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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

• S+FinMetrics (module)• EVIS• EVANESCE

EVIS + EVANESCE = S+FinMetrics

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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

S+Fin(A)

S+Fin(B)

ismev

extRemes

evd

fExtremes

EVIM

Xtremes

HYFRAN

EXTRMS

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