Edit Profile (opens in new tab) Peng, Liang Co-Author Distance Author ID: peng.liang Published as: Peng, Liang; Peng, L. Homepage: http://sites.gsu.edu/lpeng/ External Links: MGP Documents Indexed: 164 Publications since 1995, including 1 Book Co-Authors: 113 Co-Authors with 147 Joint Publications 3,783 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 10 Zhang, Rongmao 9 Wang, Ruodu 8 Yang, Jingping 7 Yao, Qiwei 6 Hou, Yanxi 6 Liu, Qing 5 Cheng, Ming-Yen 5 Gong, Yun 5 Hall, Peter Gavin 5 Wang, Xing 4 Cheng, Shihong 4 Klüppelberg, Claudia 4 Leng, Xuan 4 Li, Zhouping 4 Liu, Xiaohui 3 Cai, Zongwu 3 Chen, Songxi 3 Feng, Huijun 3 Geluk, Jaap L. 3 Kang, Seul Ki 3 Ling, Chen 3 Yang, Bingduo 3 Zhou, Mo 3 Zhu, Fukang 2 Asimit, Alexandru V. 2 Chen, Jian 2 de Vries, Casper George 2 Haug, Stephan 2 Iglèsias Pereira, Helena 2 Jiang, Lei 2 Kuhn, Gabriel 2 Li, Minqiang 2 Ling, Shiqing 2 Liu, Aiai 2 Long, Wei 2 Ma, Yaolan 2 Qian, Linyi 2 Qin, Gengsheng 2 Tajvidi, Nader 2 Wang, Fang 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 Ding, Jing 1 Draisma, Gerrit 1 Du, Yang 1 Fan, Jianqing 1 Fan, Yanqin 1 Fung, Tsz Chai 1 Gerrard, Russell 1 Gijbels, Irène 1 Golub, Andrew 1 Leal de Carvalho Gomes, Maria Ivette 1 Gong, Jinguo 1 Hashorva, Enkelejd 1 Hou, Zengguang 1 Houdré, Christian 1 Huang, Haitao 1 Idowu, Timothy 1 Jiang, Bao 1 Jing, Bingyi 1 Kong, Jin Au 1 Koning, Alex J. 1 Lee, Thomas C. M. 1 Li, Chenxue 1 Li, Jian 1 Li, Yadong 1 Li, Yinhuan 1 Liang, Hanying 1 Liao, Guili 1 Liao, Xin 1 Lin, Feng 1 Lio, Waichon 1 Liu, Wei-min 1 Lo, Chia Chun 1 Lu, Jye-Chyi 1 Luo, Lincong 1 Ma, Hong 1 Neves, Cláudia 1 Peng, Zuoxiang 1 Qin, Yingli 1 Qin, Zhongling 1 Rau, Christian 1 Shen, Haipeng 1 Su, Qihui 1 Sun, Shan 1 Van Keilegom, Ingrid 1 Wang, Weiqun 1 Wang, Zhuoyuan 1 Wells, Martin T. ...and 16 more Co-Authors all top 5 Serials 15 Journal of Statistical Planning and Inference 14 Statistics & Probability Letters 11 Journal of Multivariate Analysis 10 Insurance Mathematics & Economics 8 Statistica Sinica 8 Extremes 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 Journal of the American Statistical Association 4 Journal of Econometrics 4 Probability and Mathematical Statistics 4 Bernoulli 4 North American Actuarial Journal 3 Australian & New Zealand Journal of Statistics 3 Scandinavian Actuarial Journal 3 Science China. Mathematics 2 Scandinavian Journal of Statistics 2 Econometric Reviews 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 Acta Mathematicae Applicatae Sinica. English Series 1 Statistics 1 Statistical Science 1 Acta Scientiarum Naturalium Universitatis Pekinensis 1 Journal of Economic Dynamics & Control 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 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 The Annals of Applied Statistics 1 Communications in Mathematical Research 1 Sankhyā. Series A 1 European Actuarial Journal 1 IEEE Transactions on Circuits and Systems I: Regular Papers all top 5 Fields 143 Statistics (62-XX) 29 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 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 Computer science (68-XX) 1 Optics, electromagnetic theory (78-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 137 Publications have been cited 1,740 times in 1,173 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. 110 2001 Comparison of tail index estimators. Zbl 0937.62050 de Haan, L.; Peng, L. 103 1998 Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439 Peng, Liang; Yao, Qiwei 70 2003 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 59 2013 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. 54 1999 Effects of data dimension on empirical likelihood. Zbl 1170.62023 Chen, Song Xi; Peng, Liang; Qin, Ying-Li 48 2009 Almost sure convergence in extreme value theory. Zbl 0932.60028 Cheng, Shihong; Peng, Liang; Qi, Yongcheng 44 1998 Asymptotically unbiased estimators for the extreme-value index. Zbl 1246.62129 Peng, Liang 38 1998 Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027 Gomes, M. Ivette; de Haan, Laurens; Peng, Liang 38 2003 Estimation of the coefficient of tail dependence in bivariate extremes. Zbl 0958.62049 Peng, L. 37 1999 On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052 Ferreira, A.; de Haan, L.; Peng, L. 35 2003 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 32 2008 Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053 Gong, Yun; Peng, Liang; Qi, Yongcheng 30 2010 Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038 Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang 30 2003 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 25 2007 Confidence intervals for the tail index. Zbl 0985.62039 Cheng, Shihong; Peng, Liang 25 2001 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041 Wang, Ruodu; Peng, Liang; Qi, Yongcheng 25 2013 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140 Zhang, Dabao; Wells, Martin T.; Peng, Liang 24 2008 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 23 2007 Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111 Chan, Ngai Hang; Peng, Liang 22 2005 Robust estimation of the generalized Pareto distribution. Zbl 1008.62024 Peng, Liang; Welsh, A. H. 22 2001 On prediction intervals based on predictive likelihood or bootstrap methods. Zbl 0942.62027 Hall, Peter; Peng, Liang; Tajvidi, Nader 21 1999 Estimating the mean of a heavy tailed distribution. Zbl 0981.62041 Peng, Liang 20 2001 Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038 Peng, Liang 20 2004 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037 Chen, Jian; Peng, Liang; Zhao, Yichuan 20 2009 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068 Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang 18 2009 Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078 Peng, Liang; Qi, Yongcheng 18 2004 Toward a unified interval estimation of autoregressions. Zbl 1239.62104 Chan, Ngai Hang; Li, Deyuan; Peng, Liang 18 2012 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125 Peng, Liang; Qi, Yongcheng 17 2006 Estimation of a support curve via order statistics. Zbl 0979.62035 Gijbels, I.; Peng, L. 17 2000 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032 Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang 17 2009 Parametric tail copula estimation and model testing. Zbl 1141.62011 de Haan, Laurens; Neves, Cláudia; Peng, Liang 16 2008 Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097 Peng, Liang; Zhou, Xiao-Hua 16 2004 Moving-maximum models for extrema of time series. Zbl 0989.62047 Hall, Peter; Peng, Liang; Yao, Qiwei 15 2002 Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097 Chan, Ngai Hang; 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 14 2006 Likelihood based confidence intervals for the tail index. Zbl 1036.62041 Lu, Jye-Chyi; Peng, Liang 14 2003 Regression modeling for nonparametric estimation of distribution and quantile functions. Zbl 1004.62039 Cheng, Ming-Yen; Peng, Liang 14 2002 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322 Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 14 2019 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225 Peng, Liang 13 2012 Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047 Peng, Liang; Yao, Qiwei 13 2004 Bootstrap approximation of tail dependence function. Zbl 1284.62301 Peng, Liang; Qi, Yongcheng 13 2008 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098 Leng, Xuan; Peng, Liang 12 2016 Prediction and nonparametric estimation for time series with heavy tails. Zbl 1022.62078 Hall, Peter; Peng, Liang; Yao, Qiwei 12 2002 Reduce computation in profile empirical likelihood method. Zbl 1271.62072 Li, Minqiang; Peng, Liang; Qi, Yongcheng 11 2011 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. 11 2000 Empirical likelihood methods for the Gini index. Zbl 1241.91101 Peng, Liang 11 2011 Statistical models and methods for dependence in insurance data. Zbl 1296.62205 Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Reducing variance in univariate smoothing. Zbl 1117.62038 Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 10 2007 Bias reduction for high quantiles. Zbl 1188.62166 Li, Deyuan; Peng, Liang; Yang, Jingping 10 2010 Local likelihood tracking of fault lines and boundaries. Zbl 1040.62043 Hall, Peter; Peng, Liang; Rau, Christian 10 2001 Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023 Peng, Liang; Qi, Yongcheng 10 2003 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031 Li, Deyuan; Peng, Liang 10 2009 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033 Koning, Alex J.; Peng, Liang 10 2008 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072 Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151 Zhang, Rongmao; Peng, Liang; Wang, Ruodu 10 2013 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091 Peng, Liang; Qi, Yongcheng 9 2010 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013 Li, Deyuan; Peng, Liang 9 2009 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187 Hill, Jonathan; Peng, Liang 9 2014 Predictive regressions for macroeconomic data. Zbl 1454.62494 Zhu, Fukang; Cai, Zongwu; Peng, Liang 9 2014 Jackknife empirical likelihood method for copulas. Zbl 1259.62026 Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 9 2012 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205 Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 9 2012 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143 Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 8 2011 Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308 Ling, Shiqing; Peng, Liang 8 2004 Rates of convergence for bivariate extremes. Zbl 0880.62015 de Haan, L.; Peng, L. 8 1997 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005 Peng, Liang; Qi, Yongcheng 8 2017 Bias reduction for endpoint estimation. Zbl 1329.62231 Li, Deyuan; Peng, Liang; Xu, Xinping 8 2011 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101 Wang, Xing; Peng, Liang 8 2016 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078 Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 8 2012 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055 Gong, Yun; Li, Zhouping; Peng, Liang 7 2010 A practical way for estimating tail dependence functions. Zbl 1186.62064 Peng, Liang 7 2010 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038 Peng, Liang; Qi, Yongcheng 7 2009 Dynamic bivariate normal copula. Zbl 1341.62158 Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 7 2016 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346 Li, Deyuan; Peng, Liang; Qi, Yongcheng 7 2011 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 7 2019 Estimation of extreme quantiles for functions of dependent random variables. Zbl 1414.62160 Gong, Jinguo; Li, Yadong; Peng, Liang; Yao, Qiwei 7 2015 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. 6 2009 Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074 Liang, Han-Ying; Peng, Liang 6 2010 Exact rates of convergence to a stable law. Zbl 0947.60025 de Haan, L.; Peng, L. 6 1999 Approximating conditional density functions using dimension reduction. Zbl 1176.62030 Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 6 2009 Slow convergence to normality: An Edgeworth expansion without third moment. Zbl 0902.60021 de Haan, L.; Peng, L. 6 1997 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232 Hill, Jonathan; Li, Deyuan; Peng, Liang 6 2016 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094 Li, Deyuan; Peng, Liang 5 2010 Partial derivatives and confidence intervals of bivariate tail dependence functions. Zbl 1120.62032 Peng, Liang; Qi, Yongcheng 5 2007 Chover-type laws of the iterated logarithm for weighted sums. Zbl 1116.60323 Peng, Liang; Qi, Yongcheng 5 2003 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071 Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 5 2013 Testing the predictability of U.S. housing price index returns based on an IVX-AR model. Zbl 1452.62967 Yang, Bingduo; Long, Wei; Peng, Liang; Cai, Zongwu 5 2020 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402 Wang, Ruodu; Peng, Liang; Yang, Jingping 5 2015 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329 Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 5 2016 Risk analysis with categorical explanatory variables. Zbl 1435.91155 Kang, Seul Ki; Peng, Liang; Xiao, Hongmin 5 2020 Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 1490.62286 Zhang, Rongmao; Li, Chenxue; Peng, Liang 5 2019 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259 Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Variance reduction in multiparameter likelihood models. Zbl 1284.62416 Cheng, Ming-Yen; Peng, Liang 4 2007 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073 Asimit, Alexandru V.; 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 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032 Feng, Huijun; Peng, Liang 4 2012 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256 Liu, Qing; Peng, Liang; Wang, Xing 4 2017 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227 Liu, Qing; Ling, Chen; Peng, Liang 4 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277 Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 4 2019 Estimating the probability of a rare event via elliptical copulas. Zbl 1481.91182 Peng, Liang 4 2008 Test for zero median of errors in an ARMA-GARCH model. Zbl 1493.62616 Ma, Yaolan; Zhou, Mo; Peng, Liang; Zhang, Rongmao 1 2022 Three-step risk inference in insurance ratemaking. Zbl 1493.62584 Hou, Yanxi; Kang, Seul Ki; Lo, Chia Chun; Peng, Liang 1 2022 Two-step risk analysis in insurance ratemaking. Zbl 1471.91464 Ki Kang, Seul; Peng, Liang; Golub, Andrew 4 2021 Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model. Zbl 1468.62350 Zhou, Mo; Peng, Liang; Zhang, Rongmao 1 2021 Testing the predictability of U.S. housing price index returns based on an IVX-AR model. Zbl 1452.62967 Yang, Bingduo; Long, Wei; Peng, Liang; Cai, Zongwu 5 2020 Risk analysis with categorical explanatory variables. Zbl 1435.91155 Kang, Seul Ki; Peng, Liang; Xiao, Hongmin 5 2020 Inference for conditional value-at-risk of a predictive regression. Zbl 1469.62250 He, Yi; Hou, Yanxi; Peng, Liang; Shen, Haipeng 3 2020 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322 Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 14 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 7 2019 Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. Zbl 1490.62286 Zhang, Rongmao; Li, Chenxue; Peng, Liang 5 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227 Liu, Qing; Ling, Chen; Peng, Liang 4 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277 Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 4 2019 Asymptotic theory and unified confidence region for an autoregressive model. Zbl 1416.62507 Liu, Xiaohui; Peng, Liang 3 2019 Maximum penalized likelihood estimation for the endpoint and exponent of a distribution. Zbl 1412.62037 Wang, Fang; Peng, Liang; Qi, Yongcheng; Xu, Meiping 2 2019 Endpoint estimation for observations with normal measurement errors. Zbl 1419.62117 Leng, Xuan; Peng, Liang; Wang, Xing; Zhou, Chen 1 2019 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259 Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Stochastic distortion and its transformed copula. Zbl 1401.91548 Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping 3 2018 Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005 Peng, Liang; Qi, Yongcheng 8 2017 Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256 Liu, Qing; Peng, Liang; Wang, Xing 4 2017 Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214 Leng, Xuan; Peng, Liang 2 2017 Estimating conditional means with heavy tails. Zbl 1380.62226 Peng, Liang; Yao, Qiwei 1 2017 Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098 Leng, Xuan; Peng, Liang 12 2016 Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101 Wang, Xing; Peng, Liang 8 2016 Dynamic bivariate normal copula. Zbl 1341.62158 Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing 7 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232 Hill, Jonathan; Li, Deyuan; Peng, Liang 6 2016 Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329 Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang 5 2016 Max-autoregressive and moving maxima models for extremes. Zbl 1365.62185 Zhang, Zhengiun; Peng, Liang; Idowu, Timothy 2 2016 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072 Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 Estimation of extreme quantiles for functions of dependent random variables. Zbl 1414.62160 Gong, Jinguo; Li, Yadong; Peng, Liang; Yao, Qiwei 7 2015 CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402 Wang, Ruodu; Peng, Liang; Yang, Jingping 5 2015 Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108 Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao 3 2015 Inference for a special bilinear time-series model. Zbl 1311.62149 Ling, Shiqing; Peng, Liang; Zhu, Fukang 2 2015 Interval estimation for a measure of tail dependence. Zbl 1348.62183 Liu, Aiai; Hou, Yanxi; Peng, Liang 1 2015 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187 Hill, Jonathan; Peng, Liang 9 2014 Predictive regressions for macroeconomic data. Zbl 1454.62494 Zhu, Fukang; Cai, Zongwu; Peng, Liang 9 2014 Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126 Peng, Liang 3 2014 Empirical likelihood test for high dimensional linear models. Zbl 1288.62071 Peng, Liang; Qi, Yongcheng; Wang, Ruodu 3 2014 Empirical likelihood test for causality of bivariate AR(1) processes. Zbl 1314.62207 Li, D.; Chan, N. H.; Peng, L. 1 2014 Test for a mean vector with fixed or divergent dimension. Zbl 1332.62180 Peng, Liang; Qi, Yongcheng; Wang, Fang 1 2014 Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038 Wang, Ruodu; Peng, Liang; Yang, Jingping 59 2013 Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041 Wang, Ruodu; Peng, Liang; Qi, Yongcheng 25 2013 Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151 Zhang, Rongmao; Peng, Liang; Wang, Ruodu 10 2013 Tail index of an AR(1) model with ARCH(1) errors. Zbl 1290.62071 Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao 5 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 Weighted estimation of the dependence function for an extreme-value distribution. Zbl 1456.62055 Peng, Liang; Qian, Linyi; Yang, Jingping 4 2013 Jackknife empirical likelihood for parametric copulas. Zbl 1281.62137 Wang, Ruodu; Peng, Liang; Yang, Jingping 2 2013 Interval estimation for a simple bilinear model. Zbl 1282.62074 Feng, Huijun; Peng, Liang; Zhu, Fukang 2 2013 Toward a unified interval estimation of autoregressions. Zbl 1239.62104 Chan, Ngai Hang; Li, Deyuan; Peng, Liang 18 2012 Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225 Peng, Liang 13 2012 Jackknife empirical likelihood method for copulas. Zbl 1259.62026 Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid 9 2012 Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205 Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping 9 2012 Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078 Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao 8 2012 Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032 Feng, Huijun; Peng, Liang 4 2012 Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053 Zhang, Rongmao; Peng, Liang; Qi, Yongcheng 3 2012 Bootstrapping endpoint. Zbl 1281.62125 Li, Zhouping; Peng, Liang 3 2012 Jackknife empirical likelihood tests for error distributions in regression models. Zbl 1273.62039 Feng, Huijun; Peng, Liang 2 2012 Reduce computation in profile empirical likelihood method. Zbl 1271.62072 Li, Minqiang; Peng, Liang; Qi, Yongcheng 11 2011 Empirical likelihood methods for the Gini index. Zbl 1241.91101 Peng, Liang 11 2011 Statistical models and methods for dependence in insurance data. Zbl 1296.62205 Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143 Chan, Ngai Hang; Peng, Liang; Zhang, Dabao 8 2011 Bias reduction for endpoint estimation. Zbl 1329.62231 Li, Deyuan; Peng, Liang; Xu, Xinping 8 2011 Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346 Li, Deyuan; Peng, Liang; Qi, Yongcheng 7 2011 Empirical likelihood test via estimating equations. Zbl 1214.62050 Li, Minqiang; Peng, Liang 2 2011 Jackknife empirical likelihood intervals for Spearman’s rho. Zbl 1291.62117 Wang, Ruodu; 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 30 2010 Bias reduction for high quantiles. Zbl 1188.62166 Li, Deyuan; Peng, Liang; Yang, Jingping 10 2010 Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091 Peng, Liang; Qi, Yongcheng 9 2010 Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055 Gong, Yun; Li, Zhouping; Peng, Liang 7 2010 A practical way for estimating tail dependence functions. Zbl 1186.62064 Peng, Liang 7 2010 Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074 Liang, Han-Ying; Peng, Liang 6 2010 Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094 Li, Deyuan; Peng, Liang 5 2010 Pitfalls in using Weibull tailed distributions. Zbl 1184.62073 Asimit, Alexandru V.; Li, Deyuan; Peng, Liang 4 2010 On nonparametric local inference for density estimation. Zbl 1464.62040 Chan, Ngai-Hang; Lee, Thomas C. M.; 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 48 2009 Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037 Chen, Jian; Peng, Liang; Zhao, Yichuan 20 2009 Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068 Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang 18 2009 Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032 Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang 17 2009 Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031 Li, Deyuan; Peng, Liang 10 2009 Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013 Li, Deyuan; Peng, Liang 9 2009 Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038 Peng, Liang; Qi, Yongcheng 7 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. 6 2009 Approximating conditional density functions using dimension reduction. Zbl 1176.62030 Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang 6 2009 Jackknife method for intermediate quantiles. Zbl 1160.62042 Peng, Liang; Yang, Jingping 3 2009 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 32 2008 Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140 Zhang, Dabao; Wells, Martin T.; Peng, Liang 24 2008 Parametric tail copula estimation and model testing. Zbl 1141.62011 de Haan, Laurens; Neves, Cláudia; Peng, Liang 16 2008 Bootstrap approximation of tail dependence function. Zbl 1284.62301 Peng, Liang; Qi, Yongcheng 13 2008 Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033 Koning, Alex J.; Peng, Liang 10 2008 Estimating the probability of a rare event via elliptical copulas. Zbl 1481.91182 Peng, Liang 4 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 25 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 23 2007 Reducing variance in univariate smoothing. Zbl 1117.62038 Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang 10 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 4 2007 Comparisons between local linear estimator and kernel smooth estimator for a smooth distribution based on MSE under right censoring. Zbl 1109.62029 Peng, Liang; Sun, Shan 1 2007 Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125 Peng, Liang; Qi, Yongcheng 17 2006 Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097 Chan, Ngai Hang; 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 14 2006 ...and 37 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,494 Authors 83 Peng, Liang 49 Leal de Carvalho Gomes, Maria Ivette 35 Wang, Ruodu 32 Zhao, Yichuan 26 Guillou, Armelle 24 Peng, Zuoxiang 20 Caeiro, Frederico 18 Li, Deyuan 18 Qi, Yongcheng 18 Zhang, Rongmao 17 Girard, Stéphane 16 Segers, Johan 15 de Haan, Laurens 15 Goegebeur, Yuri 15 Hashorva, Enkelejd 15 Nadarajah, Saralees 15 Zhang, Zhengjun 13 Beirlant, Jan 13 Li, Zhouping 13 Pestana, Dinis Duarte 12 Necir, Abdelhakim 11 Chan, Ngai Hang 11 Resnick, Sidney Ira 10 Bücher, Axel 10 Henriques-Rodrigues, Lígia 10 Vidoni, Paolo 10 Yang, Jingping 9 Drees, Holger 9 Hill, Jonathan B. 9 Meraghni, Djamel 9 Tan, Zhongquan 9 Yang, Hanfang 8 Einmahl, John H. J. 8 Fraga Alves, M. Isabel 8 Gardes, Laurent 8 Hou, Yanxi 8 Ling, Shiqing 8 Linton, Oliver Bruce 8 Liu, Xiaohui 8 Puccetti, Giovanni 8 Vaičiulis, Marijus 8 Wang, Bin 8 Zitikis, Ričardas 7 Daouia, Abdelaati 7 de Wet, Tertius 7 Falk, Michael 7 Figueiredo, Fernanda Otilia 7 Hall, Peter Gavin 7 Lee, Sangyeol 7 Ling, Chengxiu 7 Neves, Cláudia 7 Van Keilegom, Ingrid 7 Zhou, Yong 6 Cai, Zongwu 6 Chen, Min 6 Cheng, Ming-Yen 6 Deme, El Hadji 6 Giummolè, Federica 6 Li, Dong 6 Li, Haijun 6 Liu, Qing 6 Mao, Tiantian 6 Min, Aleksey 6 Paulauskas, Vygantas Ionovič 6 Vanduffel, Steven 6 Wang, Xing 6 Zhou, Chen 5 Beran, Jan 5 Berkes, István 5 Brahimi, Brahim 5 Fátima Brilhante, M. 5 Ferreira, Marta 5 Genest, Christian 5 Gong, Yun 5 Guo, Jia 5 Horváth, Lajos 5 Hüsler, Jürg 5 Krajina, Andrea 5 Li, Jinyu 5 Nešlehová, Johanna G. 5 Padoan, Simone A. 5 Qin, Gengsheng 5 Schick, Anton 5 Stupfler, Gilles 5 Tang, Chengyong 5 Trapani, Lorenzo 5 Wang, Dehui 5 Wang, Dongliang 5 Yang, Lijian 5 Yao, Qiwei 5 Zhang, Jinting 5 Zhou, Bu 5 Zhou, Wang 5 Zhu, Ke 4 Albrecher, Hansjörg 4 Bernard, Carole L. 4 Chang, Jinyuan 4 Clémençon, Stéphan 4 Fan, Guoliang 4 Ferreira, Helena ...and 1,394 more Authors all top 5 Cited in 162 Serials 66 Extremes 65 Insurance Mathematics & Economics 63 Journal of Statistical Planning and Inference 63 Statistics & Probability Letters 58 Journal of Multivariate Analysis 51 Communications in Statistics. 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