1 Software For The Analysis Of Extreme Events. 2 Outline Introduction Extreme Value Techniques Software Packages Implementations Future Directions Discussion.

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Presentation transcript:

1 Software For The Analysis Of Extreme Events

2 Outline Introduction Extreme Value Techniques Software Packages Implementations Future Directions Discussion

3 Introduction My Software Experience Current Software Development Decisions

4 Extreme Value Techniques EDA Block Maxima Peaks Over Threshold Domain Of Attraction Conditions Clustering + Regression Bivariate + Multivariate

5 Software: S S+FinMetrics (module) EVIS EVANESCE EVIS + EVANESCE = S+FinMetrics

6 Software: R (CRAN) ismev + extRemes evir evd fExtremes evdbayes VaR + RandomFields

7 Software: MATLAB EVIM WAFO EXTREMES

8 Software: Other Xtremes (also in Xplore) HYFRAN Statistics of Extremes

9

10

11

12

13 Software; Distinctions Interface; GUI / Command Line Environment + Language Extreme Value Focus Specialized / General

14 bmpotdoapdgcstregbbmbpot S+Fin(A) S+Fin(B) ismev extRemes evd fExtremes EVIM Xtremes HYFRAN EXTRMS

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

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