Dr. Liang Peng

[email protected]

Education:

Experience:

  • January 1, 2001 -- : Assistant professor at the School of Mathematics, Georgia Institute of Technology, Atlanta.
  • August 1, 2000 -- December 31, 2000: Visiting assistant professor at the Department of Mathematics, The Hong Kong University of Science and Technology, Hong Kong.
  • Sep. 1, 1998 -- July 31, 2000: Postdoctoral research fellow under the supervision of Professor Peter Hall at the Center for Mathematics and its Applications, Australian National University.
  • Nov. 1, 1993 -- June 25, 1998: Research assistant at Tinbergen Institute, Erasmus University Rotterdam.

Courses taught:

  • Statistics and Applications. Time: January, 2001 -- June, 2001. Place: Georgia Tech.
  • Stochastic Processes. Time: Sep. 2000 -- Dec. 2000. Place: HKUST, Hong Kong.
  • Probability Theory. Time: March 2000 -- June 2000. Place: ANU, Australia.

Research Interests:

  • Limit theorems
  • Extreme value theory and its applications
  • Boundary estimation
  • Heavy tailed and long-range dependent time series
  • Smoothed distribution and quantile estimations
  • Edgeworth expansions
  • Empirical likelihood methods

Publications:

  • [1] Shihong Cheng and Liang Peng (1995). The asymptotic distributions for sums of order statistics (II). Acta Scientiarum Naturalium, Universitatis Pekinensis , 31(3) , 255 -- 267.
  • [2] Laurens de Haan and Liang Peng (1997). Rates of convergence for bivariate extremes. Journal of Multivariate Analysis , 61(2) , 195 -- 230.
  • [3] Laurens de Haan and Liang Peng (1997). Slow convergence to normality: an Edgeworth expansion without third moment. Probability and Mathematical Statistics , 17(2) , 395 -- 406.
  • [4] Laurens de Haan and Liang Peng (1998). Comparison of tail index estimators. Statistica Neerlandica , 52(1) , 60 -- 70.
  • [5] Shihong Cheng, Liang Peng and Yongcheng Qi (1998). Almost sure convergence in extreme value theory. Math. Nachr. , 190 , 43 -- 50.
  • [6] Liang Peng (1998). Asymptotically unbiased estimators for extreme value index. Statistics & Probability Letters , 38(2) , 107 -- 115.
  • [7] Liang Peng (1998). Laws of the iterated logarithm for trimmed sum. Systems Sci. Math. Sci. , 11(1) , 39 -- 46.
  • [8] Liang Peng and Yongcheng Qi (1998). Asymptotic normality of Hill estimator in a second order submodel of regular variation. Chinese J. Contemp. Math. , 18(4) , 365 -- 372.
  • [9] Laurens de Haan and Liang Peng (1999). Exact rates of convergence to a stable law. Journal of the London Mathematical Society , 59(2) , 1134 -- 1152.
  • [10] Laurens de Haan, Liang Peng and H. Iglesias Pereira (1999). Approximation by penultimate stable laws. Probability and Mathematical Statistics , 19 , 105 -- 121.
  • [11] Peter Hall, Liang Peng and Nader Tajvidi (1999). On prediction intervals based on predictive likelihood or bootstrap methods. Biometrika , 86 , 871 -- 880.
  • [12] Liang Peng (1999). Estimation of the coefficient of asymptotic independence in bivariate extremes. Statistics & Probability Letters , 43(4) , 399 -- 409.
  • [13] Gerrit Draisma, Laurens de Haan, Liang Peng and T.T. Pereira (1999). A bootstrap-based method to achieve optimality in estimating the extreme-value index. Extremes , 2(4) , 367 -- 404.
  • [14] Shihong Cheng, Liang Peng and Yongcheng Qi (2000). Ergodic behaviour of extreme values. J. Austral. Math. Soc. (Series A) , 68 , 170 -- 180.
  • [15] Jaap Geluk and Liang Peng (2000). An adaptive optimal estimate of the tail index for MA(l) time series. Statistics & Probability Letters , 46(3) , 217 -- 227.
  • [16] Jaap Geluk and Liang Peng (2000). Second order regular variation and the domain of attraction of stable distributions. Analysis. To appear.
  • [17] Jon Danielsson, Laurens de Haan, Liang Peng and Capser G. de Vries (2000). Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of Multivariate Analysis. To appear.
  • [18] Peter Hall, Liang Peng and Qiwei Yao (2000). Moving-maximum models for extremes of time series. Journal of Statistical Planning and Inference. To appear.
  • [19] Liang Peng (2001). Semi-parametric estimation of long-range dependence index in infinite variance time series. Statistics & Probability Letters, 51(2), 101-109.
  • [20] Irene Gijbels and Liang Peng (2000). Estimation of a support curve via order statistics. Extremes. To appear.
  • [21] Peter Hall, Liang Peng and Nader Tajvidi (2000). Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data. Annals of Statistics. Under revision.
  • [22] Liang Peng (2000). Estimating the mean of a heavy tailed distribution. Statistics & Probability Letters. To appear.
  • [23] Peter Hall, Liang Peng and Christian Rau (2000). Local-likelihood tracking of fault lines and boundaries in spatial problems. JRSSB. Under revision.
  • [24] Jaap Geluk, Liang Peng and Casper G. de Vries (2000). Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series. Advances of Applied Probability. 32(4).
  • [25] Shihong Cheng and Liang Peng (2000). Confidence intervals for tail index. Bernoulli. Under revision.
  • [26] Peter Hall, Liang Peng and Qiwei Yao (2001). Prediction and nonparametric estimation for time series with heavy tails. Journal of Time Series. Revision.

Working Papers:

  • [1] A. Ferreira, Laurens de Haan and Liang Peng (1999). Adaptive estimators for the endpoint and high quantiles of a probability distribution. Statistics. Submitted.
  • [2] Liang Peng (2000). Bias-corrected estimators for monotone and concave frontier functions. Journal of Statistical Planning and Inference. Submitted.
  • [3] M. Ivette Gomes, Laurens de Haan and Liang Peng (2000). Semi-parametric estimation of the second order parameter - asymptotic and finite sample behaviour. Journal of Multivariate Analysis. Submitted.
  • [4] Liang Peng (2000). Asymptotic expansions of densities of sums of random vectors without third moment. Journal of Theoretical Probability. Submitted.
  • [5] Liang Peng and Alan Welsh (2000). Robust estimation for generalized Pareto distribution. Extremes. Submitted.
  • [6] Ming-Yen Cheng and Liang Peng (2000). Local linear estimation for a smooth distribution function. Journal of Statistical Planning and Inference. Submitted.
  • [7] Liang Peng and Qiwei Yao (2000). Nonparametric regression under infinite variance dependent errors. Annals of Statistics. Submitted.
  • [8] Shiqing Ling and Liang Peng (2000). Hill's estimator for the tail index of ARMA model. Statistica Sinica. Submitted.
  • [9] Jaap Geluk and Liang Peng (2000). Edgeworth expansion of Student t-statistic without third moment. In preparation.
  • [10] Liang Peng and Xiaohua Zhou (2000). Local linear estimation of ROC curves. In preparation.
  • [11] Mingyen Cheng and Liang Peng (2000). Local quadratic estimation of quantiles. In preparation.

Conference Visits:

  • Workshop on Statistical Modelling, Lisbon, Portugal. Time: October, 1999.
  • The 4th world congress of the Bernoulli scociety, Vienna, Austra. Time:May, 1996.
  • The 50th session of the international statistical institute, Beijing, China. Time: August, 1995.

Links:

Statistical Science Web

PKU -- Department of Prob. & Statist.

Universities in Hong Kong

EURANDOM's homepage

Journals

Funding agencies

Hosted by www.Geocities.ws

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