Edit Profile (opens in new tab) Peng, Liang Compute Distance To: Compute Author ID: peng.liang Published as: Peng, Liang; Peng, L. Documents Indexed: 161 Publications since 1995, including 1 Book Co-Authors: 107 Co-Authors with 139 Joint Publications 3,595 Co-Co-Authors all top 5 Co-Authors 14 single-authored 23 Qi, Yongcheng 15 Li, Deyuan 11 Chan, Ngai Hang 11 de Haan, Laurens 9 Wang, Ruodu 9 Zhang, Rongmao 8 Yang, Jingping 7 Yao, Qiwei 6 Hou, Yanxi 5 Cheng, Ming-Yen 5 Gong, Yun 5 Hall, Peter Gavin 5 Liu, Qing 5 Wang, Xing 4 Cheng, Shihong 4 Klüppelberg, Claudia 4 Li, Zhouping 3 Cai, Zongwu 3 Chen, Songxi 3 Feng, Huijun 3 Geluk, Jaap L. 3 Kang, Seul Ki 3 Leng, Xuan 3 Ling, Chen 3 Zhu, Fukang 2 Asimit, Alexandru V. 2 Chen, Jian 2 de Vries, Casper George 2 Haug, Stephan 2 Iglèsias Pereira, Helena 2 Kuhn, Gabriel 2 Li, Minqiang 2 Ling, Shiqing 2 Liu, Aiai 2 Liu, Xiaohui 2 Tajvidi, Nader 2 Wang, Fang 2 Yang, Bingduo 2 Yu, Cindy Long 2 Zhang, Dabao 2 Zheng, Yanting 2 Zhou, Mo 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 Gerrard, Russell 1 Gijbels, Irène 1 Golub, Andrew 1 Leal de Carvalho Gomes, Maria Ivette 1 Gong, Jinguo 1 Hashorva, Enkelejd 1 He, Yi 1 Hou, Zengguang 1 Houdré, Christian 1 Hydon, Peter Ellsworth 1 Idowu, Timothy 1 Jiang, Fulin 1 Jing, Bingyi 1 Kong, Jin Au 1 Koning, Alex J. 1 Lee, Thomas C. M. 1 Li, Chenxue 1 Li, Yadong 1 Liang, Hanying 1 Liao, Guili 1 Liao, Xin 1 Lin, Feng 1 Lo, Chia Chun 1 Long, Wei 1 Lu, Jye-Chyi 1 Luo, Lincong 1 Ma, Hong 1 Ma, Yaolan 1 Mansfield, Elizabeth Louise 1 Mei, Hongxiang 1 Neves, Cláudia 1 Peng, Zuoxiang 1 Qian, Linyi 1 Qin, Yingli 1 Rau, Christian 1 Rojo-Echeburúa, A. 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 ...and 12 more Co-Authors all top 5 Serials 15 Journal of Statistical Planning and Inference 14 Statistics & Probability Letters 11 Journal of Multivariate Analysis 9 Insurance Mathematics & Economics 8 Extremes 7 Statistica Sinica 6 The Annals of Statistics 6 Journal of Time Series Analysis 5 Test 5 Econometric Theory 4 The Canadian Journal of Statistics 4 Biometrika 4 Probability and Mathematical Statistics 4 Bernoulli 4 North American Actuarial Journal 3 Journal of the American Statistical Association 3 Journal of Econometrics 3 Australian & New Zealand Journal of Statistics 3 Scandinavian Actuarial Journal 3 Science China. Mathematics 2 Scandinavian Journal of Statistics 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 ASTIN Bulletin 2 Journal of the Korean Statistical Society 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 Bulletin of the Iranian Mathematical Society 1 Acta Mathematicae Applicatae Sinica. English Series 1 Statistics 1 Statistical Science 1 Acta Scientiarum Naturalium Universitatis Pekinensis 1 Econometric Reviews 1 Systems Science and Mathematical Sciences 1 IEEE Transactions on Signal Processing 1 Communications in Statistics. Theory and Methods 1 Journal of the Australian Mathematical Society. Series A 1 Computational Statistics and Data Analysis 1 Fractals 1 Finance and Stochastics 1 Mathematical Finance 1 Analysis (München) 1 Methodology and Computing in Applied Probability 1 IEEE Transactions on Antennas and Propagation 1 Iranian Journal of Fuzzy Systems 1 Computational & Mathematical Methods in Medicine 1 The Annals of Applied Statistics 1 Sankhyā. Series A 1 European Actuarial Journal 1 IEEE Transactions on Circuits and Systems I: Regular Papers 1 Transactions of Mathematics and its Applications all top 5 Fields 136 Statistics (62-XX) 26 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Probability theory and stochastic processes (60-XX) 21 Numerical analysis (65-XX) 2 Real functions (26-XX) 2 Computer science (68-XX) 2 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 130 Publications have been cited 1,477 times in 999 Documents Cited by ▼ Year ▼ Using a bootstrap method to choose the sample fraction in tail index estimation. Zbl 0976.62044Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G. 100 2001 Comparison of tail index estimators. Zbl 0937.62050de Haan, L.; Peng, L. 99 1998 Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439Peng, Liang; Yao, Qiwei 62 2003 A bootstrap-based method to achieve optimality in estimating the extreme-value index. Zbl 0972.62014Draisma, G.; de Haan, L.; Peng, L.; Pereira, T. T. 51 1999 Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038Wang, Ruodu; Peng, Liang; Yang, Jingping 50 2013 Almost sure convergence in extreme value theory. Zbl 0932.60028Cheng, Shihong; Peng, Liang; Qi, Yongcheng 43 1998 Effects of data dimension on empirical likelihood. Zbl 1170.62023Chen, Song Xi; Peng, Liang; Qin, Ying-Li 42 2009 Estimation of the coefficient of tail dependence in bivariate extremes. Zbl 0958.62049Peng, L. 36 1999 Asymptotically unbiased estimators for the extreme-value index. Zbl 1246.62129Peng, Liang 33 1998 Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027Gomes, M. Ivette; de Haan, Laurens; Peng, Liang 32 2003 On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052Ferreira, A.; de Haan, L.; Peng, L. 30 2003 Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang 29 2003 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 28 2008 Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053Gong, Yun; Peng, Liang; Qi, Yongcheng 27 2010 Confidence intervals for the tail index. Zbl 0985.62039Cheng, Shihong; Peng, Liang 24 2001 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140Zhang, Dabao; Wells, Martin T.; Peng, Liang 22 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 22 2007 Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111Chan, Ngai Hang; Peng, Liang 20 2005 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037Chen, Jian; Peng, Liang; Zhao, Yichuan 20 2009 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041Wang, Ruodu; Peng, Liang; Qi, Yongcheng 20 2013 Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038Peng, Liang 19 2004 On prediction intervals based on predictive likelihood or bootstrap methods. Zbl 0942.62027Hall, Peter; Peng, Liang; Tajvidi, Nader 19 1999 Estimating the mean of a heavy tailed distribution. Zbl 0981.62041Peng, Liang 19 2001 Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. Zbl 1360.62500Chan, Ngai Hang; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong 18 2007 Robust estimation of the generalized Pareto distribution. Zbl 1008.62024Peng, Liang; Welsh, A. H. 17 2001 Estimation of a support curve via order statistics. Zbl 0979.62035Gijbels, I.; Peng, L. 16 2000 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125Peng, Liang; Qi, Yongcheng 16 2006 Parametric tail copula estimation and model testing. Zbl 1141.62011de Haan, Laurens; Neves, Cláudia; Peng, Liang 16 2008 Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078Peng, Liang; Qi, Yongcheng 16 2004 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang 16 2009 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang 15 2009 Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097Peng, Liang; Zhou, Xiao-Hua 15 2004 Regression modeling for nonparametric estimation of distribution and quantile functions. Zbl 1004.62039Cheng, Ming-Yen; Peng, Liang 14 2002 Likelihood based confidence intervals for the tail index. Zbl 1036.62041Lu, Jye-Chyi; Peng, Liang 13 2003 Toward a unified interval estimation of autoregressions. Zbl 1239.62104Chan, Ngai Hang; Li, Deyuan; Peng, Liang 13 2012 Bootstrap approximation of tail dependence function. Zbl 1284.62301Peng, Liang; Qi, Yongcheng 13 2008 A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053Peng, Liang; Qi, Yongcheng 13 2006 Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047Peng, Liang; Yao, Qiwei 12 2004 Prediction and nonparametric estimation for time series with heavy tails. Zbl 1022.62078Hall, Peter; Peng, Liang; Yao, Qiwei 12 2002 Statistical models and methods for dependence in insurance data. Zbl 1296.62205Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Empirical likelihood methods for the Gini index. Zbl 1241.91101Peng, Liang 11 2011 Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng 11 2006 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225Peng, Liang 11 2012 Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series. Zbl 0979.60010Geluk, Jaap L.; Peng, Liang; de Vries, Casper G. 11 2000 Local likelihood tracking of fault lines and boundaries. Zbl 1040.62043Hall, Peter; Peng, Liang; Rau, Christian 10 2001 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023Peng, Liang; Qi, Yongcheng 10 2003 Moving-maximum models for extrema of time series. Zbl 0989.62047Hall, Peter; Peng, Liang; Yao, Qiwei 10 2002 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098Leng, Xuan; Peng, Liang 10 2016 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031Li, Deyuan; Peng, Liang 10 2009 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151Zhang, Rongmao; Peng, Liang; Wang, Ruodu 10 2013 Reducing variance in univariate smoothing. Zbl 1117.62038Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 10 2007 Reduce computation in profile empirical likelihood method. Zbl 1271.62072Li, Minqiang; Peng, Liang; Qi, Yongcheng 9 2011 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033Koning, Alex J.; Peng, Liang 9 2008 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091Peng, Liang; Qi, Yongcheng 9 2010 Rates of convergence for bivariate extremes. Zbl 0880.62015de Haan, L.; Peng, L. 8 1997 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 8 2019 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101Wang, Xing; Peng, Liang 8 2016 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 8 2011 Bias reduction for high quantiles. Zbl 1188.62166Li, Deyuan; Peng, Liang; Yang, Jingping 8 2010 Predictive regressions for macroeconomic data. Zbl 1454.62494Zhu, Fukang; Cai, Zongwu; Peng, Liang 7 2014 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187Hill, Jonathan; Peng, Liang 7 2014 Bias reduction for endpoint estimation. Zbl 1329.62231Li, Deyuan; Peng, Liang; Xu, Xinping 7 2011 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 7 2012 Jackknife empirical likelihood method for copulas. Zbl 1259.62026Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 7 2012 A practical way for estimating tail dependence functions. Zbl 1186.62064Peng, Liang 7 2010 Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074Liang, Han-Ying; Peng, Liang 6 2010 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 6 2012 Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308Ling, Shiqing; Peng, Liang 6 2004 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013Li, Deyuan; Peng, Liang 6 2009 Slow convergence to normality: An Edgeworth expansion without third moment. Zbl 0902.60021de Haan, L.; Peng, L. 6 1997 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038Peng, Liang; Qi, Yongcheng 6 2009 Exact rates of convergence to a stable law. Zbl 0947.60025de Haan, L.; Peng, L. 6 1999 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055Gong, Yun; Li, Zhouping; Peng, Liang 6 2010 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005Peng, Liang; Qi, Yongcheng 5 2017 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 5 2013 Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032Peng, Liang; Qi, Yongcheng 5 2007 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346Li, Deyuan; Peng, Liang; Qi, Yongcheng 5 2011 Dynamic bivariate normal copula. Zbl 1341.62158Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 5 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232Hill, Jonathan; Li, Deyuan; Peng, Liang 5 2016 An adaptive optimal estimate of the tail index for MA(1) time series. Zbl 0942.62060Geluk, J. L.; Peng, Liang 5 2000 Approximating conditional density functions using dimension reduction. Zbl 1176.62030Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 5 2009 Empirical likelihood methods based on characteristic functions with applications to Lévy processes. Zbl 1205.62119Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. 5 2009 Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323Peng, Liang; Qi, Yongcheng 5 2003 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256Liu, Qing; Peng, Liang; Wang, Xing 4 2017 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094Li, Deyuan; Peng, Liang 4 2010 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073Asimit, Alexandru V.; Li, Deyuan; Peng, Liang 4 2010 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032Feng, Huijun; Peng, Liang 4 2012 A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang 4 2019 Parameter estimation and model testing for Markov processes via conditional characteristic functions. Zbl 1259.62069Chen, Song X.; Peng, Liang; Yu, Cindy L. 4 2013 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 4 2016 Variance reduction in multiparameter likelihood models. Zbl 1284.62416Cheng, Ming-Yen; Peng, Liang 4 2007 Stochastic distortion and its transformed copula. Zbl 1401.91548Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping 3 2018 On nonparametric local inference for density estimation. Zbl 1464.62040Chan, Ngai-Hang; Lee, Thomas C. M.; Peng, Liang 3 2010 Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126Peng, Liang 3 2014 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402Wang, Ruodu; Peng, Liang; Yang, Jingping 3 2015 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 3 2019 Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053Zhang, Rongmao; Peng, Liang; Qi, Yongcheng 3 2012 Risk analysis with categorical explanatory variables. Zbl 1435.91155Kang, Seul Ki; Peng, Liang; Xiao, Hongmin 3 2020 Two-step risk analysis in insurance ratemaking. Zbl 1471.91464Ki Kang, Seul; Peng, Liang; Golub, Andrew 2 2021 Risk analysis with categorical explanatory variables. Zbl 1435.91155Kang, Seul Ki; Peng, Liang; Xiao, Hongmin 3 2020 Testing the predictability of U.S. housing price index returns based on an IVX-AR model. Zbl 1452.62967Yang, Bingduo; Long, Wei; Peng, Liang; Cai, Zongwu 2 2020 Inference for conditional value-at-risk of a predictive regression. Zbl 1469.62250He, Yi; Hou, Yanxi; Peng, Liang; Shen, Haipeng 1 2020 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 8 2019 A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang 4 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 3 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227Liu, Qing; Ling, Chen; Peng, Liang 2 2019 Asymptotic theory and unified confidence region for an autoregressive model. Zbl 1416.62507Liu, Xiaohui; Peng, Liang 1 2019 Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 1490.62286Zhang, Rongmao; Li, Chenxue; Peng, Liang 1 2019 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Stochastic distortion and its transformed copula. Zbl 1401.91548Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping 3 2018 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005Peng, Liang; Qi, Yongcheng 5 2017 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256Liu, Qing; Peng, Liang; Wang, Xing 4 2017 Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214Leng, Xuan; Peng, Liang 2 2017 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098Leng, Xuan; Peng, Liang 10 2016 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101Wang, Xing; Peng, Liang 8 2016 Dynamic bivariate normal copula. Zbl 1341.62158Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 5 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232Hill, Jonathan; Li, Deyuan; Peng, Liang 5 2016 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 4 2016 Max-autoregressive and moving maxima models for extremes. Zbl 1365.62185Zhang, Zhengiun; Peng, Liang; Idowu, Timothy 1 2016 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402Wang, Ruodu; Peng, Liang; Yang, Jingping 3 2015 Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao 2 2015 Inference for a special bilinear time-series model. Zbl 1311.62149Ling, Shiqing; Peng, Liang; Zhu, Fukang 2 2015 Estimation of extreme quantiles for functions of dependent random variables. Zbl 1414.62160Gong, Jinguo; Li, Yadong; Peng, Liang; Yao, Qiwei 2 2015 Interval estimation for a measure of tail dependence. Zbl 1348.62183Liu, Aiai; Hou, Yanxi; Peng, Liang 1 2015 Predictive regressions for macroeconomic data. Zbl 1454.62494Zhu, Fukang; Cai, Zongwu; Peng, Liang 7 2014 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187Hill, Jonathan; Peng, Liang 7 2014 Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126Peng, Liang 3 2014 Empirical likelihood test for high dimensional linear models. Zbl 1288.62071Peng, Liang; Qi, Yongcheng; Wang, Ruodu 2 2014 Test for a mean vector with fixed or divergent dimension. Zbl 1332.62180Peng, Liang; Qi, Yongcheng; Wang, Fang 1 2014 Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038Wang, Ruodu; Peng, Liang; Yang, Jingping 50 2013 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041Wang, Ruodu; Peng, Liang; Qi, Yongcheng 20 2013 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151Zhang, Rongmao; Peng, Liang; Wang, Ruodu 10 2013 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 5 2013 Parameter estimation and model testing for Markov processes via conditional characteristic functions. Zbl 1259.62069Chen, Song X.; Peng, Liang; Yu, Cindy L. 4 2013 Bifurcation of limit cycles from a quadratic reversible center with the unbounded elliptic separatrix. Zbl 1417.34077Peng, L.; Lei, Y. 2 2013 Interval estimation for a simple bilinear model. Zbl 1282.62074Feng, Huijun; Peng, Liang; Zhu, Fukang 2 2013 Weighted estimation of the dependence function for an extreme-value distribution. Zbl 1456.62055Peng, Liang; Qian, Linyi; Yang, Jingping 2 2013 Jackknife empirical likelihood for parametric copulas. Zbl 1281.62137Wang, Ruodu; Peng, Liang; Yang, Jingping 2 2013 Toward a unified interval estimation of autoregressions. Zbl 1239.62104Chan, Ngai Hang; Li, Deyuan; Peng, Liang 13 2012 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225Peng, Liang 11 2012 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 7 2012 Jackknife empirical likelihood method for copulas. Zbl 1259.62026Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 7 2012 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 6 2012 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032Feng, Huijun; Peng, Liang 4 2012 Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053Zhang, Rongmao; Peng, Liang; Qi, Yongcheng 3 2012 Jackknife empirical likelihood tests for error distributions in regression models. Zbl 1273.62039Feng, Huijun; Peng, Liang 2 2012 Bootstrapping endpoint. Zbl 1281.62125Li, Zhouping; Peng, Liang 2 2012 Statistical models and methods for dependence in insurance data. Zbl 1296.62205Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Empirical likelihood methods for the Gini index. Zbl 1241.91101Peng, Liang 11 2011 Reduce computation in profile empirical likelihood method. Zbl 1271.62072Li, Minqiang; Peng, Liang; Qi, Yongcheng 9 2011 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 8 2011 Bias reduction for endpoint estimation. Zbl 1329.62231Li, Deyuan; Peng, Liang; Xu, Xinping 7 2011 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346Li, Deyuan; Peng, Liang; Qi, Yongcheng 5 2011 Jackknife empirical likelihood intervals for Spearman’s rho. Zbl 1291.62117Wang, Ruodu; Peng, Liang 2 2011 Empirical likelihood test via estimating equations. Zbl 1214.62050Li, Minqiang; Peng, Liang 2 2011 Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models. Zbl 1246.91063Li, Zhouping; Gong, Yun; Peng, Liang 1 2011 Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053Gong, Yun; Peng, Liang; Qi, Yongcheng 27 2010 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091Peng, Liang; Qi, Yongcheng 9 2010 Bias reduction for high quantiles. Zbl 1188.62166Li, Deyuan; Peng, Liang; Yang, Jingping 8 2010 A practical way for estimating tail dependence functions. Zbl 1186.62064Peng, Liang 7 2010 Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074Liang, Han-Ying; Peng, Liang 6 2010 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055Gong, Yun; Li, Zhouping; Peng, Liang 6 2010 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094Li, Deyuan; Peng, Liang 4 2010 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073Asimit, Alexandru V.; Li, Deyuan; Peng, Liang 4 2010 On nonparametric local inference for density estimation. Zbl 1464.62040Chan, Ngai-Hang; Lee, Thomas C. M.; Peng, Liang 3 2010 Empirical likelihood method for intermediate quantiles. Zbl 1187.62091Li, Zhouping; Gong, Yun; Peng, Liang 1 2010 Effects of data dimension on empirical likelihood. Zbl 1170.62023Chen, Song Xi; Peng, Liang; Qin, Ying-Li 42 2009 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037Chen, Jian; Peng, Liang; Zhao, Yichuan 20 2009 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang 16 2009 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang 15 2009 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031Li, Deyuan; Peng, Liang 10 2009 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013Li, Deyuan; Peng, Liang 6 2009 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038Peng, Liang; Qi, Yongcheng 6 2009 Approximating conditional density functions using dimension reduction. Zbl 1176.62030Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 5 2009 Empirical likelihood methods based on characteristic functions with applications to Lévy processes. Zbl 1205.62119Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. 5 2009 Jackknife method for intermediate quantiles. Zbl 1160.62042Peng, Liang; Yang, Jingping 2 2009 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 28 2008 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140Zhang, Dabao; Wells, Martin T.; Peng, Liang 22 2008 Parametric tail copula estimation and model testing. Zbl 1141.62011de Haan, Laurens; Neves, Cláudia; Peng, Liang 16 2008 Bootstrap approximation of tail dependence function. Zbl 1284.62301Peng, Liang; Qi, Yongcheng 13 2008 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033Koning, Alex J.; Peng, Liang 9 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 22 2007 Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. Zbl 1360.62500Chan, Ngai Hang; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong 18 2007 Reducing variance in univariate smoothing. Zbl 1117.62038Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 10 2007 Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032Peng, Liang; Qi, Yongcheng 5 2007 Variance reduction in multiparameter likelihood models. Zbl 1284.62416Cheng, Ming-Yen; Peng, Liang 4 2007 Comparisons between local linear estimator and kernel smooth estimator for a smooth distribution based on MSE under right censoring. Zbl 1109.62029Peng, Liang; Sun, Shan 1 2007 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125Peng, Liang; Qi, Yongcheng 16 2006 A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053Peng, Liang; Qi, Yongcheng 13 2006 Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng 11 2006 Simple and efficient improvements of multivariate local linear regression. Zbl 1093.62044Cheng, Ming-Yen; Peng, Liang 2 2006 Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111Chan, Ngai Hang; Peng, Liang 20 2005 Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038Peng, Liang 19 2004 Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078Peng, Liang; Qi, Yongcheng 16 2004 Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097Peng, Liang; Zhou, Xiao-Hua 15 2004 Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047Peng, Liang; Yao, Qiwei 12 2004 Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308Ling, Shiqing; Peng, Liang 6 2004 ...and 30 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,269 Authors 76 Peng, Liang 46 Leal de Carvalho Gomes, Maria Ivette 32 Zhao, Yichuan 30 Wang, Ruodu 22 Guillou, Armelle 22 Peng, Zuoxiang 18 Caeiro, Frederico 18 Li, Deyuan 16 Qi, Yongcheng 15 Hashorva, Enkelejd 15 Segers, Johan 15 Zhang, Rongmao 14 de Haan, Laurens 12 Beirlant, Jan 12 Girard, Stéphane 12 Goegebeur, Yuri 12 Nadarajah, Saralees 12 Necir, Abdelhakim 12 Pestana, Dinis Duarte 11 Chan, Ngai Hang 10 Henriques-Rodrigues, Lígia 10 Li, Zhouping 10 Vidoni, Paolo 9 Hill, Jonathan B. 9 Meraghni, Djamel 9 Tan, Zhongquan 9 Yang, Hanfang 9 Zhang, Zhengjun 8 Einmahl, John H. J. 8 Fraga Alves, M. Isabel 8 Puccetti, Giovanni 8 Vaičiulis, Marijus 8 Wang, Bin 8 Yang, Jingping 7 Drees, Holger 7 Figueiredo, Fernanda Otilia 7 Hou, Yanxi 7 Lee, Sangyeol 7 Ling, Chengxiu 7 Ling, Shiqing 7 Linton, Oliver Bruce 7 Neves, Cláudia 6 Bücher, Axel 6 Chen, Min 6 Cheng, Ming-Yen 6 de Wet, Tertius 6 Falk, Michael 6 Giummolè, Federica 6 Liu, Qing 6 Mao, Tiantian 6 Paulauskas, Vygantas Ionovič 6 Resnick, Sidney Ira 6 Van Keilegom, Ingrid 6 Zhou, Chen 6 Zhou, Yong 6 Zitikis, Ričardas 5 Beran, Jan 5 Berkes, István 5 Brahimi, Brahim 5 Cai, Zongwu 5 Deme, El Hadji 5 Gardes, Laurent 5 Gong, Yun 5 Guo, Jia 5 Hall, Peter Gavin 5 Hüsler, Jürg 5 Krajina, Andrea 5 Li, Haijun 5 Liu, Xiaohui 5 Padoan, Simone A. 5 Schick, Anton 5 Tang, Chengyong 5 Vanduffel, Steven 5 Wang, Dongliang 5 Wang, Xing 5 Yao, Qiwei 5 Zhang, Jinting 5 Zhou, Bu 4 Albrecher, Hansjörg 4 Chang, Jinyuan 4 Fátima Brilhante, M. 4 Ferreira, Marta 4 Giuliano, Rita 4 Honda, Toshio 4 Horváth, Lajos 4 Joe, Harry 4 Klüppelberg, Claudia 4 Li, Dong 4 Lin, Zhengyan 4 Macci, Claudio 4 Martins, M. João 4 Mercadier, Cécile 4 Min, Aleksey 4 Nešlehová, Johanna G. 4 Qin, Gengsheng 4 Rassoul, Abdelaziz 4 Rüschendorf, Ludger 4 Stupfler, Gilles 4 Trapani, Lorenzo 4 Vandewalle, Björn ...and 1,169 more Authors all top 5 Cited in 144 Serials 62 Statistics & Probability Letters 61 Journal of Statistical Planning and Inference 57 Extremes 55 Insurance Mathematics & Economics 53 Journal of Multivariate Analysis 43 Communications in Statistics. Theory and Methods 39 Journal of Econometrics 38 The Annals of Statistics 28 Econometric Theory 27 Computational Statistics and Data Analysis 26 Annals of the Institute of Statistical Mathematics 18 Test 18 Electronic Journal of Statistics 17 Journal of Statistical Computation and Simulation 16 Journal of Time Series Analysis 16 Journal of the Korean Statistical Society 14 Scandinavian Journal of Statistics 13 Statistics 13 Communications in Statistics. 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