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Author ID: peng.liang Recent zbMATH articles by "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

Publications by Year

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
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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
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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. Theory and Methods
46 Journal of Econometrics
39 The Annals of Statistics
32 Computational Statistics and Data Analysis
29 Econometric Theory
28 Annals of the Institute of Statistical Mathematics
22 Journal of Time Series Analysis
20 Journal of Statistical Computation and Simulation
20 Test
20 Electronic Journal of Statistics
18 Scandinavian Journal of Statistics
18 Bernoulli
17 Communications in Statistics. Simulation and Computation
17 Journal of the Korean Statistical Society
16 Statistics
14 Journal of Nonparametric Statistics
14 ASTIN Bulletin
12 Methodology and Computing in Applied Probability
12 Scandinavian Actuarial Journal
12 The Annals of Applied Statistics
11 Lithuanian Mathematical Journal
10 The Canadian Journal of Statistics
9 Journal of Applied Probability
9 Econometric Reviews
9 Stochastic Processes and their Applications
9 North American Actuarial Journal
8 Acta Mathematicae Applicatae Sinica. English Series
8 Statistical Papers
8 Journal of Inequalities and Applications
8 Journal of Statistical Theory and Practice
8 Dependence Modeling
6 Journal of the American Statistical Association
6 Journal of Computational and Applied Mathematics
6 Statistical Science
6 Computational Statistics
6 Statistica Sinica
6 Australian & New Zealand Journal of Statistics
6 Journal of the Royal Statistical Society. Series B. Statistical Methodology
6 Journal of Applied Statistics
6 Quantitative Finance
6 Statistics and Computing
6 Statistical Theory and Related Fields
5 Metrika
5 Economics Letters
5 European Journal of Operational Research
5 Finance and Stochastics
5 Mathematical Finance
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Acta Mathematica Sinica. English Series
5 Statistical Methods and Applications
5 AStA. Advances in Statistical Analysis
5 Science China. Mathematics
5 Journal of Probability and Statistics
4 Journal of Mathematical Analysis and Applications
4 Mathematics of Operations Research
4 Journal of Theoretical Probability
4 Mathematical Methods of Statistics
4 Studies in Nonlinear Dynamics and Econometrics
4 Advances in Difference Equations
3 Advances in Applied Probability
3 Physica A
3 Biometrics
3 International Statistical Review
3 Metron
3 Annals of Operations Research
3 Applied Mathematics. Series B (English Edition)
3 International Journal of Theoretical and Applied Finance
3 Statistical Methodology
3 SIAM Journal on Financial Mathematics
3 Journal of Business and Economic Statistics
3 Statistics & Risk Modeling
2 Computers & Mathematics with Applications
2 Journal of Statistical Physics
2 Journal of Economic Dynamics & Control
2 Applications of Mathematics
2 Automation and Remote Control
2 International Journal of Computer Mathematics
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Computational Economics
2 Theory of Probability and Mathematical 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 Journal of Applied Mathematics
2 Stochastic Models
2 Hacettepe Journal of Mathematics and Statistics
2 REVSTAT
2 Probability Surveys
2 Sankhyā. Series A
2 European Actuarial Journal
2 Chilean Journal of Statistics
1 Rocky Mountain Journal of Mathematics
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