John H. J. Einmahl

Tilburg University - Department of Econometrics & Operations Research

P.O. Box 90153

5000 LE Tilburg

Netherlands

  • Tilburg University - Department of Econometrics & Operations Research

SCHOLARLY PAPERS

45

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73

Scholarly Papers (45)

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1.

Ultimate 100M World Records through Extreme-Value Theory

CentER Discussion Paper Series No. 2009-57
Number of pages: 15 Posted: 13 Jul 2009
John H. J. Einmahl and Sander Smeets
Tilburg University - Department of Econometrics & Operations Research and affiliation not provided to SSRN
Downloads 1,119 (41,930)
Citation 2

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100m running, endpoint estimation, statistics of extremes, world record

2.

Records in Athletics Through Extreme-Value Theory

CentER Discussion Paper Series No. 2006-83
Number of pages: 17 Posted: 12 Oct 2006
John H. J. Einmahl and J.R. Magnus
Tilburg University - Department of Econometrics & Operations Research and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 707 (78,323)
Citation 3

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Endpoint estimation, exceedance probability, ranking, statistics of extremes, world record

3.

Estimation of the Marginal Expected Shortfall: The Mean When a Related Variable is Extreme

CentER Discussion Paper Series No. 2012-080
Number of pages: 28 Posted: 27 Sep 2012
Juan-Juan Cai, John H. J. Einmahl, Laurens de Haan and Chen Zhou
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 412 (152,520)
Citation 10

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asymptotic normality, extreme values, tail dependence

4.

Generalized Probability-Probability Plots

CentER Discussion Paper Series No. 2004-84
Number of pages: 19 Posted: 05 Jan 2005
Nino A. Mushkudiani and John H. J. Einmahl
Erasmus University Medical Center Rotterdam - Department of Public Health and Tilburg University - Department of Econometrics & Operations Research
Downloads 250 (260,331)

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Probability theory, limit theorems

5.

Limits to Human Life Span Through Extreme Value Theory

CentER Discussion Paper Series No. 2017-051
Number of pages: 14 Posted: 21 Dec 2017
Jesson Einmahl, John H. J. Einmahl and Laurens de Haan
Tilburg University, Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 248 (262,418)
Citation 10

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aging, endpoint, extreme value index, oldest, statistics of extremes

6.

On the Choice of Prior in Bayesian Model Averaging

CentER Working Paper No. 2011-003
Number of pages: 29 Posted: 31 May 2011 Last Revised: 26 Apr 2017
John H. J. Einmahl, Kamlesh Kumar and J.R. Magnus
Tilburg University - Department of Econometrics & Operations Research, India Development Foundation and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 223 (292,253)
Citation 4

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Model averaging, Bayesian analysis, Subbotin prior

7.

Extreme Value Theory Approach to Simultaneous Monitoring and Tresholding of Multiple Risk Indicators

CentER Discussion Paper Series No. 2006-104
Number of pages: 28 Posted: 20 Nov 2006
John H. J. Einmahl, Jun Li and Regina Y. Liu
Tilburg University - Department of Econometrics & Operations Research, University of California, Riverside (UCR) and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 201 (321,093)
Citation 1

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Extreme value theory, extreme quantile, multiple risk indicators, multivariate quantile, rare event, statistics of extremes, threshold system

8.

Goodness-of-Fit Tests in Nonparametric Regression

CentER Discussion Paper No. 2006-79
Number of pages: 23 Posted: 23 Jul 2004
John H. J. Einmahl and Ingrid van Keilegom
Tilburg University - Department of Econometrics & Operations Research and Catholic University of Louvain (UCL) - School of Statistics
Downloads 192 (334,962)
Citation 1

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Bootstrap, empirical process, goodness-of-fit, location-scale regression, model diagnostics, nonparametric regression, test for independence, weak convergence

9.

Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition

CentER Discussion Paper Series No. 2004-71
Number of pages: 35 Posted: 05 Jan 2005
John H. J. Einmahl, Laurens de Haan and Deyuan Li
Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 190 (339,954)
Citation 3

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Approximations, multivariate analysis

10.

Extreme Value Inference for Heterogeneous Power Law Data

Number of pages: 25 Posted: 19 May 2023
John H. J. Einmahl and Yi He
Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 172 (369,819)
Citation 2

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Extreme value statistics, functional central limit theorem, heterogeneous scales model, Hill estimator, non-identical distributions, weighted tail empirical process

11.

Estimation of Extreme Depth-Based Quantile Regions

CentER Discussion Paper Series No. 2014-035
Number of pages: 24 Posted: 29 May 2014
Yi He and John H. J. Einmahl
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Department of Econometrics & Operations Research
Downloads 160 (393,722)
Citation 1

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Extreme value statistics, halfspace depth, multivariate quantile, outlier detection, rare event, tail dependence

12.

General Weak Laws of Large Numbers for Bootstrap Sample Means

CentER Discussion Paper Series No. 2004-112
Number of pages: 18 Posted: 04 Jan 2005
John H. J. Einmahl and Andrew Rosalsky
Tilburg University - Department of Econometrics & Operations Research and University of Florida - Department of Statistics
Downloads 155 (404,561)

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bootstrap sample mean, weak law of large numbers, convergence in probability, almost certain convergence

13.

Statistics of Heteroscedastic Extremes

CentER Discussion Paper Series No. 2014-015
Number of pages: 25 Posted: 19 Feb 2014
John H. J. Einmahl, Laurens de Haan and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 147 (422,446)
Citation 6

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Extreme value statistics, functional limit theorems, scale

14.

A Method of Moments Estimator of Tail Dependence

CentER Discussion Paper No. 2007-80
Number of pages: 32 Posted: 29 Oct 2007
John H. J. Einmahl, Andrea Krajina and Johan Segers
Tilburg University - Department of Econometrics & Operations Research, University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 141 (436,809)

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asymptotic properties, confidence regions, goodness-of-fit test, meta-elliptical distribution, method of moments, multivariate extremes, tail dependence

15.

Extreme Value Estimation for Heterogeneous Data

Downloads 140 (439,294)
Citation 1

Extreme Value Estimation for Heterogeneous Data

Number of pages: 34 Posted: 08 Oct 2020 Last Revised: 15 Nov 2021
John H. J. Einmahl and Yi He
Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 104 (557,266)
Citation 1

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Power law; Extreme values; Heterogeneous data; Financial returns; Scales

Unified Extreme Value Estimation for Heterogeneous Data

CentER Discussion Paper Series No. 2020-025
Number of pages: 31 Posted: 08 Oct 2020
John H. J. Einmahl and Yi He
Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 36 (979,341)

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Power law, Extreme values, Heterogeneous data, COVID-19; Inequality

16.

Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas

CentER Discussion Paper Series No. 2014-041
Number of pages: 28 Posted: 03 Jul 2014 Last Revised: 04 Jul 2014
Sami Can, John H. J. Einmahl, Estate V. Khmaladze and Roger J. A. Laeven
University of Amsterdam - Faculty of Economics and Business (FEB), Tilburg University - Department of Econometrics & Operations Research, Victoria University of Wellington - Te Herenga Waka - School of Mathematical and Computing Sciences and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 126 (477,837)

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Extreme value theory, tail dependence, goodness-of-fit testing

17.

Tests for Independence in Nonparametric Regression

CentER Discussion Paper Series No. 2006-80
Number of pages: 18 Posted: 17 Sep 2006
John H. J. Einmahl and Ingrid van Keilegom
Tilburg University - Department of Econometrics & Operations Research and Catholic University of Louvain (UCL) - School of Statistics
Downloads 116 (509,191)
Citation 1

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empirical process, model diagnostics, nonparametric regression, test for independence, weak convergence

18.

Aligned Rank Statistics for Repeated Measurement Models with Orthonormal Design, Employing a Chernoff-Savage Approach

CentER Discussion Paper No. 2004-15
Number of pages: 20 Posted: 21 Sep 2004
John H. J. Einmahl, B.O. Omolo, Madan L. Puri and F.H. Ruymgaart
Tilburg University - Department of Econometrics & Operations Research, Texas Tech University - Department of Mathematics and Statistics, Indiana University Bloomington - Department of Mathematics and Texas Tech University - Department of Mathematics and Statistics
Downloads 95 (587,501)

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Aligned rank statistics, orthonormal design matrix, repeated measurements, Chernoff-Savage approach

19.

Extreme Value Inference for General Heterogeneous Data

Number of pages: 35 Posted: 07 May 2024 Last Revised: 27 Jan 2025
Yi He and John H. J. Einmahl
University of Amsterdam - Amsterdam School of Economics (ASE) and Tilburg University - Department of Econometrics & Operations Research
Downloads 93 (599,537)

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Endpoint estimation, extreme value statistics, heterogeneous data extremes, moment estimator, monozygotic twins, weighted tail empirical process

20.

Asymptotics for the Hirsch Index

CentER Discussion Paper Series No. 2007-86
Number of pages: 12 Posted: 04 Nov 2007
Jan Beirlant and John H. J. Einmahl
Catholic University of Leuven (KUL) and Tilburg University - Department of Econometrics & Operations Research
Downloads 91 (603,667)
Citation 3

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asymptotic normality; confidence interval; extreme value theory; research output; scientometrics; tail empirical process.

21.

Two-Sample Testing for Tail Copulas with an Application to Equity Indices

CentER Discussion Paper Series No. 2021-017
Number of pages: 37 Posted: 08 Jul 2021
Sami Can, John H. J. Einmahl and Roger J. A. Laeven
University of Amsterdam - Faculty of Economics and Business (FEB), Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 87 (620,582)

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Tail dependence; tail copula; two-sample testing; financial crisis; distribution-free testing; martingale transformation.

22.

A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions

CentER Discussion Paper Series No. 2016-002
Number of pages: 24 Posted: 18 Jan 2016
John H. J. Einmahl, Anna Kiriliouk and Johan Segers
Tilburg University - Department of Econometrics & Operations Research, Catholic University of Louvain (UCL) and Catholic University of Louvain (UCL)
Downloads 87 (620,582)
Citation 2

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Brown-Resnick process, extremal coeffcient, max-linear model, multivariate extremes

23.

EXTREME VALUE STATISTICS IN SEMI-SUPERVISED MODELS

CentER Discussion Paper Nr. 2021-007
Number of pages: 21 Posted: 22 Mar 2021
Hanan Ahmed, John H. J. Einmahl and Chen Zhou
Tilburg University, Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR)
Downloads 86 (625,007)

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Asymptotic normality, extreme value index, semi-supervised inference, tail dependence, variance reduction

24.

Spatial Dependence and Space-Time Trends in Extreme Events

CentER Discussion Paper Nr. 2020-009
Number of pages: 26 Posted: 17 Apr 2020
John H. J. Einmahl, Ana Ferreira, Laurens de Haan, Claudia Neves and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Reading and De Nederlandsche Bank
Downloads 86 (625,007)

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Multivariate extreme value statistics, non-identical distributions, sequential tail empirical process, testing

25.

Statistics of Extremes Under Random Censoring

CentER Discussion Paper No. 2006-62
Number of pages: 25 Posted: 31 Jul 2006
John H. J. Einmahl, Amélie Fils-Villetard and Armelle Guillou
Tilburg University - Department of Econometrics & Operations Research, University of Paris VI Pierre et Marie Curie and University of Paris VI Pierre et Marie Curie
Downloads 85 (629,460)
Citation 1

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Asymptotic normality, extreme value index, extreme quantiles, random censoring

26.

Empirical Tail Copulas for Functional Data

CentER Discussion Paper Nr. 2020-004
Number of pages: 32 Posted: 04 Mar 2020
John H. J. Einmahl and Johan Segers
Tilburg University - Department of Econometrics & Operations Research and Catholic University of Louvain (UCL)
Downloads 81 (647,453)

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extreme value statistics, functional data, tail empirical process, tail dependence, tail copula estimation, uniform asymptotic normality.

27.

Estimating Extreme Bivariate Quantile Regions

CentER Discussion Paper Series No. 2009-29
Number of pages: 22 Posted: 13 Jul 2009
John H. J. Einmahl and Laurens de Haan
Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 81 (647,453)
Citation 2

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Density contour, extreme value, level set, multivariate quantile, rare event, semiparametric estimation, tail dependence

28.

The Shorth Plot

CentER Discussion Paper No. 2008-24
Number of pages: 24 Posted: 21 Feb 2008
John H. J. Einmahl, Maria Gantner and Günther Sawitzki
Tilburg University - Department of Econometrics & Operations Research, Tilburg University - Tilburg University School of Economics and Management and Heidelberg University - StatLab Heidelberg
Downloads 81 (647,453)
Citation 1

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Data analysis, distribution diagnostics, functional central limit theorem, probability mass concentration

29.

Central Limit Theorems for Local Empirical Processes Near Boundaries of Sets

CentER Discussion Paper Series No. 2007-66
Number of pages: 23 Posted: 05 Sep 2007
John H. J. Einmahl and Estate V. Khmaladze
Tilburg University - Department of Econometrics & Operations Research and Victoria University of Wellington - Te Herenga Waka - School of Mathematical and Computing Sciences
Downloads 80 (656,917)
Citation 3

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Convex body, differentiation of sets, Gaussian behavior, local empirical

30.

An M-Estimator for Tail Dependence in Arbitrary Dimensions

CentER Discussion Paper Series No. 2011-013
Number of pages: 24 Posted: 18 Feb 2011
John H. J. Einmahl, Andrea Krajina and Johan Segers
Tilburg University - Department of Econometrics & Operations Research, University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 72 (691,704)
Citation 4

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Asymptotic Statistics, Factor Model, M-Estimation, Multivariate Extremes, Tail Dependence

31.

Bridging Centrality and Extremity: Refining Empirical Data Depth Using Extreme Value Statistics

CentER Discussion Paper Series No. 2015-020
Number of pages: 30 Posted: 25 Mar 2015
John H. J. Einmahl, Li Jun and Regina Y. Liu
Tilburg University - Department of Econometrics & Operations Research, University of California, Riverside (UCR) and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 69 (707,919)

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Depth, extremes, nonparametric classification, nonparametric multivariate SPC, tail

32.

Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula

CentER Discussion Paper No. 2010-120
Number of pages: 8 Posted: 01 Dec 2010
John H. J. Einmahl and Ramon Van den Akker
Tilburg University - Department of Econometrics & Operations Research and Tilburg University - CentER and department of Econometrics & OR
Downloads 63 (742,446)

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Copula, Estimation of Marginals, Superefficient Estimation

33.

Asymptotic Normality of Extreme Value Estimators on C[0,1]

CentER Discussion Paper No. 2003-132
Number of pages: 25 Posted: 24 Jun 2004
John H. J. Einmahl and Tao Lin
Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR) - Eurandom Program
Downloads 62 (748,612)

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Estimation, infinite dimensional systems, convergence, statistics

34.

Improved regression inference using a second overlapping regression model

CentER Discussion Paper Series Nr. 2021-029
Number of pages: 17 Posted: 02 Nov 2021
Liang Peng and John H. J. Einmahl
Georgia State University - Risk Management & Insurance Department and Tilburg University - Department of Econometrics & Operations Research
Downloads 60 (767,488)

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Cross-sectional dependence; Heteroscedasticity; Random weight bootstrap; Regression model; Variance reduction

35.

Testing the Multivariate Regular Variation Model

CentER Discussion Paper Series No. 2018-044
Number of pages: 25 Posted: 19 Nov 2018
John H. J. Einmahl, Fan Yang and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, University of Waterloo - Department of Statistics and Actuarial Science and De Nederlandsche Bank
Downloads 57 (780,630)
Citation 1

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Extreme value statistics; Hill estimator; local empirical process

36.

Estimating the Maximum Possible Earthquake Magnitude Using Extreme Value Methodology: The Groningen Case

CentER Discussion Paper Series No. 2017-050
Number of pages: 30 Posted: 21 Dec 2017
Jan Beirlant, Andrzej Kijko, Tom Reynkens and John H. J. Einmahl
Catholic University of Leuven (KUL), University of Pretoria, KU Leuven - Department of Mathematics and Tilburg University - Department of Econometrics & Operations Research
Downloads 57 (780,630)
Citation 3

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anthropogenic seismicity, endpoint estimation, extreme value

37.

Visualizing Multiple Quantile Plots

CentER Working Paper Series No. 2011-085
Number of pages: 12 Posted: 08 Aug 2011
Marko A.A. Boon, Ian W. McKeague and John H. J. Einmahl
Eindhoven University of Technology (TUE), affiliation not provided to SSRN and Tilburg University - Department of Econometrics & Operations Research
Downloads 57 (780,630)

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Confidence region, empirical likelihood, quantile plot, three-sample comparison

38.

Testing for Bivariate Spherical Symmetry

CentER Discussion Paper Series No. 2010-71
Number of pages: 19 Posted: 17 Jul 2010
John H. J. Einmahl and Maria Gantner
Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Tilburg University School of Economics and Management
Downloads 53 (808,753)

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Asymptotic distribution, distribution-free, empirical likelihood, hypothesis test, spherical symmetry

39.

An M-Estimator of Spatial Tail Dependence

CentER Discussion Paper Series No. 2014-021
Number of pages: 26 Posted: 11 Mar 2014
John H. J. Einmahl, Anna Kiriliouk, Andrea Krajina and Johan Segers
Tilburg University - Department of Econometrics & Operations Research, Catholic University of Louvain (UCL), University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 52 (816,090)
Citation 4

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Brown-Resnick process; exceedances; multivariate extremes; ranks; spatial

40.

Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas

CentER Discussion Paper Series No. 2017-052
Number of pages: 33 Posted: 21 Dec 2017
Sami Can, John H. J. Einmahl and Roger J. A. Laeven
University of Amsterdam - Faculty of Economics and Business (FEB), Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 50 (831,186)

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Khmaladze transform, copula estimation, empirical process

41.

The Half-Half Plot

CentER Discussion Paper Series No. 2009-77
Number of pages: 24 Posted: 04 Oct 2009
John H. J. Einmahl and Maria Gantner
Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Tilburg University School of Economics and Management
Downloads 46 (863,239)

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Data analysis, functional central limit theorem, graphical methods, jump detection, nonparametric regression

42.

Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

CentER Discussion Paper Series No. 2008-42
Number of pages: 35 Posted: 27 May 2008
John H. J. Einmahl and Johan Segers
Tilburg University - Department of Econometrics & Operations Research and Catholic University of Louvain (UCL)
Downloads 46 (863,239)
Citation 2

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functional central limit theorem, local empirical process, moment constraint, multivariate extremes, nonparametric maximum likelihood estimator, tail dependence

43.

Improved Estimation of the Extreme Value Index Using Related Variables

CentER Discussion Paper Series No. 2018-025
Number of pages: 16 Posted: 04 Aug 2018
Hanan Ahmed and John H. J. Einmahl
Tilburg University and Tilburg University - Department of Econometrics & Operations Research
Downloads 41 (906,997)
Citation 2

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Asymptotic Normality, Heavy Tail, Hill Estimator, Tail Dependence, Variance Reduction

44.

Cube Root Weak Convergence of Empirical Estimators of a Density Level Set

CentER Discussion Paper Series No. 2020-015
Number of pages: 24 Posted: 01 Jul 2020
Philippe Berthet and John H. J. Einmahl
Institute de Mathematique de Toulouse and Tilburg University - Department of Econometrics & Operations Research
Downloads 30 (1,017,614)

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Argmax Drifted Wiener Process, Cube Root Asymptotics, Density Level Set, Excess Mass, Local Empirical Process, Minimum Volume Set, Set-Valued Estimator

45.

Variance-Reduced Risk Inference in Semi-Supervised Settings

Number of pages: 16 Posted: 10 Jan 2025
John H. J. Einmahl and Liang Peng
Tilburg University - Department of Econometrics & Operations Research and Georgia State University
Downloads 18 (1,162,910)

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Estimating equation, Risk measure, Semi-supervised inference, Variance reduction