Extremes.jl: Extreme Value Analysis in Julia
The Extremes.jl package provides exhaustive, high-performance functions by leveraging the multiple-dispatch capabilities in Julia for the analysis of extreme values. In particular, the package implements statistical models for both block maxima and peaks-over-threshold methods, along with several m...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2024-06-01
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| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4786 |
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| _version_ | 1846101724721315840 |
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| author | Jonathan Jalbert Marilou Farmer Gabriel Gobeil Philippe Roy |
| author_facet | Jonathan Jalbert Marilou Farmer Gabriel Gobeil Philippe Roy |
| author_sort | Jonathan Jalbert |
| collection | DOAJ |
| description |
The Extremes.jl package provides exhaustive, high-performance functions by leveraging the multiple-dispatch capabilities in Julia for the analysis of extreme values. In particular, the package implements statistical models for both block maxima and peaks-over-threshold methods, along with several methods for the generalized extreme value and generalized Pareto distributions used in extreme value theory. Additionally, the package offers various parameter estimation methods, such as probability-weighted moments, maximum likelihood, and Bayesian estimation. It also includes tools for handling dependence in excesses over a threshold and methods for managing nonstationary models. Inference for extreme quantiles is available for both stationary and nonstationary models, along with diagnostic figures to assess the goodness of fit of the model to the data.
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| format | Article |
| id | doaj-art-c550efaca2ab46af9b71138ce0672c42 |
| institution | Kabale University |
| issn | 1548-7660 |
| language | English |
| publishDate | 2024-06-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj-art-c550efaca2ab46af9b71138ce0672c422024-12-29T00:12:43ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602024-06-01109110.18637/jss.v109.i06Extremes.jl: Extreme Value Analysis in JuliaJonathan Jalbert0Marilou Farmer1Gabriel Gobeil2Philippe Roy3Polytechnique MontréalPolytechnique MontréalPolytechnique MontréalInstitut de Recherche d'Hydro-Québec The Extremes.jl package provides exhaustive, high-performance functions by leveraging the multiple-dispatch capabilities in Julia for the analysis of extreme values. In particular, the package implements statistical models for both block maxima and peaks-over-threshold methods, along with several methods for the generalized extreme value and generalized Pareto distributions used in extreme value theory. Additionally, the package offers various parameter estimation methods, such as probability-weighted moments, maximum likelihood, and Bayesian estimation. It also includes tools for handling dependence in excesses over a threshold and methods for managing nonstationary models. Inference for extreme quantiles is available for both stationary and nonstationary models, along with diagnostic figures to assess the goodness of fit of the model to the data. https://www.jstatsoft.org/index.php/jss/article/view/4786 |
| spellingShingle | Jonathan Jalbert Marilou Farmer Gabriel Gobeil Philippe Roy Extremes.jl: Extreme Value Analysis in Julia Journal of Statistical Software |
| title | Extremes.jl: Extreme Value Analysis in Julia |
| title_full | Extremes.jl: Extreme Value Analysis in Julia |
| title_fullStr | Extremes.jl: Extreme Value Analysis in Julia |
| title_full_unstemmed | Extremes.jl: Extreme Value Analysis in Julia |
| title_short | Extremes.jl: Extreme Value Analysis in Julia |
| title_sort | extremes jl extreme value analysis in julia |
| url | https://www.jstatsoft.org/index.php/jss/article/view/4786 |
| work_keys_str_mv | AT jonathanjalbert extremesjlextremevalueanalysisinjulia AT mariloufarmer extremesjlextremevalueanalysisinjulia AT gabrielgobeil extremesjlextremevalueanalysisinjulia AT philipperoy extremesjlextremevalueanalysisinjulia |