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Software For The Analysis Of Extreme Events

Software For The Analysis Of Extreme Events. Outline. Introduction Extreme Value Techniques Software Packages Implementations Future Directions Discussion. Introduction. My Software Experience Current Software Development Decisions. Extreme Value Techniques. EDA Block Maxima

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Software For The Analysis Of Extreme Events

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  1. Software For The Analysis Of Extreme Events

  2. Outline • Introduction • Extreme Value Techniques • Software Packages • Implementations • Future Directions • Discussion

  3. Introduction • My Software Experience • Current Software • Development Decisions

  4. Extreme Value Techniques • EDA • Block Maxima • Peaks Over Threshold • Domain Of Attraction Conditions • Clustering + Regression • Bivariate + Multivariate

  5. Software: S • S+FinMetrics (module) • EVIS • EVANESCE EVIS + EVANESCE = S+FinMetrics

  6. Software: R (CRAN) • ismev + extRemes • evir • evd • fExtremes • evdbayes • VaR + RandomFields

  7. Software: MATLAB • EVIM • WAFO • EXTREMES

  8. Software: Other • Xtremes (also in Xplore) • HYFRAN • Statistics of Extremes

  9. Software; Distinctions • Interface; GUI / Command Line • Environment + Language • Extreme Value Focus • Specialized / General

  10. Future Directions • Environment + Language • Licence + Documentation • Design + Development • Feedback + Maintenance • Developers

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