Liang Peng

Georgia Institute of Technology

Atlanta, GA 30332

United States

SCHOLARLY PAPERS

4

DOWNLOADS

102

SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

Pitfalls in Using Weibull Tailed Distributions

Journal of Statistical Planning and Inference, 2010, Volume 140, Issue 7, p.2018- 2024
Number of pages: 11 Posted: 11 Sep 2013
Cass Business School, City, University of London, Fudan University and Georgia Institute of Technology
Downloads 44 (479,588)

Abstract:

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Asymptotic Mean Squared Error, Extreme Tail Probability, High Quantile, Regular Variation, Weibull Tail Coefficient

2.

Reduce Computation in Profile Empirical Likelihood Method

Number of pages: 38 Posted: 27 Apr 2013
Minqiang Li, Liang Peng and Yongcheng Qi
Bloomberg LP, Georgia Institute of Technology and University of Minnesota - Duluth
Downloads 41 (492,813)

Abstract:

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profile empirical likelihood, estimating equation, Jackknife

3.

Prediction and Nonparametric Estimation for Time Series with Heavy Tails

Number of pages: 19 Posted: 23 Mar 2003
Peter Hall, Liang Peng and Qiwei Yao
Australian National University (ANU) - Department of Mathematics, Georgia Institute of Technology and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 17 (629,845)
Citation 1
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ARMA model, conditional median, heavy tail, least absolute deviation estimation, local-linear regression, prediction, regular variation, p-mixing, stable distribution, strong mixing, time series analysis

4.

Unified Interval Estimation for Random Coefficient Autoregressive Models

Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 282-297, 2014
Number of pages: 16 Posted: 16 Apr 2014
Jonathan B. Hill and Liang Peng
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Georgia Institute of Technology
Downloads 0 (774,326)
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Abstract:

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Empirical likelihood method, random coefficient autoregression, weighted estimation