Software session
Organized by Johan Segers
The theme of the session is to strive for a larger coherence in the existing
software for extremes. Ultimately, this should result in the creation of a
"European Initiative for Extreme Value Software", if possible funded by the
EU. Michael Thomas (University of Siegen) has volunteered to coordinate the
first step of setting up a web site with participating universities and a
description of the software activities. Interested parties are requested to
contact Michael
( michael@stat.math.uni-siegen.de).
The existing extreme value software still seems wanting in coherence,
completeness, and user friendliness. Most software is the result
of independent efforts by
different people; see for instance the review at the end of this
note. Typically, authors of papers write some computer code to run
a simulation study or perform a very specific data analysis. Some people
have assembled packages capable of performing a number of extreme
value procedures.
Most of the time, however, scientists seeking to
apply EVT find themselves lost in a scattered landscape of
incompatible packages each with limited
functionality. Nevertheless, the availability of
good software is a conditio sine qua non for EVT to overcome its
current status of some exotic
branch of mathematical statistics and find the recognition and
applications it deserves. Much could
be gained if the various efforts to write software would be combined
into larger, coherent units.
The EVA 2005 conference, gathering a major part of the extreme value
community, could provide
the momentum to the creation of such a larger network of writers of
extreme value software.
Specific topics are the following:
· Contents. During the last two decades, the literature on
extreme value
analysis has been growing
explosively. Which algorithms need to be a part of a fully equipped
extreme value toolkit?
· Compatibility. In an ideal world, the existing packages can be
combined and extended at will to
form larger software units. In reality however, the required
(re)programming efforts may be so
extensive that starting from scratch seems the easier option. How,
then, should packages be
written in order to facilitate extension and combination?
· Coordination. How to coordinate all the programming efforts? Open
source and freeware like the
CRAN project or through a commercial software house (S-plus,
Matlab)?
The conference's ambitions can only be realized
within a positive climate of interaction, openness of mind, and
collaboration. The traditional talk-questions conference
format will be amended in order to create such an inspiring
scientific environment. Talks with discussion. Talks on the
following subjects will be
especially welcome:
· New or improved software packages
· Reviews on existing software
· Efforts to the creation of larger software units
· Proposals to set up software writer networks
Every talk will be followed by a five-minute presentation by an
invited discussant.
Round-table discussion.
Further ideas and synergy are to be triggered
by a round-table discussion.
People will be invited to comment upon a certain statement, proposal,
or question, for instance as in
the list below. After each such intervention, the floor is open for discussion.
Topics of discussion could be the following:
· What are the opportunities to obtain funding for the development
of extreme value software?
· The homepage
of the journal Extremes should serve as a host from
where the different
packages can be downloaded. Software and data-sets pertaining to
articles in Extremes should
be available on the journal's homepage.
· Should the development of larger and user-friendly packages be
left to commercial players in
the market or should it be the scientists who take the initiative?
The session will form the basis of a review article on extreme value software,
to be submitted to Extremes. The article will primarily address practitioners
seeking for appropriate software to apply extreme value methods.
Furthermore, the suggestions and conclusions arising in the software session
will be incorporated so as to inspire and guide further efforts in this field. To
obtain maximal authority, the article will be complemented by discussions
from hopefully as many authors as possible.
The overview below is based on the list published on the homepage of
the Climate Analysis Group of the University of Reading.
· Alec Stephenson has written a number of packages in R, some of
which are original, while
others are translations into R of packages by other authors in other
languages.
· Stuart Coles is the author of the S library isvem. This library
was translated into R by Alec
Stephenson. Eric Gilleland's exTremes toolkit is a graphical
user interface for this R
version.
· Also translated into R by Alec Stephenson is Alex
McNeil's S package evis.
· Faruk Selcuk and Ramazan Gencay have have written the Matlab package evim.
· Accompanying to the book(s) by Rolf-Dieter Reiss and Michael
Thomas is the stand-alone
package Xtremes.
· Many of the data-sets and routines (in S or Fortran) accompanying
the 2004 book by Jan
Beirlant et al. are available online as well.
· The EXTREMES software package by Jerome Ecarnot et al. is
written in C++ with a Matlab GUI.
NOTE: Being not included in the list is not a token of depreciation but simply the result of obliviousness. The organizing committee would be grateful
to be made aware of other valuable EVT software contributions.