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A modeler's guide to extreme value software

Belzile, Léo R; Dutang, Christophe; Northrop, Paul J; Opitz, Thomas; (2023) A modeler's guide to extreme value software. Extremes , 26 pp. 595-638. 10.1007/s10687-023-00475-9. Green open access

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Abstract

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.

Type: Article
Title: A modeler's guide to extreme value software
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s10687-023-00475-9
Publisher version: https://doi.org/10.1007/s10687-023-00475-9
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Extreme values, Software, Threshold selection, R programming language
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10172968
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