A software review for extreme value analysis. (English) Zbl 1329.62027
Summary: Extreme value methodology is being increasingly used by practitioners from a wide range of fields. The importance of accurately modeling extreme events has intensified, particularly in environmental science where such events can be seen as a barometer for climate change. These analyses require tools that must be simple to use, but must also implement complex statistical models and produce resulting inferences. This document presents a review of the software that is currently available to scientists for the statistical modeling of extreme events. We discuss all software known to the authors, both proprietary and open source, targeting different data types and application areas. It is our intention that this article will simplify the process of understanding the available software, and will help promote the methodology to an expansive set of scientific disciplines.
MSC:
| 62-04 | Software, source code, etc. for problems pertaining to statistics |
| 60G70 | Extreme value theory; extremal stochastic processes |
| 62G32 | Statistics of extreme values; tail inference |
Software:
copula; VGAM; texmex; lmomco; LMOMENTS; copula; RMetrics; evd; POT; SpatialExtremes; evir; WAFO; EVIM; R; TestEVC1d; ismev; fExtremes; evdbayesReferences:
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