A modeler's guide to extreme value software

05/16/2022

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by   Léo R. Belzile, et al.

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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.