Software For The Analysis Of Extreme Events

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Software For The Analysis Of Extreme Events
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Outline

• Introduction
• Extreme Value Techniques
• Software Packages
• Implementations
• Future Directions
• Discussion

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Introduction

• My Software Experience
• Current Software
• Development Decisions

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Extreme Value Techniques

• EDA
• Block Maxima
• Peaks Over Threshold
• Domain Of Attraction Conditions
• Clustering Regression
• Bivariate Multivariate

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Software S

• SFinMetrics (module)
• EVIS
• EVANESCE
• EVIS EVANESCE SFinMetrics

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Software R (CRAN)

• ismev extRemes
• evir
• evd
• fExtremes
• evdbayes
• VaR RandomFields

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Software MATLAB

• EVIM
• WAFO
• EXTREMES

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Software Other

• Xtremes (also in Xplore)
• HYFRAN
• Statistics of Extremes

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Software Distinctions

• Interface GUI / Command Line
• Environment Language
• Extreme Value Focus
• Specialized / General

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bm pot doa pdg cst reg bbm bpot
SFin(A)
SFin(B)
ismev
extRemes
evd
fExtremes
EVIM
Xtremes
HYFRAN
EXTRMS
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Future Directions

• Environment Language
• Licence Documentation
• Design Development
• Feedback Maintenance
• Developers