Edit Profile Peng, Liang Compute Distance To: Compute Author ID: 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 all top 5 Fields 124 Statistics (62-XX) 23 Probability theory and stochastic processes (60-XX) 21 Numerical analysis (65-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Real functions (26-XX) 1 Computer science (68-XX) 1 Optics, electromagnetic theory (78-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications 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 0976.62044Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G. 93 2001 Comparison of tail index estimators. Zbl 0937.62050de Haan, L.; Peng, L. 90 1998 Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439Peng, Liang; Yao, Qiwei 58 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. 47 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 45 2013 Effects of data dimension on empirical likelihood. Zbl 1170.62023Chen, Song Xi; Peng, Liang; Qin, Ying-Li 41 2009 Almost sure convergence in extreme value theory. Zbl 0932.60028Cheng, Shihong; Peng, Liang; Qi, Yongcheng 41 1998 Estimation of the coefficient of tail dependence in bivariate extremes. Zbl 0958.62049Peng, L. 34 1999 Asymptotically unbiased estimators for the extreme-value index. Zbl 1246.62129Peng, Liang 31 1998 Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027Gomes, M. Ivette; de Haan, Laurens; Peng, Liang 29 2003 On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052Ferreira, A.; de Haan, L.; Peng, L. 27 2003 Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang 27 2003 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 26 2008 Confidence intervals for the tail index. Zbl 0985.62039Cheng, Shihong; Peng, Liang 23 2001 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140Zhang, Dabao; Wells, Martin T.; Peng, Liang 21 2008 Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053Gong, Yun; Peng, Liang; Qi, Yongcheng 20 2010 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037Chen, Jian; Peng, Liang; Zhao, Yichuan 19 2009 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 18 2007 Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038Peng, Liang 18 2004 Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078Peng, Liang; Qi, Yongcheng 16 2004 Robust estimation of the generalized Pareto distribution. Zbl 1008.62024Peng, Liang; Welsh, A. H. 16 2001 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041Wang, Ruodu; Peng, Liang; Qi, Yongcheng 15 2013 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068Chan, 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 1360.62500Chan, Ngai Hang; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong 15 2007 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125Peng, Liang; Qi, Yongcheng 15 2006 Estimating the mean of a heavy tailed distribution. Zbl 0981.62041Peng, Liang 15 2001 Estimation of a support curve via order statistics. Zbl 0979.62035Gijbels, I.; Peng, L. 15 2000 On prediction intervals based on predictive likelihood or bootstrap methods. Zbl 0942.62027Hall, Peter; Peng, Liang; Tajvidi, Nader 15 1999 Parametric tail copula estimation and model testing. Zbl 1141.62011de Haan, Laurens; Neves, Cláudia; Peng, Liang 14 2008 Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111Chan, Ngai Hang; Peng, Liang 14 2005 Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097Peng, Liang; Zhou, Xiao-Hua 14 2004 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032Chen, 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 1115.62053Peng, Liang; Qi, Yongcheng 13 2006 Likelihood based confidence intervals for the tail index. Zbl 1036.62041Lu, Jye-Chyi; Peng, Liang 13 2003 Prediction and nonparametric estimation for time series with heavy tails. Zbl 1022.62078Hall, Peter; Peng, Liang; Yao, Qiwei 12 2002 Regression modeling for nonparametric estimation of distribution and quantile functions. Zbl 1004.62039Cheng, Ming-Yen; Peng, Liang 12 2002 Statistical models and methods for dependence in insurance data. Zbl 1296.62205Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Toward a unified interval estimation of autoregressions. Zbl 1239.62104Chan, Ngai Hang; Li, Deyuan; Peng, Liang 10 2012 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031Li, Deyuan; Peng, Liang 10 2009 Bootstrap approximation of tail dependence function. Zbl 1284.62301Peng, Liang; Qi, Yongcheng 10 2008 Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047Peng, Liang; Yao, Qiwei 10 2004 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. 10 2000 Reduce computation in profile empirical likelihood method. Zbl 1271.62072Li, Minqiang; Peng, Liang; Qi, Yongcheng 9 2011 Reducing variance in univariate smoothing. Zbl 1117.62038Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 9 2007 Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng 9 2006 Moving-maximum models for extrema of time series. Zbl 0989.62047Hall, Peter; Peng, Liang; Yao, Qiwei 9 2002 Local likelihood tracking of fault lines and boundaries. Zbl 1040.62043Hall, Peter; Peng, Liang; Rau, Christian 9 2001 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072Peng, Liang; Wang, Xing; Zheng, Yanting 8 2015 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151Zhang, Rongmao; Peng, Liang; Wang, Ruodu 8 2013 Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023Peng, Liang; Qi, Yongcheng 8 2003 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098Leng, Xuan; Peng, Liang 7 2016 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101Wang, Xing; Peng, Liang 7 2016 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225Peng, Liang 7 2012 Empirical likelihood methods for the Gini index. Zbl 1241.91101Peng, Liang 7 2011 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 7 2011 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091Peng, Liang; Qi, Yongcheng 7 2010 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033Koning, Alex J.; Peng, Liang 7 2008 Rates of convergence for bivariate extremes. Zbl 0880.62015de Haan, L.; Peng, L. 7 1997 Jackknife empirical likelihood method for copulas. Zbl 1259.62026Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 6 2012 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055Gong, Yun; Li, Zhouping; Peng, Liang 6 2010 Bias reduction for high quantiles. Zbl 1188.62166Li, Deyuan; Peng, Liang; Yang, Jingping 6 2010 A practical way for estimating tail dependence functions. Zbl 1186.62064Peng, Liang 6 2010 Exact rates of convergence to a stable law. Zbl 0947.60025de Haan, L.; Peng, L. 6 1999 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 5 2016 Predictive regressions for macroeconomic data. Zbl 1454.62494Zhu, Fukang; Cai, Zongwu; Peng, Liang 5 2014 Bias reduction for endpoint estimation. Zbl 1329.62231Li, Deyuan; Peng, Liang; Xu, Xinping 5 2011 Approximating conditional density functions using dimension reduction. Zbl 1176.62030Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 5 2009 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038Peng, Liang; Qi, Yongcheng 5 2009 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013Li, Deyuan; Peng, Liang 5 2009 Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032Peng, Liang; Qi, Yongcheng 5 2007 Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308Ling, Shiqing; Peng, Liang 5 2004 Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323Peng, Liang; Qi, Yongcheng 5 2003 Slow convergence to normality: An Edgeworth expansion without third moment. Zbl 0902.60021de Haan, L.; Peng, L. 5 1997 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 4 2018 Dynamic bivariate normal copula. Zbl 1341.62158Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 4 2016 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187Hill, Jonathan; Peng, Liang 4 2014 Empirical likelihood test for high dimensional linear models. Zbl 1288.62071Peng, Liang; Qi, Yongcheng; Wang, Ruodu 4 2014 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 4 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 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 4 2012 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 4 2012 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032Feng, Huijun; Peng, Liang 4 2012 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346Li, Deyuan; Peng, Liang; Qi, Yongcheng 4 2011 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073Asimit, Alexandru V.; Li, Deyuan; Peng, Liang 4 2010 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094Li, Deyuan; Peng, Liang 4 2010 An adaptive optimal estimate of the tail index for MA(1) time series. Zbl 0942.62060Geluk, J. L.; Peng, Liang 4 2000 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 07140544Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 3 2019 A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang 3 2019 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256Liu, Qing; Peng, Liang; Wang, Xing 3 2017 Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126Peng, Liang 3 2014 On nonparametric local inference for density estimation. Zbl 05689606Chan, 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 1185.62074Liang, Han-Ying; Peng, Liang 3 2010 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. 3 2009 Variance reduction in multiparameter likelihood models. Zbl 1284.62416Cheng, Ming-Yen; Peng, Liang 3 2007 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005Peng, Liang; Qi, Yongcheng 2 2017 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232Hill, Jonathan; Li, Deyuan; Peng, Liang 2 2016 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402Wang, Ruodu; Peng, Liang; Yang, Jingping 2 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 Interval estimation for a simple bilinear model. Zbl 1282.62074Feng, Huijun; Peng, Liang; Zhu, Fukang 2 2013 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 07140544Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 3 2019 A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang 3 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227Liu, Qing; Ling, Chen; Peng, Liang 1 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 1 2019 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 4 2018 Stochastic distortion and its transformed copula. Zbl 1401.91548Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping 1 2018 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256Liu, Qing; Peng, Liang; Wang, Xing 3 2017 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005Peng, Liang; Qi, Yongcheng 2 2017 Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214Leng, Xuan; Peng, Liang 1 2017 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098Leng, Xuan; Peng, Liang 7 2016 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101Wang, Xing; Peng, Liang 7 2016 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 5 2016 Dynamic bivariate normal copula. Zbl 1341.62158Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 4 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232Hill, Jonathan; Li, Deyuan; Peng, Liang 2 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 8 2015 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402Wang, Ruodu; Peng, Liang; Yang, Jingping 2 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 1 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 5 2014 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187Hill, Jonathan; Peng, Liang 4 2014 Empirical likelihood test for high dimensional linear models. Zbl 1288.62071Peng, Liang; Qi, Yongcheng; Wang, Ruodu 4 2014 Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126Peng, Liang 3 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 45 2013 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041Wang, Ruodu; Peng, Liang; Qi, Yongcheng 15 2013 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151Zhang, Rongmao; Peng, Liang; Wang, Ruodu 8 2013 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 4 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 Interval estimation for a simple bilinear model. Zbl 1282.62074Feng, Huijun; Peng, Liang; Zhu, Fukang 2 2013 Jackknife empirical likelihood for parametric copulas. Zbl 1281.62137Wang, Ruodu; Peng, Liang; Yang, Jingping 2 2013 Weighted estimation of the dependence function for an extreme-value distribution. Zbl 1456.62055Peng, Liang; Qian, Linyi; Yang, Jingping 2 2013 Bifurcation of limit cycles from a quadratic reversible center with the unbounded elliptic separatrix. Zbl 1417.34077Peng, L.; Lei, Y. 1 2013 Toward a unified interval estimation of autoregressions. Zbl 1239.62104Chan, Ngai Hang; Li, Deyuan; Peng, Liang 10 2012 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225Peng, Liang 7 2012 Jackknife empirical likelihood method for copulas. Zbl 1259.62026Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 6 2012 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 4 2012 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 4 2012 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032Feng, Huijun; Peng, Liang 4 2012 Bootstrapping endpoint. Zbl 1281.62125Li, Zhouping; Peng, Liang 2 2012 Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053Zhang, Rongmao; Peng, Liang; Qi, Yongcheng 2 2012 Jackknife empirical likelihood tests for error distributions in regression models. Zbl 1273.62039Feng, Huijun; Peng, Liang 1 2012 Statistical models and methods for dependence in insurance data. Zbl 1296.62205Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Reduce computation in profile empirical likelihood method. Zbl 1271.62072Li, Minqiang; Peng, Liang; Qi, Yongcheng 9 2011 Empirical likelihood methods for the Gini index. Zbl 1241.91101Peng, Liang 7 2011 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 7 2011 Bias reduction for endpoint estimation. Zbl 1329.62231Li, Deyuan; Peng, Liang; Xu, Xinping 5 2011 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346Li, Deyuan; Peng, Liang; Qi, Yongcheng 4 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 20 2010 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091Peng, Liang; Qi, Yongcheng 7 2010 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055Gong, Yun; Li, Zhouping; Peng, Liang 6 2010 Bias reduction for high quantiles. Zbl 1188.62166Li, Deyuan; Peng, Liang; Yang, Jingping 6 2010 A practical way for estimating tail dependence functions. Zbl 1186.62064Peng, Liang 6 2010 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073Asimit, Alexandru V.; Li, Deyuan; Peng, Liang 4 2010 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094Li, Deyuan; Peng, Liang 4 2010 On nonparametric local inference for density estimation. Zbl 05689606Chan, 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 1185.62074Liang, Han-Ying; 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 41 2009 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037Chen, Jian; Peng, Liang; Zhao, Yichuan 19 2009 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang 15 2009 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang 13 2009 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031Li, Deyuan; Peng, Liang 10 2009 Approximating conditional density functions using dimension reduction. Zbl 1176.62030Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 5 2009 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038Peng, Liang; Qi, Yongcheng 5 2009 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013Li, Deyuan; Peng, Liang 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. 3 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 26 2008 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140Zhang, Dabao; Wells, Martin T.; Peng, Liang 21 2008 Parametric tail copula estimation and model testing. Zbl 1141.62011de Haan, Laurens; Neves, Cláudia; Peng, Liang 14 2008 Bootstrap approximation of tail dependence function. Zbl 1284.62301Peng, Liang; Qi, Yongcheng 10 2008 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033Koning, Alex J.; Peng, Liang 7 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 18 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 15 2007 Reducing variance in univariate smoothing. Zbl 1117.62038Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 9 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 3 2007 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125Peng, Liang; Qi, Yongcheng 15 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 9 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 14 2005 Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038Peng, Liang 18 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 14 2004 Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047Peng, Liang; Yao, Qiwei 10 2004 Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308Ling, Shiqing; Peng, Liang 5 2004 Bias-corrected estimators for monotone and concave frontier functions. Zbl 1157.62381Peng, Liang 1 2004 Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439Peng, Liang; Yao, Qiwei 58 2003 Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027Gomes, M. Ivette; de Haan, Laurens; Peng, Liang 29 2003 On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052Ferreira, A.; de Haan, L.; Peng, L. 27 2003 Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang 27 2003 Likelihood based confidence intervals for the tail index. Zbl 1036.62041Lu, Jye-Chyi; Peng, Liang 13 2003 Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023Peng, Liang; Qi, Yongcheng 8 2003 Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323Peng, Liang; Qi, Yongcheng 5 2003 ...and 22 more Documents all cited Publications top 5 cited Publications 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 all top 5 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. 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Series B 1 Stochastic Analysis and Applications 1 Acta Mathematica Hungarica 1 Acta Applicandae Mathematicae ...and 35 more Serials all top 5 Cited in 27 Fields 783 Statistics (62-XX) 220 Probability theory and stochastic processes (60-XX) 154 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 119 Numerical analysis (65-XX) 12 Operations research, mathematical programming (90-XX) 10 Biology and other natural sciences (92-XX) 5 Computer science (68-XX) 4 Ordinary differential equations (34-XX) 4 Geophysics (86-XX) 4 Systems theory; control (93-XX) 3 Number theory (11-XX) 3 Real functions (26-XX) 3 Functional analysis (46-XX) 3 Information and communication theory, circuits (94-XX) 2 Combinatorics (05-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Approximations and expansions (41-XX) 2 Operator theory (47-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Partial differential equations (35-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Integral transforms, operational calculus (44-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Citations by Year