XTREMES: Extreme Value Analysis and Robustness

Rolf-Dieter Reiss, Sylvia Haßmann and Michael Thomas
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Rolf-Dieter Reiss: University of Siegen
Sylvia Haßmann: University of Siegen
Michael Thomas: University of Siegen

A chapter in Extreme Value Theory and Applications, 1994, pp 175-187 from Springer

Abstract: 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.

Keywords: Heavy Tail; Generalize Pareto Distribution; Hill Estimator; Residual Life Function; Pareto Model (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-3638-9_10

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DOI: 10.1007/978-1-4613-3638-9_10

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