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Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood… (More)

- Yongcheng Qi
- 2003

Let {X; Xn; n¿ 1} be a sequence of independent and identically distributed positive random variables and set Sn = ∑n j=1 Xj for n¿ 1. This paper proves that properly normalized products of the… (More)

- Liang Peng, Yongcheng Qi
- 2006

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 methods, namely,… (More)

- LIKELIHOOD METHOD, Minqiang Li, Liang Peng, Yongcheng Qi
- 2011

Bloomberg LP, Georgia Institute of Technology and University of Minnesota Duluth Since its introduction by Owen in [29, 30], the empirical likelihood method has been extensively investigated and… (More)

- Yun Gong, Liang Peng, Yongcheng Qi
- J. Multivariate Analysis
- 2010

In this paper we propose a smoothed jackknife empirical likelihood method to construct confidence intervals for the receiver operating characteristic (ROC) curve. By applying the standard empirical… (More)

- Deli Li, Yongcheng Qi, Andrew Rosalsky
- J. Multivariate Analysis
- 2012

Let {X,Xk,i; i ≥ 1, k ≥ 1} be a double array of nondegenerate i.i.d. random variables and let {pn; n ≥ 1} be a sequence of positive integers such that n/pn is bounded away from 0 and ∞. This work is… (More)

In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Fréchet copulas. The coordinates of a random vector distributed as one of… (More)

- Han-Ying Liang, Deli Li, Yongcheng Qi
- J. Multivariate Analysis
- 2009

AMS 2000 subject classifications: primary 62G07 secondary 62G20 a b s t r a c t In this paper we derive rates of uniform strong convergence for the kernel estimator of the regression function in a… (More)

There is a long history of testing the equality of two multivariate means. A popular test is the Hotelling T , but in large dimensions it performs poorly due to the possible inconsistency of sample… (More)

- Liang Peng, Yongcheng Qi
- 2003

We suggest censored maximum likelihood estimators for the first and second order parameters of a heavy tailed distribution by incorporating the second order regular variation into the censored… (More)