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Author ID: peng.liang Recent zbMATH articles by "Peng, Liang"
Published as: Peng, Liang; Peng, L.
Documents Indexed: 157 Publications since 1995, including 1 Book
Co-Authors: 104 Co-Authors with 136 Joint Publications
3,252 Co-Co-Authors
all top 5

Co-Authors

14 single-authored
23 Qi, Yongcheng
14 Li, Deyuan
11 Chan, Ngai Hang
11 de Haan, Laurens
9 Wang, Ruodu
8 Yang, Jingping
8 Zhang, Rongmao
7 Yao, Qiwei
5 Cheng, Ming-Yen
5 Gong, Yun
5 Hall, Peter Gavin
5 Hou, Yanxi
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 Leng, Xuan
3 Zhu, Fukang
2 Asimit, Alexandru V.
2 Chen, Jian
2 de Vries, Casper George
2 Haug, Stephan
2 Iglèsias Pereira, Helena
2 Kang, Seul Ki
2 Kuhn, Gabriel
2 Li, Minqiang
2 Ling, Chen
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
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 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 Long, Wei
1 Lu, Jye-Chyi
1 Luo, Lincong
1 Ma, Hong
1 Mei, Hongxiang
1 Neves, Cláudia
1 Peng, Zuoxiang
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 6 more Co-Authors
all top 5

Serials

15 Journal of Statistical Planning and Inference
14 Statistics & Probability Letters
11 Journal of Multivariate Analysis
8 Insurance Mathematics & Economics
8 Extremes
7 Statistica Sinica
6 The Annals of Statistics
6 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
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 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

Publications by Year

Citations contained in zbMATH Open

126 Publications have been cited 1,431 times in 939 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.
96
2001
Comparison of tail index estimators. Zbl 0937.62050
de Haan, L.; Peng, L.
95
1998
Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439
Peng, Liang; Yao, Qiwei
59
2003
A bootstrap-based method to achieve optimality in estimating the extreme-value index. Zbl 0972.62014
Draisma, G.; de Haan, L.; Peng, L.; Pereira, T. T.
48
1999
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
48
2013
Effects of data dimension on empirical likelihood. Zbl 1170.62023
Chen, Song Xi; Peng, Liang; Qin, Ying-Li
42
2009
Almost sure convergence in extreme value theory. Zbl 0932.60028
Cheng, Shihong; Peng, Liang; Qi, Yongcheng
42
1998
Estimation of the coefficient of tail dependence in bivariate extremes. Zbl 0958.62049
Peng, L.
36
1999
Asymptotically unbiased estimators for the extreme-value index. Zbl 1246.62129
Peng, Liang
31
1998
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
30
2003
On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052
Ferreira, A.; de Haan, L.; Peng, L.
28
2003
Empirical likelihood confidence regions for comparison distributions and ROC curves. Zbl 1039.62038
Claeskens, Gerda; Jing, Bing-Yi; Peng, Liang; Zhou, Wang
27
2003
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
2008
Confidence intervals for the tail index. Zbl 0985.62039
Cheng, Shihong; Peng, Liang
24
2001
Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053
Gong, Yun; Peng, Liang; Qi, Yongcheng
22
2010
Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140
Zhang, Dabao; Wells, Martin T.; Peng, Liang
22
2008
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
21
2007
Empirical likelihood based confidence intervals for copulas. Zbl 1151.62037
Chen, Jian; Peng, Liang; Zhao, Yichuan
20
2009
Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038
Peng, Liang
19
2004
Estimating the mean of a heavy tailed distribution. Zbl 0981.62041
Peng, Liang
18
2001
Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111
Chan, Ngai Hang; Peng, Liang
18
2005
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
18
2007
On prediction intervals based on predictive likelihood or bootstrap methods. Zbl 0942.62027
Hall, Peter; Peng, Liang; Tajvidi, Nader
17
1999
Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041
Wang, Ruodu; Peng, Liang; Qi, Yongcheng
17
2013
Robust estimation of the generalized Pareto distribution. Zbl 1008.62024
Peng, Liang; Welsh, A. H.
16
2001
Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078
Peng, Liang; Qi, Yongcheng
16
2004
Parametric tail copula estimation and model testing. Zbl 1141.62011
de Haan, Laurens; Neves, Cláudia; Peng, Liang
16
2008
Statistical inference for multivariate residual copula of GARCH models. Zbl 1153.62068
Chan, Ngai-Hang; Chen, Jian; Chen, Xiaohong; Fan, Yanqin; Peng, Liang
15
2009
Estimation of a support curve via order statistics. Zbl 0979.62035
Gijbels, I.; Peng, L.
15
2000
Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125
Peng, Liang; Qi, Yongcheng
15
2006
Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097
Peng, Liang; Zhou, Xiao-Hua
14
2004
Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032
Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang
14
2009
A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053
Peng, Liang; Qi, Yongcheng
13
2006
Likelihood based confidence intervals for the tail index. Zbl 1036.62041
Lu, Jye-Chyi; Peng, Liang
13
2003
Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047
Peng, Liang; Yao, Qiwei
12
2004
Prediction and nonparametric estimation for time series with heavy tails. Zbl 1022.62078
Hall, Peter; Peng, Liang; Yao, Qiwei
12
2002
Regression modeling for nonparametric estimation of distribution and quantile functions. Zbl 1004.62039
Cheng, Ming-Yen; Peng, Liang
12
2002
Bootstrap approximation of tail dependence function. Zbl 1284.62301
Peng, Liang; Qi, Yongcheng
12
2008
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097
Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng
11
2006
Reducing variance in univariate smoothing. Zbl 1117.62038
Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang
10
2007
Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031
Li, Deyuan; Peng, Liang
10
2009
Moving-maximum models for extrema of time series. Zbl 0989.62047
Hall, Peter; Peng, Liang; Yao, Qiwei
10
2002
Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series. Zbl 0979.60010
Geluk, Jaap L.; Peng, Liang; de Vries, Casper G.
10
2000
Tests for covariance matrix with fixed or divergent dimension. Zbl 1277.62151
Zhang, Rongmao; Peng, Liang; Wang, Ruodu
10
2013
Toward a unified interval estimation of autoregressions. Zbl 1239.62104
Chan, Ngai Hang; Li, Deyuan; Peng, Liang
10
2012
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
9
2015
Almost sure convergence of the distributional limit theorem for order statistics. Zbl 1050.62023
Peng, Liang; Qi, Yongcheng
9
2003
Local likelihood tracking of fault lines and boundaries. Zbl 1040.62043
Hall, Peter; Peng, Liang; Rau, Christian
9
2001
Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033
Koning, Alex J.; Peng, Liang
9
2008
Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098
Leng, Xuan; Peng, Liang
9
2016
Reduce computation in profile empirical likelihood method. Zbl 1271.62072
Li, Minqiang; Peng, Liang; Qi, Yongcheng
9
2011
Empirical likelihood methods for the Gini index. Zbl 1241.91101
Peng, Liang
9
2011
Inference for intermediate Haezendonck-Goovaerts risk measure. Zbl 1369.91101
Wang, Xing; Peng, Liang
8
2016
Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187
Hill, Jonathan; Peng, Liang
7
2014
Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225
Peng, Liang
7
2012
Bias reduction for high quantiles. Zbl 1188.62166
Li, Deyuan; Peng, Liang; Yang, Jingping
7
2010
Rates of convergence for bivariate extremes. Zbl 0880.62015
de Haan, L.; Peng, L.
7
1997
Jackknife empirical likelihood method for copulas. Zbl 1259.62026
Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid
7
2012
Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091
Peng, Liang; Qi, Yongcheng
7
2010
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao
7
2011
Bias reduction for endpoint estimation. Zbl 1329.62231
Li, Deyuan; Peng, Liang; Xu, Xinping
6
2011
A practical way for estimating tail dependence functions. Zbl 1186.62064
Peng, Liang
6
2010
Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308
Ling, Shiqing; Peng, Liang
6
2004
Exact rates of convergence to a stable law. Zbl 0947.60025
de Haan, L.; Peng, L.
6
1999
Slow convergence to normality: An Edgeworth expansion without third moment. Zbl 0902.60021
de Haan, L.; Peng, L.
6
1997
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
6
2019
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055
Gong, Yun; Li, Zhouping; Peng, Liang
6
2010
Dynamic bivariate normal copula. Zbl 1341.62158
Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing
5
2016
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
Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038
Peng, Liang; Qi, Yongcheng
5
2009
Approximating conditional density functions using dimension reduction. Zbl 1176.62030
Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang
5
2009
Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013
Li, Deyuan; Peng, Liang
5
2009
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang
5
2018
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.
5
2009
Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346
Li, Deyuan; Peng, Liang; Qi, Yongcheng
5
2011
Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078
Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao
5
2012
Predictive regressions for macroeconomic data. Zbl 1454.62494
Zhu, Fukang; Cai, Zongwu; Peng, Liang
5
2014
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
Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232
Hill, Jonathan; Li, Deyuan; Peng, Liang
4
2016
Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094
Li, Deyuan; Peng, Liang
4
2010
Pitfalls in using Weibull tailed distributions. Zbl 1184.62073
Asimit, Alexandru V.; Li, Deyuan; Peng, Liang
4
2010
Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang
4
2016
An adaptive optimal estimate of the tail index for MA(1) time series. Zbl 0942.62060
Geluk, J. L.; Peng, Liang
4
2000
Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256
Liu, Qing; Peng, Liang; Wang, Xing
4
2017
Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205
Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping
4
2012
Parameter estimation and model testing for Markov processes via conditional characteristic functions. Zbl 1259.62069
Chen, Song X.; Peng, Liang; Yu, Cindy L.
4
2013
Jackknife empirical likelihood tests for distribution functions. Zbl 1242.62032
Feng, Huijun; Peng, Liang
4
2012
Joint tail of ECOMOR and LCR reinsurance treaties. Zbl 1304.91126
Peng, Liang
3
2014
Jackknife-blockwise empirical likelihood methods under dependence. Zbl 1352.62053
Zhang, Rongmao; Peng, Liang; Qi, Yongcheng
3
2012
Variance reduction in multiparameter likelihood models. Zbl 1284.62416
Cheng, Ming-Yen; Peng, Liang
3
2007
Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074
Liang, Han-Ying; Peng, Liang
3
2010
On nonparametric local inference for density estimation. Zbl 1464.62040
Chan, Ngai-Hang; Lee, Thomas C. M.; Peng, Liang
3
2010
A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang
3
2019
CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402
Wang, Ruodu; Peng, Liang; Yang, Jingping
3
2015
Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005
Peng, Liang; Qi, Yongcheng
3
2017
Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108
Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao
2
2015
Bifurcation of limit cycles from a quadratic reversible center with the unbounded elliptic separatrix. Zbl 1417.34077
Peng, L.; Lei, Y.
2
2013
Inference for a special bilinear time-series model. Zbl 1311.62149
Ling, Shiqing; Peng, Liang; Zhu, Fukang
2
2015
Two-step risk analysis in insurance ratemaking. Zbl 1471.91464
Ki Kang, Seul; Peng, Liang; Golub, Andrew
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
2
2020
Risk analysis with categorical explanatory variables. Zbl 1435.91155
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin
2
2020
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
6
2019
A unified test for predictability of asset returns regardless of properties of predicting variables. Zbl 1452.62779
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang
3
2019
Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang
2
2019
Asymptotic theory and unified confidence region for an autoregressive model. Zbl 1416.62507
Liu, Xiaohui; Peng, Liang
1
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
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
2
2018
Haezendonck-Goovaerts risk measure with a heavy tailed loss. Zbl 1395.91256
Liu, Qing; Peng, Liang; Wang, Xing
4
2017
Inference for heavy-tailed data. Applications in insurance and finance. Zbl 1373.62005
Peng, Liang; Qi, Yongcheng
3
2017
Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214
Leng, Xuan; Peng, Liang
1
2017
Inference pitfalls in Lee-Carter model for forecasting mortality. Zbl 1371.91098
Leng, Xuan; Peng, Liang
9
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
5
2016
Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232
Hill, Jonathan; Li, Deyuan; Peng, Liang
4
2016
Tail dependence measure for examining financial extreme co-movements. Zbl 1443.62329
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang
4
2016
Max-autoregressive and moving maxima models for extremes. Zbl 1365.62185
Zhang, Zhengiun; Peng, Liang; Idowu, Timothy
1
2016
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
9
2015
CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402
Wang, Ruodu; Peng, Liang; Yang, Jingping
3
2015
Maxima of a triangular array of multivariate Gaussian sequence. Zbl 1327.60108
Hashorva, Enkelejd; Peng, Liang; Weng, Zhichao
2
2015
Inference for a special bilinear time-series model. Zbl 1311.62149
Ling, Shiqing; Peng, Liang; Zhu, Fukang
2
2015
Estimation of extreme quantiles for functions of dependent random variables. Zbl 1414.62160
Gong, Jinguo; Li, Yadong; Peng, Liang; Yao, Qiwei
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
7
2014
Predictive regressions for macroeconomic data. Zbl 1454.62494
Zhu, Fukang; Cai, Zongwu; Peng, Liang
5
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
2
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
48
2013
Jackknife empirical likelihood test for equality of two high dimensional means. Zbl 1379.62041
Wang, Ruodu; Peng, Liang; Qi, Yongcheng
17
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
Bifurcation of limit cycles from a quadratic reversible center with the unbounded elliptic separatrix. Zbl 1417.34077
Peng, L.; Lei, Y.
2
2013
Interval estimation for a simple bilinear model. Zbl 1282.62074
Feng, Huijun; Peng, Liang; Zhu, Fukang
2
2013
Weighted estimation of the dependence function for an extreme-value distribution. Zbl 1456.62055
Peng, Liang; Qian, Linyi; Yang, Jingping
2
2013
Jackknife empirical likelihood for parametric copulas. Zbl 1281.62137
Wang, Ruodu; Peng, Liang; Yang, Jingping
2
2013
Toward a unified interval estimation of autoregressions. Zbl 1239.62104
Chan, Ngai Hang; Li, Deyuan; Peng, Liang
10
2012
Approximate jackknife empirical likelihood method for estimating equations. Zbl 1274.62225
Peng, Liang
7
2012
Jackknife empirical likelihood method for copulas. Zbl 1259.62026
Peng, Liang; Qi, Yongcheng; Van Keilegom, Ingrid
7
2012
Interval estimation of the tail index of a GARCH(1,1) model. Zbl 1259.62078
Chan, Ngai Hang; Peng, Liang; Zhang, Rongmao
5
2012
Jackknife empirical likelihood method for some risk measures and related quantities. Zbl 1284.62205
Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping
4
2012
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
2
2012
Jackknife empirical likelihood tests for error distributions in regression models. Zbl 1273.62039
Feng, Huijun; Peng, Liang
2
2012
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Reduce computation in profile empirical likelihood method. Zbl 1271.62072
Li, Minqiang; Peng, Liang; Qi, Yongcheng
9
2011
Empirical likelihood methods for the Gini index. Zbl 1241.91101
Peng, Liang
9
2011
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models. Zbl 1401.62143
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao
7
2011
Bias reduction for endpoint estimation. Zbl 1329.62231
Li, Deyuan; Peng, Liang; Xu, Xinping
6
2011
Empirical likelihood confidence intervals for the endpoint of a distribution function. Zbl 1274.62346
Li, Deyuan; Peng, Liang; Qi, Yongcheng
5
2011
Jackknife empirical likelihood intervals for Spearman’s rho. Zbl 1291.62117
Wang, Ruodu; Peng, Liang
2
2011
Empirical likelihood test via estimating equations. Zbl 1214.62050
Li, Minqiang; Peng, Liang
2
2011
Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models. Zbl 1246.91063
Li, Zhouping; Gong, Yun; Peng, Liang
1
2011
Smoothed jackknife empirical likelihood method for ROC curve. Zbl 1186.62053
Gong, Yun; Peng, Liang; Qi, Yongcheng
22
2010
Bias reduction for high quantiles. Zbl 1188.62166
Li, Deyuan; Peng, Liang; Yang, Jingping
7
2010
Smoothed jackknife empirical likelihood method for tail copulas. Zbl 1203.62091
Peng, Liang; Qi, Yongcheng
7
2010
A practical way for estimating tail dependence functions. Zbl 1186.62064
Peng, Liang
6
2010
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models. Zbl 1224.62055
Gong, Yun; Li, Zhouping; Peng, Liang
6
2010
Comparing extreme models when the sign of the extreme value index is known. Zbl 1185.62094
Li, Deyuan; Peng, Liang
4
2010
Pitfalls in using Weibull tailed distributions. Zbl 1184.62073
Asimit, Alexandru V.; Li, Deyuan; Peng, Liang
4
2010
Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data. Zbl 1185.62074
Liang, Han-Ying; Peng, Liang
3
2010
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
42
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
15
2009
Conditional variance estimation in heteroscedastic regression models. Zbl 1149.62032
Chen, Lu-Hung; Cheng, Ming-Yen; Peng, Liang
14
2009
Goodness-of-fit test for tail copulas modeled by elliptical copulas. Zbl 1161.62031
Li, Deyuan; Peng, Liang
10
2009
Maximum likelihood estimation of extreme value index for irregular cases. Zbl 1368.62038
Peng, Liang; Qi, Yongcheng
5
2009
Approximating conditional density functions using dimension reduction. Zbl 1176.62030
Fan, Jianqing; Peng, Liang; Yao, Qiwei; Zhang, Wenyang
5
2009
Does bias reduction with external estimator of second order parameter work for endpoint? Zbl 1159.62013
Li, Deyuan; Peng, Liang
5
2009
Empirical likelihood methods based on characteristic functions with applications to Lévy processes. Zbl 1205.62119
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L.
5
2009
Jackknife method for intermediate quantiles. Zbl 1160.62042
Peng, Liang; Yang, Jingping
2
2009
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
2008
Nonparametric estimation of the dependence function for a multivariate extreme value distribution. Zbl 1333.62140
Zhang, Dabao; Wells, Martin T.; Peng, Liang
22
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
12
2008
Goodness-of-fit tests for a heavy tailed distribution. Zbl 1146.62033
Koning, Alex J.; Peng, Liang
9
2008
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
21
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
18
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
3
2007
Confidence regions for high quantiles of a heavy tailed distribution. Zbl 1246.62125
Peng, Liang; Qi, Yongcheng
15
2006
A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Zbl 1115.62053
Peng, Liang; Qi, Yongcheng
13
2006
Quantile inference for near-integrated autoregressive times series with infinite variance. Zbl 1087.62097
Chan, Ngai Hang; Peng, Liang; Qi, Yongcheng
11
2006
Simple and efficient improvements of multivariate local linear regression. Zbl 1093.62044
Cheng, Ming-Yen; Peng, Liang
2
2006
Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Zbl 1094.62111
Chan, Ngai Hang; Peng, Liang
18
2005
Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. Zbl 1091.62038
Peng, Liang
19
2004
Estimating the first- and second-order parameters of a heavy-tailed distribution. Zbl 1061.62078
Peng, Liang; Qi, Yongcheng
16
2004
Local linear smoothing of receiver operating characteristic (ROC) curves. Zbl 1031.62097
Peng, Liang; Zhou, Xiao-Hua
14
2004
Nonparametric regression under dependent errors with infinite variance. Zbl 1050.62047
Peng, Liang; Yao, Qiwei
12
2004
Hill’s estimator for the tail index of an ARMA model. Zbl 1123.62308
Ling, Shiqing; Peng, Liang
6
2004
Bias-corrected estimators for monotone and concave frontier functions. Zbl 1157.62381
Peng, Liang
1
2004
Least absolute deviations estimation for ARCH and GARCH models. Zbl 1436.62439
Peng, Liang; Yao, Qiwei
59
2003
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
30
2003
On optimising the estimation of high quantiles of a probability distribution. Zbl 1210.62052
Ferreira, A.; de Haan, L.; Peng, L.
28
2003
...and 26 more Documents
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Cited by 1,197 Authors

73 Peng, Liang
43 Leal de Carvalho Gomes, Maria Ivette
30 Zhao, Yichuan
29 Wang, Ruodu
22 Guillou, Armelle
21 Peng, Zuoxiang
16 Caeiro, Frederico
16 Li, Deyuan
16 Qi, Yongcheng
15 Hashorva, Enkelejd
15 Segers, Johan
14 de Haan, Laurens
12 Girard, Stéphane
12 Goegebeur, Yuri
12 Necir, Abdelhakim
12 Zhang, Rongmao
11 Beirlant, Jan
10 Chan, Ngai Hang
10 Henriques-Rodrigues, Lígia
10 Nadarajah, Saralees
10 Pestana, Dinis Duarte
10 Vidoni, Paolo
9 Hill, Jonathan B.
9 Meraghni, Djamel
9 Yang, Hanfang
9 Zhang, Zhengjun
8 Einmahl, John H. J.
8 Fraga Alves, M. Isabel
8 Li, Zhouping
8 Puccetti, Giovanni
8 Tan, Zhongquan
8 Vaičiulis, Marijus
8 Wang, Bin
8 Yang, Jingping
7 Drees, Holger
7 Lee, Sangyeol
7 Ling, Shiqing
7 Linton, Oliver Bruce
7 Neves, Cláudia
6 Bücher, Axel
6 Cheng, Ming-Yen
6 de Wet, Tertius
6 Falk, Michael
6 Figueiredo, Fernanda Otilia
6 Giummolè, Federica
6 Hou, Yanxi
6 Ling, Chengxiu
6 Mao, Tiantian
6 Paulauskas, Vygantas Ionovič
6 Resnick, Sidney Ira
6 Van Keilegom, Ingrid
6 Zhou, Yong
6 Zitikis, Ričardas
5 Beran, Jan
5 Berkes, István
5 Brahimi, Brahim
5 Cai, Zongwu
5 Gardes, Laurent
5 Gong, Yun
5 Hall, Peter Gavin
5 Hüsler, Jürg
5 Krajina, Andrea
5 Li, Haijun
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 Deme, El Hadji
4 Fátima Brilhante, M.
4 Ferreira, Marta
4 Giuliano, Rita
4 Guo, Jia
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 Padoan, Simone A.
4 Rassoul, Abdelaziz
4 Rüschendorf, Ludger
4 Trapani, Lorenzo
4 Vandewalle, Björn
4 Wu, Tongtong
4 Wu, Yichao
4 Xu, Keli
4 Zhang, Jinting
4 Zhou, Bu
4 Zhou, Chen
4 Zhou, Wang
4 Zhu, Ke
...and 1,097 more Authors
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Cited in 139 Serials

62 Statistics & Probability Letters
59 Journal of Statistical Planning and Inference
56 Extremes
52 Journal of Multivariate Analysis
50 Insurance Mathematics & Economics
38 Journal of Econometrics
37 The Annals of Statistics
28 Communications in Statistics. Theory and Methods
26 Annals of the Institute of Statistical Mathematics
25 Computational Statistics and Data Analysis
25 Econometric Theory
18 Test
18 Electronic Journal of Statistics
16 Journal of Time Series Analysis
15 Journal of Statistical Computation and Simulation
15 Journal of the Korean Statistical Society
14 Scandinavian Journal of Statistics
13 Bernoulli
13 Journal of Nonparametric Statistics
12 The Annals of Applied Statistics
11 Lithuanian Mathematical Journal
11 Statistics
10 ASTIN Bulletin
9 The Canadian Journal of Statistics
9 Journal of Applied Probability
9 Stochastic Processes and their Applications
9 Methodology and Computing in Applied Probability
9 Scandinavian Actuarial Journal
8 Journal of Inequalities and Applications
7 Acta Mathematicae Applicatae Sinica. English Series
7 Econometric Reviews
7 Communications in Statistics. Simulation and Computation
7 Journal of Statistical Theory and Practice
6 Statistical Papers
6 Australian & New Zealand Journal of Statistics
6 North American Actuarial Journal
5 Metrika
5 Statistical Science
5 Computational Statistics
5 European Journal of Operational Research
5 Finance and Stochastics
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Journal of the Royal Statistical Society. Series B. Statistical Methodology
5 Journal of Applied Statistics
5 Quantitative Finance
5 Science China. Mathematics
5 Journal of Probability and Statistics
5 Statistics and Computing
4 Journal of Mathematical Analysis and Applications
4 Journal of the American Statistical Association
4 Journal of Computational and Applied Mathematics
4 Mathematics of Operations Research
4 Acta Mathematica Sinica. English Series
4 Statistical Methods and Applications
4 Advances in Difference Equations
4 Dependence Modeling
3 Metron
3 Journal of Theoretical Probability
3 Economics Letters
3 International Journal of Theoretical and Applied Finance
3 Statistical Methodology
3 AStA. Advances in Statistical Analysis
3 SIAM Journal on Financial Mathematics
2 Advances in Applied Probability
2 Computers & Mathematics with Applications
2 Journal of Statistical Physics
2 Physica A
2 Applications of Mathematics
2 International Journal of Computer Mathematics
2 Computational Economics
2 Applied Mathematics. Series B (English Edition)
2 Theory of Probability and Mathematical Statistics
2 Mathematical Methods of Statistics
2 Lifetime Data Analysis
2 Mathematical Problems in Engineering
2 The Econometrics Journal
2 Statistical Inference for Stochastic Processes
2 Communications in Nonlinear Science and Numerical Simulation
2 Journal of Systems Science and Complexity
2 European Actuarial Journal
2 Statistics & Risk Modeling
1 Rocky Mountain Journal of Mathematics
1 Theory of Probability and its Applications
1 Anais da Academia Brasileira de Ciências
1 Annales Universitatis Mariae Curie-Skłodowska. Sectio A. Mathematica
1 Biometrics
1 Information Sciences
1 Kybernetika
1 Mathematics and Computers in Simulation
1 Mathematische Nachrichten
1 Operations Research
1 Statistica Neerlandica
1 Zeitschrift für Analysis und ihre Anwendungen
1 Operations Research Letters
1 Circuits, Systems, and Signal Processing
1 Chinese Annals of Mathematics. Series B
1 Stochastic Analysis and Applications
1 Acta Mathematica Hungarica
1 Acta Applicandae Mathematicae
1 Applied Mathematics Letters
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