Liang Peng
Liang Peng
Department of Risk Management and Insurance, Robinson College of Business, Georgia State University
Dirección de correo verificada de gsu.edu - Página principal
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Using a bootstrap method to choose the sample fraction in tail index estimation
J Danielsson, L de Haan, L Peng, CG de Vries
Journal of Multivariate analysis 76 (2), 226-248, 2001
6112001
Comparison of tail index estimators
L De Haan, L Peng
Statistica Neerlandica 52 (1), 60-70, 1998
3571998
Least absolute deviations estimation for ARCH and GARCH models
L Peng, Q Yao
Biometrika 90 (4), 967-975, 2003
2062003
A bootstrap-based method to achieve optimality in estimating the extreme-value index
G Draisma, L de Haan, L Peng, TT Pereira
Extremes 2 (4), 367-404, 1999
1781999
Asymptotically unbiased estimators for the extreme-value index
L Peng
Statistics & Probability Letters 38 (2), 107-115, 1998
1741998
On optimising the estimation of high quantiles of a probability distribution
A Ferreira*,, L de Haan*, L Peng¶
Statistics 37 (5), 401-434, 2003
1622003
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
R Wang, L Peng, J Yang
Finance and Stochastics 17 (2), 395-417, 2013
1122013
Almost sure convergence in extreme value theory
S Cheng, L Peng, Y Qi
Mathematische Nachrichten 190, 43-50, 1998
1121998
Estimation of the coefficient of tail dependence in bivariate extremes
L Peng
Statistics & Probability Letters 43 (4), 399-409, 1999
1081999
Optimality condition for selected mapping in OFDM
GT Zhou, L Peng
IEEE Transactions on Signal Processing 54 (8), 3159-3165, 2006
1072006
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
NH Chan, SJ Deng, L Peng, Z Xia
Journal of Econometrics 137 (2), 556-576, 2007
1022007
Effects of data dimension on empirical likelihood
SX Chen, L Peng, YL Qin
Biometrika 96 (3), 711-722, 2009
932009
Robust estimation of the generalized pareto distribution
L Peng, AH Welsh
Extremes 4 (1), 53-65, 2001
862001
Estimating the mean of a heavy tailed distribution
L Peng
Statistics & Probability Letters 52 (3), 255-264, 2001
832001
Empirical likelihood confidence regions for comparison distributions and ROC curves
G Claeskens, BY Jing, L Peng, W Zhou
Canadian Journal of Statistics 31 (2), 173-190, 2003
782003
Confidence intervals for the tail index
S Cheng, L Peng
Bernoulli 7 (5), 751-760, 2001
772001
Semi‐Parametric Models for the Multivariate Tail Dependence Function–the Asymptotically Dependent Case
C Klüppelberg, G Kuhn, L Peng
Scandinavian Journal of Statistics 35 (4), 701-718, 2008
732008
Semi-parametric estimation of the second order parameter in statistics of extremes
MI Gomes, L De Haan, L Peng
Extremes 5 (4), 387-414, 2002
592002
On prediction intervals based on predictive likelihood or bootstrap methods
P Hall, L Peng, N Tajvidi
Biometrika 86 (4), 871-880, 1999
581999
Threshold selection in extreme value analysis
F Caeiro, MI Gomes
Extreme value modeling and risk analysis: Methods and applications 1, 69-86, 2016
572016
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