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XTREMES: Extreme Value Analysis and Robustness

In: Extreme Value Theory and Applications

Author

Listed:
  • Rolf-Dieter Reiss

    (University of Siegen)

  • Sylvia Haßmann

    (University of Siegen)

  • Michael Thomas

    (University of Siegen)

Abstract

The statistical software package XTREMES provides a graphical representation of curves such as generalized Pareto, extreme value or Cauchy-normal densities and q. f.’s. Secondly, data sets may be generated according to these densities and in non-i. i. d. models. Finally, the data may be inspected by means of parametric and nonparametric methods. The implemented estimators are kernel densities, empirical q. f. and residual life functions, Hill-, M-, Drees-Pickands- and moment- estimators. An external implementation of new estimators is possible. The performance of estimators may be inspected by means of diagrams, plots and Monte Carlo simulations of the MSE as well as the distribution. XTREMES is menu-driven, runs on IBM-compatible PC’s and comes with a user’s guide-manual.

Suggested Citation

  • Rolf-Dieter Reiss & Sylvia Haßmann & Michael Thomas, 1994. "XTREMES: Extreme Value Analysis and Robustness," Springer Books, in: Janos Galambos & James Lechner & Emil Simiu (ed.), Extreme Value Theory and Applications, pages 175-187, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-3638-9_10
    DOI: 10.1007/978-1-4613-3638-9_10
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