software for the analysis of extreme events
DESCRIPTION
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 - PowerPoint PPT PresentationTRANSCRIPT
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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