A modeler’s guide to extreme value software. (English) Zbl 07784959
Summary: This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (Extremes 8:87-109, 2006) and Gilleland et al. (Extremes 16(1):103-119, 2013). We provide a comparative review by topic and highlight differences in existing numerical routines, along with listing areas where software development is lacking. The online supplement contains two vignettes comparing implementations of frequentist and Bayesian estimation of univariate extreme value models.
MSC:
| 62Exx | Statistical distribution theory |
Software:
R; CODA; RobExtremes; lax; VaRES; SpatialExtremes; evir; RMetrics; graphicalExtremes; RStan; eva; extRemes; loo; gamair; evgam; copula; CRAN; CompRandFld; LMOMENTS; ReIns; CRAN Task Views; tea; mvPot; laeken; RWsearch; extremefit; INLA; extremeStat; RandomFields; extremis; evmix; ismev; copula; texmex; hkevp; ptsuite; ExtremeRisks; R-INLA; RTDE; qrmtools; evt0; POT; evd; futureheatwaves; MCMC4Extremes; ExtremalDep; fExtremes; extremogram; lmomco; egpd4gamlss; fCopulae; ercv; rstan; QRMReferences:
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