A modeler's guide to extreme value software

Abstract

This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (2006) and Gilleland et al. (2013), here with a focus on numerical challenges. We provide a comparative review by topic and highlight differences in existing routines, along with listing areas where software development is lacking. The online supplement contains two vignettes providing a comparison of implementations of frequentist and Bayesian estimation of univariate extreme value models.

35 pages, 2 figures

References in corpus (5)

• Statistical Modeling of Spatial Extremes
• A hierarchical max-stable spatial model for extreme precipitation
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution
• Statistics of extremes by oracle estimation
• Discussion of "Statistical Modeling of Spatial Extremes" by A. C. Davison, S. A. Padoan and M. Ribatet

Cited by in corpus (1)

• covXtreme : MATLAB software for non-stationary penalised piecewise constant marginal and conditional extreme value models