A modeler's guide to extreme value software
Computation
2022-05-17 v1
Abstract
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.
Cite
@article{arxiv.2205.07714,
title = {A modeler's guide to extreme value software},
author = {Léo R. Belzile and Christophe Dutang and Paul J. Northrop and Thomas Opitz},
journal= {arXiv preprint arXiv:2205.07714},
year = {2022}
}
Comments
35 pages, 2 figures