34 citations · 159 across the 12 of their papers we have counts for
4 papers · 1 filter
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Jinguo Gong, Yadong Li, Liang Peng +1
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value t…
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…