A modeler's guide to extreme value software
L\'eo R. Belzile, Christophe Dutang, Paul J. Northrop, Thomas, Opitz
TL;DR
This paper reviews recent software tools for extreme value analysis, comparing their features and highlighting gaps, with practical examples of frequentist and Bayesian estimation methods.
Contribution
It provides a comprehensive comparison of existing extreme value software and identifies areas needing further development.
Findings
Highlights differences in software routines
Identifies gaps in current software implementations
Includes practical vignettes for estimation methods
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.
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Taxonomy
TopicsInsurance, Mortality, Demography, Risk Management · Firm Innovation and Growth · Monetary Policy and Economic Impact