34 citations · 159 across the 12 of their papers we have counts for
7 papers · 1 filter
Inference for a Special Bilinear Time Series Model
Shiqing Ling, Liang Peng, Fukang Zhu
It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do infer…
Tests for covariance matrix with fixed or divergent dimension
Rongmao Zhang, Liang Peng, Ruodu Wang
Testing covariance structure is of importance in many areas of statistical analysis, such as microarray analysis and signal processing. Conventional tests for finite-dimensional co…
Weighted estimation of the dependence function for an extreme-value distribution
Liang Peng, Linyi Qian, Jingping Yang
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, s…
Parameter estimation and model testing for Markov processes via conditional characteristic functions
Song X. Chen, Liang Peng, Cindy L. Yu
Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic…
Reducing variance in univariate smoothing
Ming-Yen Cheng, Liang Peng, Jyh-Shyang Wu
A variance reduction technique in nonparametric smoothing is proposed: at each point of estimation, form a linear combination of a preliminary estimator evaluated at nearby points…
Confidence regions for high quantiles of a heavy tailed distribution
Liang Peng, Yongcheng Qi
Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three…