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Almost sure convergence in extreme value theory

Cheng, Shihong; Peng, Liang; Qi, Yongcheng - 1995

Persistent link: https://www.econbiz.de/10000910423

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Persistent link: https://www.econbiz.de/10000970300

The bias of the RSR estimator and the accuracy of some alternatives

Goetzmann, William N.; Peng, Liang - 2001

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Least absolute deviations estimation for ARCH and GARCH models

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Comparison of tail index estimators

Haan, Laurens de; Peng, Liang - 1995

Persistent link: https://www.econbiz.de/10000560735

The bias of the RSR estimator and the accuracy of some alternatives

Goetzmann, William N.; Peng, Liang - In: Real estate economics : journal of the American Real … 30 (2002) 1, pp. 13-39

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Empirical likelihood methods based on characteristic functions with applications to Lévy processes

Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630

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Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models

Chan, Ngai Hang; Peng, Liang; Zhang, Dabao - In: Econometric theory 27 (2011) 1, pp. 154-177

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Tail index of an AR(1) model with ARCH(1) errors

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940

Persistent link: https://www.econbiz.de/10010248321

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Persistent link: https://www.econbiz.de/10010342310