J.H.J. Einmahl

A Moment Estimator for the Index of an Extreme-Value Distribution

Arnold Dekkers, J.H.J. Einmahl, Laurens de Haan · The Annals of Statistics · 1989 · 695 citations · Full text

Extreme Value Theory, Density Estimation, Engineering +10

Nonparametric estimation of the spectral measure of an extreme value distribution

J.H.J. Einmahl, V. I. Piterbarg, Laurens de Haan · The Annals of Statistics · 2001 · 113 citations · Full text

Spectral Theory, Engineering, Spectrum Estimation +17

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

Juan‐Juan Cai, J.H.J. Einmahl, Laurens de Haan et al. · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2014 · 106 citations

Empirical Finance, Mathematical Statistic, Marginal Expected Shortfall +16

Generalized Quantile Processes

J.H.J. Einmahl, David M. Mason · The Annals of Statistics · 1992 · 100 citations · Full text

Engineering, Gaussian Process, Multivariate Quantiles +9

Statistics of Heteroscedastic Extremes

J.H.J. Einmahl, Laurens de Haan, Chen Zhou · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2014 · 87 citations · Full text

Heteroscedastic Extremes, Volatility Modeling, Engineering +13