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Peng, Liang

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Author ID: peng.liang Recent zbMATH articles by "Peng, Liang"
Published as: Peng, L.; Peng, Liang
Documents Indexed: 150 Publications since 1995, including 1 Book
all top 5

Co-Authors

12 single-authored
23 Qi, Yongcheng
14 Li, Deyuan
11 Chan, Ngai Hang
11 de Haan, Laurens
9 Wang, Ruodu
8 Yang, Jingping
7 Yao, Qiwei
5 Cheng, Ming-Yen
5 Gong, Yun
5 Hall, Peter Gavin
5 Hou, Yanxi
5 Wang, Xing
5 Zhang, Rongmao
4 Cheng, Shihong
4 Klüppelberg, Claudia
4 Li, Zhouping
3 Cai, Zongwu
3 Chen, Song Xi
3 Feng, Huijun
3 Geluk, Jaap L.
3 Leng, Xuan
3 Zhu, Fukang
2 Asimit, Alexandru V.
2 Chen, Jian
2 de Vries, Casper George
2 Haug, Stephan
2 Hill, Jonathan M. D.
2 Iglèsias Pereira, Helena
2 Kuhn, Gabriel
2 Li, Minqiang
2 Ling, Chen
2 Ling, Shiqing
2 Liu, Aiai
2 Liu, Qing
2 Liu, Qing
2 Liu, Xiaohui
2 Tajvidi, Nader
2 Wang, Fang
2 Yang, Bingduo
2 Yu, Cindy Long
2 Zhang, Dabao
2 Zheng, Yanting
1 Asimit, Vali
1 Chen, Lu-Hung
1 Chen, Xiaohong
1 Claeskens, Gerda
1 Danielsson, Jon
1 Deng, Shijie
1 Draisma, Gerrit
1 Du, Yang
1 Fan, Jianqing
1 Fan, Yanqin
1 Ferreira, Ana Sousa
1 Gerrard, Russell
1 Leal de Carvalho Gomes, Maria Ivette
1 Gong, Jinguo
1 Hashorva, Enkelejd
1 He, Yi
1 Hou, Zengguang
1 Idowu, Timothy
1 Jiang, Fulin
1 Jing, Bingyi
1 Kang, Seul Ki
1 Kong, Jin Au
1 Koning, Alex J.
1 Lee, Thomas C. M.
1 Li, Juan
1 Li, Yadong
1 Liang, Hanying
1 Liao, Xin
1 Lin, Feng
1 Long, Wei
1 Lu, Jye-Chyi
1 Luo, Lincong
1 Mei, Hongxiang
1 Neves, Cláudia
1 Peng, Zuoxiang
1 Pereira, T. Themido
1 Qian, Linyi
1 Qin, Yingli
1 Rau, Christian
1 Shen, Haipeng
1 Sun, Shan
1 Van Keilegom, Ingrid
1 Wang, Weiqun
1 Wang, Zhuoyuan
1 Wells, Martin T.
1 Welsh, Alan H.
1 Weng, Zhichao
1 Wu, Jyh-Shyang
1 Xia, Zhendong
1 Xiao, Hongmin
1 Xie, Bingjie
1 Xie, Jiehua
1 Xu, Meiping
1 Xu, Xinping
1 Yan, Wenzhe
1 Yang, Cai
1 Yu, Alex
1 Zhang, Wenyang
...and 5 more Co-Authors
all top 5

Serials

15 Journal of Statistical Planning and Inference
13 Statistics & Probability Letters
11 Journal of Multivariate Analysis
8 Insurance Mathematics & Economics
7 Statistica Sinica
6 The Annals of Statistics
6 Extremes
5 Journal of Time Series Analysis
5 Test
4 The Canadian Journal of Statistics
4 Biometrika
4 Probability and Mathematical Statistics
4 Bernoulli
4 Econometric Theory
3 Journal of the American Statistical Association
3 Journal of Econometrics
3 Australian & New Zealand Journal of Statistics
3 North American Actuarial Journal
2 Scandinavian Journal of Statistics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Scandinavian Actuarial Journal
2 ASTIN Bulletin
2 Journal of the Korean Statistical Society
2 Science China. Mathematics
1 Advances in Applied Probability
1 Annals of the Institute of Statistical Mathematics
1 Journal of the London Mathematical Society. Second Series
1 Mathematische Nachrichten
1 Statistica Neerlandica
1 Acta Automatica Sinica
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistics
1 Statistical Science
1 Acta Scientiarum Naturalium Universitatis Pekinensis
1 Systems Science and Mathematical Sciences
1 Communications in Statistics. Theory and Methods
1 Journal of the Australian Mathematical Society. Series A
1 Computational Statistics and Data Analysis
1 Finance and Stochastics
1 Mathematical Finance
1 Analysis (München)
1 IEEE Transactions on Antennas and Propagation
1 Computational & Mathematical Methods in Medicine
1 The Annals of Applied Statistics
1 Sankhyā. Series A
1 European Actuarial Journal

Publications by Year

Citations contained in zbMATH Open

122 Publications have been cited 1,335 times in 905 Documents Cited by Year
Using a bootstrap method to choose the sample fraction in tail index estimation. Zbl 0976.62044
Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G.
93
2001
Comparison of tail index estimators. Zbl 0937.62050
de Haan, L.; Peng, L.
90
1998
Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439
Peng, Liang; Yao, Qiwei
58
2003
A bootstrap-based method to achieve optimality in estimating the extreme-value index. Zbl 0972.62014
Draisma, G.; de Haan, L.; Peng, L.; Pereira, T. T.
47
1999
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
45
2013
Effects of data dimension on empirical likelihood. Zbl 1170.62023
Chen, Song Xi; Peng, Liang; Qin, Ying-Li
41
2009
Almost sure convergence in extreme value theory. Zbl 0932.60028
Cheng, Shihong; Peng, Liang; Qi, Yongcheng
41
1998
Estimation of the coefficient of tail dependence in bivariate extremes. Zbl 0958.62049
Peng, L.
34
1999
Asymptotically unbiased estimators for the extreme-value index. Zbl 1246.62129
Peng, Liang
31
1998
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
29
2003
On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052
Ferreira, A.; de Haan, L.; Peng, L.
27
2003
Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038
Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang
27
2003
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
2008
Confidence intervals for the tail index. Zbl 0985.62039
Cheng, Shihong; Peng, Liang
23
2001
Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140
Zhang, Dabao; Wells, Martin T.; Peng, Liang
21
2008
Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053
Gong, Yun; Peng, Liang; Qi, Yongcheng
20
2010
Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037
Chen, Jian; Peng, Liang; Zhao, Yichuan
19
2009
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
18
2007
Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038
Peng, Liang
18
2004
Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078
Peng, Liang; Qi, Yongcheng
16
2004
Robust estimation of the generalized Pareto distribution. Zbl 1008.62024
Peng, Liang; Welsh, A. H.
16
2001
Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041
Wang, Ruodu; Peng, Liang; Qi, Yongcheng
15
2013
Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068
Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang
15
2009
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. Zbl 1360.62500
Chan, Ngai Hang; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong
15
2007
Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125
Peng, Liang; Qi, Yongcheng
15
2006
Estimating the mean of a heavy tailed distribution. Zbl 0981.62041
Peng, Liang
15
2001
Estimation of a support curve via order statistics. Zbl 0979.62035
Gijbels, I.; Peng, L.
15
2000
On prediction intervals based on predictive likelihood or bootstrap methods. Zbl 0942.62027
Hall, Peter; Peng, Liang; Tajvidi, Nader
15
1999
Parametric tail copula estimation and model testing. Zbl 1141.62011
de Haan, Laurens; Neves, Cláudia; Peng, Liang
14
2008
Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111
Chan, Ngai Hang; Peng, Liang
14
2005
Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097
Peng, Liang; Zhou, Xiao-Hua
14
2004
Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032
Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang
13
2009
A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053
Peng, Liang; Qi, Yongcheng
13
2006
Likelihood based confidence intervals for the tail index. Zbl 1036.62041
Lu, Jye-Chyi; Peng, Liang
13
2003
Prediction and nonparametric estimation for time series with heavy tails. Zbl 1022.62078
Hall, Peter; Peng, Liang; Yao, Qiwei
12
2002
Regression modeling for nonparametric estimation of distribution and quantile functions. Zbl 1004.62039
Cheng, Ming-Yen; Peng, Liang
12
2002
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Toward a unified interval estimation of autoregressions. Zbl 1239.62104
Chan, Ngai Hang; Li, Deyuan; Peng, Liang
10
2012
Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031
Li, Deyuan; Peng, Liang
10
2009
Bootstrap approximation of tail dependence function. Zbl 1284.62301
Peng, Liang; Qi, Yongcheng
10
2008
Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047
Peng, Liang; Yao, Qiwei
10
2004
Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series. Zbl 0979.60010
Geluk, Jaap L.; Peng, Liang; de Vries, Casper G.
10
2000
Reduce computation in profile empirical likelihood method. Zbl 1271.62072
Li, Minqiang; Peng, Liang; Qi, Yongcheng
9
2011
Reducing variance in univariate smoothing. Zbl 1117.62038
Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang
9
2007
Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097
Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng
9
2006
Moving-maximum models for extrema of time series. Zbl 0989.62047
Hall, Peter; Peng, Liang; Yao, Qiwei
9
2002
Local likelihood tracking of fault lines and boundaries. Zbl 1040.62043
Hall, Peter; Peng, Liang; Rau, Christian
9
2001
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
8
2015
Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151
Zhang, Rongmao; Peng, Liang; Wang, Ruodu
8
2013
Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023
Peng, Liang; Qi, Yongcheng
8
2003
Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098
Leng, Xuan; Peng, Liang
7
2016
Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101
Wang, Xing; Peng, Liang
7
2016
Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225
Peng, Liang
7
2012
Empirical likelihood methods for the Gini index. Zbl 1241.91101
Peng, Liang
7
2011
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao
7
2011
Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091
Peng, Liang; Qi, Yongcheng
7
2010
Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033
Koning, Alex J.; Peng, Liang
7
2008
Rates of convergence for bivariate extremes. Zbl 0880.62015
de Haan, L.; Peng, L.
7
1997
Jackknife empirical likelihood method for copulas. Zbl 1259.62026
Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid
6
2012
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055
Gong, Yun; Li, Zhouping; Peng, Liang
6
2010
Bias reduction for high quantiles. Zbl 1188.62166
Li, Deyuan; Peng, Liang; Yang, Jingping
6
2010
A practical way for estimating tail dependence functions. Zbl 1186.62064
Peng, Liang
6
2010
Exact rates of convergence to a stable law. Zbl 0947.60025
de Haan, L.; Peng, L.
6
1999
Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang
5
2016
Predictive regressions for macroeconomic data. Zbl 1454.62494
Zhu, Fukang; Cai, Zongwu; Peng, Liang
5
2014
Bias reduction for endpoint estimation. Zbl 1329.62231
Li, Deyuan; Peng, Liang; Xu, Xinping
5
2011
Approximating conditional density functions using dimension reduction. Zbl 1176.62030
Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang
5
2009
Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038
Peng, Liang; Qi, Yongcheng
5
2009
Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013
Li, Deyuan; Peng, Liang
5
2009
Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032
Peng, Liang; Qi, Yongcheng
5
2007
Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308
Ling, Shiqing; Peng, Liang
5
2004
Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323
Peng, Liang; Qi, Yongcheng
5
2003
Slow convergence to normality: An Edgeworth expansion without third moment. Zbl 0902.60021
de Haan, L.; Peng, L.
5
1997
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang
4
2018
Dynamic bivariate normal copula. Zbl 1341.62158
Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing
4
2016
Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187
Hill, Jonathan; Peng, Liang
4
2014
Empirical likelihood test for high dimensional linear models. Zbl 1288.62071
Peng, Liang; Qi, Yongcheng; Wang, Ruodu
4
2014
Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao
4
2013
Parameter estimation and model testing for Markov processes via conditional characteristic functions. Zbl 1259.62069
Chen, Song X.; Peng, Liang; Yu, Cindy L.
4
2013
Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205
Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping
4
2012
Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078
Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao
4
2012
Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032
Feng, Huijun; Peng, Liang
4
2012
Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346
Li, Deyuan; Peng, Liang; Qi, Yongcheng
4
2011
Pitfalls in using Weibull tailed distributions. Zbl 1184.62073
Asimit, Alexandru V.; Li, Deyuan; Peng, Liang
4
2010
Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094
Li, Deyuan; Peng, Liang
4
2010
An adaptive optimal estimate of the tail index for MA(1) time series. Zbl 0942.62060
Geluk, J. L.; Peng, Liang
4
2000
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 07140544
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
3
2019
A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang
3
2019
Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256
Liu, Qing; Peng, Liang; Wang, Xing
3
2017
Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126
Peng, Liang
3
2014
On nonparametric local inference for density estimation. Zbl 05689606
Chan, Ngai-Hang; Lee, Thomas C. M.; Peng, Liang
3
2010
Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074
Liang, Han-Ying; Peng, Liang
3
2010
Empirical likelihood methods based on characteristic functions with applications to Lévy processes. Zbl 1205.62119
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L.
3
2009
Variance reduction in multiparameter likelihood models. Zbl 1284.62416
Cheng, Ming-Yen; Peng, Liang
3
2007
Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005
Peng, Liang; Qi, Yongcheng
2
2017
Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232
Hill, Jonathan; Li, Deyuan; Peng, Liang
2
2016
CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402
Wang, Ruodu; Peng, Liang; Yang, Jingping
2
2015
Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108
Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao
2
2015
Inference for a special bilinear time-series model. Zbl 1311.62149
Ling, Shiqing; Peng, Liang; Zhu, Fukang
2
2015
Interval estimation for a simple bilinear model. Zbl 1282.62074
Feng, Huijun; Peng, Liang; Zhu, Fukang
2
2013
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 07140544
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
3
2019
A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang
3
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
1
2019
Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang
1
2019
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang
4
2018
Stochastic distortion and its transformed copula. Zbl 1401.91548
Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping
1
2018
Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256
Liu, Qing; Peng, Liang; Wang, Xing
3
2017
Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005
Peng, Liang; Qi, Yongcheng
2
2017
Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214
Leng, Xuan; Peng, Liang
1
2017
Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098
Leng, Xuan; Peng, Liang
7
2016
Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101
Wang, Xing; Peng, Liang
7
2016
Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang
5
2016
Dynamic bivariate normal copula. Zbl 1341.62158
Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing
4
2016
Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232
Hill, Jonathan; Li, Deyuan; Peng, Liang
2
2016
Max-autoregressive and moving maxima models for extremes. Zbl 1365.62185
Zhang, Zhengiun; Peng, Liang; Idowu, Timothy
1
2016
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
8
2015
CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402
Wang, Ruodu; Peng, Liang; Yang, Jingping
2
2015
Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108
Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao
2
2015
Inference for a special bilinear time-series model. Zbl 1311.62149
Ling, Shiqing; Peng, Liang; Zhu, Fukang
2
2015
Estimation of extreme quantiles for functions of dependent random variables. Zbl 1414.62160
Gong, Jinguo; Li, Yadong; Peng, Liang; Yao, Qiwei
1
2015
Interval estimation for a measure of tail dependence. Zbl 1348.62183
Liu, Aiai; Hou, Yanxi; Peng, Liang
1
2015
Predictive regressions for macroeconomic data. Zbl 1454.62494
Zhu, Fukang; Cai, Zongwu; Peng, Liang
5
2014
Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187
Hill, Jonathan; Peng, Liang
4
2014
Empirical likelihood test for high dimensional linear models. Zbl 1288.62071
Peng, Liang; Qi, Yongcheng; Wang, Ruodu
4
2014
Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126
Peng, Liang
3
2014
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
45
2013
Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041
Wang, Ruodu; Peng, Liang; Qi, Yongcheng
15
2013
Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151
Zhang, Rongmao; Peng, Liang; Wang, Ruodu
8
2013
Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao
4
2013
Parameter estimation and model testing for Markov processes via conditional characteristic functions. Zbl 1259.62069
Chen, Song X.; Peng, Liang; Yu, Cindy L.
4
2013
Interval estimation for a simple bilinear model. Zbl 1282.62074
Feng, Huijun; Peng, Liang; Zhu, Fukang
2
2013
Jackknife empirical likelihood for parametric copulas. Zbl 1281.62137
Wang, Ruodu; Peng, Liang; Yang, Jingping
2
2013
Weighted estimation of the dependence function for an extreme-value distribution. Zbl 1456.62055
Peng, Liang; Qian, Linyi; Yang, Jingping
2
2013
Bifurcation of limit cycles from a quadratic reversible center with the unbounded elliptic separatrix. Zbl 1417.34077
Peng, L.; Lei, Y.
1
2013
Toward a unified interval estimation of autoregressions. Zbl 1239.62104
Chan, Ngai Hang; Li, Deyuan; Peng, Liang
10
2012
Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225
Peng, Liang
7
2012
Jackknife empirical likelihood method for copulas. Zbl 1259.62026
Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid
6
2012
Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205
Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping
4
2012
Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078
Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao
4
2012
Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032
Feng, Huijun; Peng, Liang
4
2012
Bootstrapping endpoint. Zbl 1281.62125
Li, Zhouping; Peng, Liang
2
2012
Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053
Zhang, Rongmao; Peng, Liang; Qi, Yongcheng
2
2012
Jackknife empirical likelihood tests for error distributions in regression models. Zbl 1273.62039
Feng, Huijun; Peng, Liang
1
2012
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Reduce computation in profile empirical likelihood method. Zbl 1271.62072
Li, Minqiang; Peng, Liang; Qi, Yongcheng
9
2011
Empirical likelihood methods for the Gini index. Zbl 1241.91101
Peng, Liang
7
2011
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao
7
2011
Bias reduction for endpoint estimation. Zbl 1329.62231
Li, Deyuan; Peng, Liang; Xu, Xinping
5
2011
Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346
Li, Deyuan; Peng, Liang; Qi, Yongcheng
4
2011
Jackknife empirical likelihood intervals for Spearman’s rho. Zbl 1291.62117
Wang, Ruodu; Peng, Liang
2
2011
Empirical likelihood test via estimating equations. Zbl 1214.62050
Li, Minqiang; Peng, Liang
2
2011
Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models. Zbl 1246.91063
Li, Zhouping; Gong, Yun; Peng, Liang
1
2011
Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053
Gong, Yun; Peng, Liang; Qi, Yongcheng
20
2010
Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091
Peng, Liang; Qi, Yongcheng
7
2010
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055
Gong, Yun; Li, Zhouping; Peng, Liang
6
2010
Bias reduction for high quantiles. Zbl 1188.62166
Li, Deyuan; Peng, Liang; Yang, Jingping
6
2010
A practical way for estimating tail dependence functions. Zbl 1186.62064
Peng, Liang
6
2010
Pitfalls in using Weibull tailed distributions. Zbl 1184.62073
Asimit, Alexandru V.; Li, Deyuan; Peng, Liang
4
2010
Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094
Li, Deyuan; Peng, Liang
4
2010
On nonparametric local inference for density estimation. Zbl 05689606
Chan, Ngai-Hang; Lee, Thomas C. M.; Peng, Liang
3
2010
Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074
Liang, Han-Ying; Peng, Liang
3
2010
Empirical likelihood method for intermediate quantiles. Zbl 1187.62091
Li, Zhouping; Gong, Yun; Peng, Liang
1
2010
Effects of data dimension on empirical likelihood. Zbl 1170.62023
Chen, Song Xi; Peng, Liang; Qin, Ying-Li
41
2009
Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037
Chen, Jian; Peng, Liang; Zhao, Yichuan
19
2009
Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068
Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang
15
2009
Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032
Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang
13
2009
Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031
Li, Deyuan; Peng, Liang
10
2009
Approximating conditional density functions using dimension reduction. Zbl 1176.62030
Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang
5
2009
Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038
Peng, Liang; Qi, Yongcheng
5
2009
Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013
Li, Deyuan; Peng, Liang
5
2009
Empirical likelihood methods based on characteristic functions with applications to Lévy processes. Zbl 1205.62119
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L.
3
2009
Jackknife method for intermediate quantiles. Zbl 1160.62042
Peng, Liang; Yang, Jingping
2
2009
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
2008
Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140
Zhang, Dabao; Wells, Martin T.; Peng, Liang
21
2008
Parametric tail copula estimation and model testing. Zbl 1141.62011
de Haan, Laurens; Neves, Cláudia; Peng, Liang
14
2008
Bootstrap approximation of tail dependence function. Zbl 1284.62301
Peng, Liang; Qi, Yongcheng
10
2008
Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033
Koning, Alex J.; Peng, Liang
7
2008
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
18
2007
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. Zbl 1360.62500
Chan, Ngai Hang; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong
15
2007
Reducing variance in univariate smoothing. Zbl 1117.62038
Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang
9
2007
Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032
Peng, Liang; Qi, Yongcheng
5
2007
Variance reduction in multiparameter likelihood models. Zbl 1284.62416
Cheng, Ming-Yen; Peng, Liang
3
2007
Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125
Peng, Liang; Qi, Yongcheng
15
2006
A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053
Peng, Liang; Qi, Yongcheng
13
2006
Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097
Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng
9
2006
Simple and efficient improvements of multivariate local linear regression. Zbl 1093.62044
Cheng, Ming-Yen; Peng, Liang
2
2006
Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111
Chan, Ngai Hang; Peng, Liang
14
2005
Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038
Peng, Liang
18
2004
Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078
Peng, Liang; Qi, Yongcheng
16
2004
Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097
Peng, Liang; Zhou, Xiao-Hua
14
2004
Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047
Peng, Liang; Yao, Qiwei
10
2004
Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308
Ling, Shiqing; Peng, Liang
5
2004
Bias-corrected estimators for monotone and concave frontier functions. Zbl 1157.62381
Peng, Liang
1
2004
Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439
Peng, Liang; Yao, Qiwei
58
2003
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
29
2003
On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052
Ferreira, A.; de Haan, L.; Peng, L.
27
2003
Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038
Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang
27
2003
Likelihood based confidence intervals for the tail index. Zbl 1036.62041
Lu, Jye-Chyi; Peng, Liang
13
2003
Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023
Peng, Liang; Qi, Yongcheng
8
2003
Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323
Peng, Liang; Qi, Yongcheng
5
2003
...and 22 more Documents
all top 5

Cited by 1,158 Authors

71 Peng, Liang
42 Leal de Carvalho Gomes, Maria Ivette
29 Zhao, Yichuan
26 Wang, Ruodu
22 Guillou, Armelle
19 Peng, Zuoxiang
17 Qi, Yongcheng
16 Li, Deyuan
15 Caeiro, Frederico
15 de Haan, Laurens
15 Hashorva, Enkelejd
15 Segers, Johan
14 Goegebeur, Yuri
13 Girard, Stéphane
12 Necir, Abdelhakim
11 Beirlant, Jan
11 Zhang, Zhengjun
10 Nadarajah, Saralees
10 Resnick, Sidney Ira
9 Chan, Ngai Hang
9 Henriques-Rodrigues, Lígia
9 Hill, Jonathan B.
9 Meraghni, Djamel
9 Pestana, Dinis Duarte
9 Vidoni, Paolo
9 Yang, Hanfang
9 Zhang, Rongmao
8 Drees, Holger
8 Fraga Alves, M. Isabel
8 Li, Zhouping
8 Vaičiulis, Marijus
8 Wang, Bin
7 Einmahl, John H. J.
7 Falk, Michael
7 Gardes, Laurent
7 Hall, Peter Gavin
7 Lee, Sangyeol
7 Ling, Shiqing
7 Linton, Oliver Bruce
7 Neves, Cláudia
7 Puccetti, Giovanni
7 Tan, Zhongquan
7 Van Keilegom, Ingrid
7 Yang, Jingping
6 Cheng, Ming-Yen
6 de Wet, Tertius
6 Ling, Chengxiu
6 Paulauskas, Vygantas Ionovič
6 Zhou, Yong
6 Zitikis, Ričardas
5 Beran, Jan
5 Berkes, István
5 Brahimi, Brahim
5 Bücher, Axel
5 Cai, Zongwu
5 Daouia, Abdelaati
5 Figueiredo, Fernanda Otilia
5 Giummolè, Federica
5 Gong, Yun
5 Hou, Yanxi
5 Hüsler, Jürg
5 Li, Haijun
5 Mao, Tiantian
5 Schick, Anton
5 Tang, Chengyong
5 Vanduffel, Steven
5 Wang, Dongliang
5 Wang, Xing
5 Yao, Qiwei
4 Albrecher, Hansjörg
4 Chang, Jinyuan
4 Clémençon, Stéphan
4 Fátima Brilhante, M.
4 Ferreira, Ana Sousa
4 Ferreira, Helena
4 Ferreira, Marta
4 Giuliano, Rita
4 Honda, Toshio
4 Horváth, Lajos
4 Joe, Harry
4 Krajina, Andrea
4 Lin, Zhengyan
4 Macci, Claudio
4 Martins, M. João
4 Mercadier, Cécile
4 Min, Aleksey
4 Nešlehová, Johanna G.
4 Padoan, Simone A.
4 Rassoul, Abdelaziz
4 Rüschendorf, Ludger
4 Stadtmüller, Ulrich
4 Tawn, Jonathan A.
4 Vandewalle, Björn
4 Wu, Tongtong
4 Wu, Yichao
4 Xu, Keli
4 Zhou, Wang
3 Asimit, Alexandru V.
3 Bernard, Carole
3 Bertail, Patrice
...and 1,058 more Authors
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Cited in 135 Serials

60 Journal of Statistical Planning and Inference
59 Extremes
58 Statistics & Probability Letters
53 Journal of Multivariate Analysis
45 Insurance Mathematics & Economics
37 Journal of Econometrics
35 The Annals of Statistics
29 Computational Statistics and Data Analysis
27 Annals of the Institute of Statistical Mathematics
27 Communications in Statistics. Theory and Methods
22 Econometric Theory
20 Test
17 Electronic Journal of Statistics
16 Scandinavian Journal of Statistics
16 Journal of Time Series Analysis
16 Bernoulli
13 Journal of Nonparametric Statistics
12 Journal of Statistical Computation and Simulation
12 The Annals of Applied Statistics
11 Statistics
11 Journal of the Korean Statistical Society
10 Lithuanian Mathematical Journal
9 The Canadian Journal of Statistics
9 Journal of Applied Probability
9 Stochastic Processes and their Applications
9 Methodology and Computing in Applied Probability
7 Acta Mathematicae Applicatae Sinica. English Series
7 Communications in Statistics. Simulation and Computation
7 Scandinavian Actuarial Journal
7 Journal of Statistical Theory and Practice
6 Australian & New Zealand Journal of Statistics
6 Journal of the Royal Statistical Society. Series B. Statistical Methodology
6 ASTIN Bulletin
5 Metrika
5 Computational Statistics
5 European Journal of Operational Research
5 Statistical Papers
5 Finance and Stochastics
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Journal of Inequalities and Applications
5 North American Actuarial Journal
5 Journal of Probability and Statistics
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4 Journal of the American Statistical Association
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4 Advances in Difference Equations
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3 Advances in Applied Probability
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3 Acta Mathematica Sinica. English Series
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2 Mathematical Methods of Statistics
2 Lifetime Data Analysis
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2 Communications in Nonlinear Science and Numerical Simulation
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2 AStA. Advances in Statistical Analysis
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2 Sankhyā. Series A
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1 Rocky Mountain Journal of Mathematics
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1 Biometrics
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1 Mathematics and Computers in Simulation
1 Mathematische Nachrichten
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1 Chinese Annals of Mathematics. Series B
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