The EXTREMES software

The EXTREMES software gathers different tools dedicated to extreme values study. More precisely, it focuses on extreme quantiles estimation and model selection for distribution tails. It is written in C++ with a graphical user interface developped with MATLAB. This solution matches rapid execution and user-friendliness. Avaible functions can be grouped in three classes:

1) Usual statistical functions.

These functions are not dedicated to extreme value study: sample simulation, ploting distribution related functions, parameter estimation, non parametric estimation of density, parametric estimation of quantiles, Anderson-Darling or Cramer-von Mises test.

2) Usual functions for extreme value analysis.

These are well known functions for estimation and test in extreme value analysis context.

3) New procedures

When one wants to know the data distribution both in central (most likely) and extremal ranges, an usual model can be looked for. Central fit is checked by usual tests like Anderson-Darling or Cramer-von Mises. Then the GPD (or ET) test allows to check extremal fit of these models. If no distribution is accepted both by central and extremal tests, the bayesian regularisation procedure can improve the extremal fit of a central adapted model.

[1] Diebolt, J., Ecarnot, J., Garrido, M., Girard, S., Lagrange, D. (2003) Le logiciel Extremes, un outil pour l'étude des queues de distribution, La revue de Modulad, 30, 53-60.