Leung, T.F. and Li, C.K. (2020), “CD9 Blockade Suppresses Disease Progression of High-risk Pediatric B-cell Precursor Acute Lymphoblastic Leukemia and Enhances Chemosensitivity,”
*Leukemia*, 34, 709-20. - Zhang, J., Cheuk, K.-Y., Xu, L., Wang, Y., Feng, Sit, T., Cheung, K.-L., Nepotchatykh, E., Lam, T.-P., Liu, Z., Hung, A.L.H., Zhu, Z., Moreau, A., Cheng, J.C.Y., Qiu, Y. and Lee, W.Y.W. (2020) “A Validated Composite Model to Predict Risk of Curve Progression in Adolescent Idiopathic Scoliosis,”
*EClinicalMedicine*18:100236. - Ng, P.C., Chan, K.Y.Y., Lam, H.S., Wong, R.P.O., Ma, T.P.Y., Sit, T., Leung, K.T., Chan, L.C.N., Pang, Y.L.I., Cheung, H.M., Chiu, W.W.C. and Li, K. (2020) “A Prospective Cohort Study of Fecal miR-223 and miR-451a as Non-invasive Specific Biomarkers for Diagnosis of Necrotizing Enterocolitis in Preterm Infants,”
*Neonatology*, 117, 555-561.

### Graduate Students

- Junyao Chen (co-supervised with Prof. Hoi Ying Wong), M.Phil. in Risk Management Science, CUHK.
- George Chi Wing Chu, M.Phil. in Risk Management Science, CUHK. Pursuing Ph.D. in Statistics at Columbia University.
- Yue Xing (co-supervised with Prof. Hoi Ying Wong), M.Phil. in Risk Management Science, CUHK. Pursuing Ph.D. in Statistics at Purdue University.
- Arthur Sze Ming Lee, M.Phil. in Risk Management Science, CUHK.
- Yuxin Li (co-supervised with Prof. Ngai Hang Chan), Ph.D. in Statistics, CUHK.
- Tim Man Yiu Tsang (co-supervised with Prof. Hoi Ying Wong), M.Phil. in Risk Management Science, CUHK. Pursuing Ph.D. in Industrial and Systems Engineering at Lehigh University.
- Andrian Dzi Hin Wong (co-supervised with Dr Philip Pak Kuen Lee), M.Phil. in Risk Management Science, CUHK.
- Zexi Cai, M.Phil. in Risk Management Science, CUHK. Ongoing.
- Sihan Chen, M.Phil. in Risk Management Science, CUHK. Ongoing.

### Teaching

RMSC2001 – Introduction to Risk Management

RMSC6005 – Special Topics in Quantitative Finance

STAT5010 – Theory of Statistics