A modeler's guide to extreme value software

A modeler's guide to extreme value software

This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (2006) and Gilleland et al. (2013), here with a focus on numerical challenges. We provide a comparative review by topic and highlight differences in e...

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Hauptverfasser: Belzile, Léo R, Dutang, Christophe, Northrop, Paul J, Opitz, Thomas
Format: Artikel
Sprache:eng
Schlagworte:
Statistics - Computation
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Beschreibung
Zusammenfassung:This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (2006) and Gilleland et al. (2013), here with a focus on numerical challenges. We provide a comparative review by topic and highlight differences in existing routines, along with listing areas where software development is lacking. The online supplement contains two vignettes providing a comparison of implementations of frequentist and Bayesian estimation of univariate extreme value models.
DOI:10.48550/arxiv.2205.07714