13 citations · 63 across the 22 of their papers we have counts for
5 papers · 1 filter
Expectile-based conditional tail moments with covariates
Qian Xiong, Zuoxiang Peng
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered ris…
Modelling multivariate extreme value distributions via Markov trees
Shuang Hu, Zuoxiang Peng, Johan Segers
Multivariate extreme value distributions are a common choice for modelling multivariate extremes. In high dimensions, however, the construction of flexible and parsimonious models…
Dynamic Bivariate Normal Copula
Xin Liao, Liang Peng, Zuoxiang Peng +1
Normal copula with a correlation coefficient between and is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficien…
Asymptotics and statistical inferences on independent and non-identically distributed bivariate Gaussian triangular arrays
Xin Liao, Zuoxiang Peng
In this paper, we establish the first and the second-order asymptotics of distributions of normalized maxima of independent and non-identically distributed bivariate Gaussian trian…
Rates of convergence of extremes from skew normal samples
Xin Liao, Zuoxiang Peng, Saralees Nadarajah +1
For a skew normal random sequence, convergence rates of the distribution of its partial maximum to the Gumbel extreme value distribution are derived. The asymptotic expansion of th…