# Extreme Value Analysis Software for Weather and Climate

- About
- What is EVA?
- Getting Started
- Tutorials
- Short Courses
- References
- Updates
- FAQ
- News
- Links
- Acknowledgments

` extRemes` (version >= 2.0) and

**in2extRemes**^{1}are R packages for statistically analyzing extreme values of a data set.

`is a point-and-click software tool that operates many of the command-line functions from the`

**in2extRemes**`(version >= 2.0) package.`

**extRemes**^{2}

Please register for these packages, if you have not already. Although not required to use the package, it is vital for us to track general usage.

Once you have registered, you may sign up to receive email updates about ` extRemes` and

`.`

**in2extRemes**Questions about ` extRemes` and

`can be sent to Eric Gilleland, but please register first!`

**in2extRemes**You may also want to join the User Group for extRemes. No need to register to join, but you will need an account on facebook (I think). The user group is intended for users to discuss issues about EVA and/or extRemes/in2extRemes with each other. Issues regarding bugs, etc., should still be sent to the maintainer (currently, Eric Gilleland).

CRAN landing pages for extRemes and in2extRemes.

^{1}These software packages were funded by the National Science Foundation (NSF) through the NCAR Weather and Climate Impact Assessment Science Initiative with additional support from the NCAR Geophysical Statistics Project (GSP).

^{2} Originally, ` extRemes` (versions < 2.0) was (primarily) point-and-click software running functions from the R package,

`. The new package,`

**ismev**`, now takes on the point-and-click role, and`

**in2extRemes**`has only command-line functions. The package`

**extRemes**`is still available on CRAN.`

**ismev**Extreme value analysis (EVA) is used primarily to quantify the stochastic behavior of a process at unusually large (or small) values. Particularly, such analyses usually req uire estimation of the probability of events that are more extreme than any previously observed. Many fields use EVA including: meteorology, hydrology, finance and ocean wave m odeling to name just a few.

Many statistical analyses concern sums or averages of random variables, and often rely upon limiting results such as the Central Limit Theorem to justify use of the normal ( or bell-shaped) distribution. When interest is in extremes, the bulk of the data may be misleading, and the normal distribution is not appropriate. A similar theorem to the Cen tral Limit Theorem, the Extremal Types Theorem, provides justification for using a family of distributions (in the univariate setting, similar results hold for multivariate ana lysis) known as the generalized extreme value (GEV) distribution. This, or analagous results for threshold excesses, are often the focus of EVA.

For more about EVA, see Rick Katz's page on extremes

- Installation
- Quick Start Guide

### Installation

To install R, please visit The R Project for Statistical Computing for instructions. If you are intending to use the point-and-click software package

, it relies on the Tcl/Tk tools, so be sure to install R with those tools (generally not the default!). They are not needed for**in2extRemes**version >= 2.0. Note also that for Mac users, the X Quartz package must be installed.**extRemes**Once R has been installed, open an R session. To install

`in2extRemes`, type:**install.packages("in2extRemes")**The above command will install

automatically, as well as other required packages. To install only**extRemes**, type:**extRemes****install.packages("extRemes")**Installation need be done only once, but you can make sure you have the most recent version of your packages by typing

at any time (after installing them) from your R prompt.**update.packages()**Once installed, the packages must be loaded into your R session (every time) in order to use them. To load

, type:**in2extRemes****library(in2extRemes)**The above command will automatically load

and all other required packages. If you are only using**extRemes**, then load using**extRemes**.**library(extRemes)**To begin using the

window interface, type:**in2extRemes****in2extRemes()**### Quick Start Guide

#### extRemes

`library(extRemes)`

data(Fort)

names(Fort)

bmFort <- blockmaxxer(Fort, blocks = Fort$year, which="Prec")

names(bmFort)

plot(Fort$year, Fort$Prec, xlab = "Year",

ylab = "Precipitation (inches)",

cex = 1.25, cex.lab = 1.25,

col = "darkblue", bg = "lightblue", pch = 21)

points(bmFort$year, bmFort$Prec, col="darkred", cex=1.5)

# Fit a GEV distribution to annual maximum Precipitation

# in Fort Collins, Colorado, U.S.A.

fitGEV <- fevd(Prec, data = bmFort)

fitGEV

plot(fitGEV)

plot(fitGEV, "trace")

# Select a threshold for daily data from above.

threshrange.plot(Fort$Prec, c(0.1, 2), type = "PP")

# Fit the PP model to the daily data from above.

fitPP <- fevd(Prec, data = Fort, threshold = 0.395,

type = "PP", units = "inches")

fitPP

plot(fitPP)

atdf(Fort$Prec, 0.395)

extremalindex(Fort$Prec, 0.395, blocks=Fort$year)

dcFort <- decluster(Fort$Prec, 0.395, r = 9)

plot(dcFort)

#### in2extRemes

`library(in2extRemes)`

data(Fort)

FortCollinsPrecip <- as.in2extRemesDataObject(Fort)

# Open the main GUI dialog.

in2extRemes()

Select

**File > Block Maxima**Select

`FortCollinsPrecip`from**Data Object**Select

`Prec`from**Find block maxima of ...**Select

`year`from**Blocks**Type

`bmFtPrec`in**Save As (in R)**field, and click**OK**.Fit the GEV to the annual maximum precipitation (inches) in Fort Collins, Colorado, U.S.A.

Select

**Analyze > Extreme Value Distributions**Select

`bmFtPrec`from**Data Object**Select

`Prec`from**Response**Select

`Generalized Extreme Value (GEV)`from**Model Type**Check

**Plot diagnostics**checkboxType

`inches`in**Response Units**field, and click**OK**

### Short Courses

9th International Extreme Value Analysis Conference Satellite Workshop on Statistical Computing for Extremes, 14 June 2015, Ann Arbor, Michigan. (Univariate part: Presentation slides, pdf, Practice Problems, pdf)

**Gilleland E**. Short course: An introduction to the analysis of extreme values using R and extRemes. Graybill VIII/6th International Conference on Extreme Value Analysis. Colorado State University, Fort Collins, Colorado. 22-26 June 2009.

**Gilleland E**. Intense course for young researchers on R Statistical software for climate research with an introduction to extreme value analysis, Interdisciplinary Workshop: Effects of climate change: coastal systems, policy implications, and the role of statistics Workshop. 16-20 March 2009, Preluna Hotel and
Spa, Sliema, Malta.

**Katz RW**, 2009: "Problem application: Exercise session on analyses of extremes." American Meteorological Society Short Course on Statistics of Extreme Events, Phoenix, AZ. (pdf lecture notes)

**Katz RW**, 2008: "Background on extreme value theory with emphasis on climate applications." Short Course on Statistics of Extremes in Climate Change, Michigan State University. (pdf lecture notes)

**Katz RW**, 2008: "Application of extreme value theory to climate change." Short Course on Statistics of Extremes in Climate Change, Michigan State University. (pdf lecture notes)

## Citing R and R software packages

You can see how to cite the R programming language in a paper or presentation using the following command in your R session:

**citation()**

Similarly, to cite ` extRemes`, use:

**citation("extRemes")**And, to cite ` in2extRemes`, use:

**citation("in2extRemes")**## Publications/Presentations about, or making use of, **extRemes** (all versions) and **in2extremes**

About **extRemes**

**in2extremes**

`and`

**extRemes**

**in2extRemes**Weather and Climate

Other research areas

#### About **extRemes** (all versions) and **in2extRemes**.

**extRemes**

**in2extRemes**

Gilleland, E. and R. W. Katz, 2006: Analyzing seasonal to interannual extreme weather and climate variability with the extremes toolkit (extRemes), 18th Conference on Climate Variability and Change, 86th American Meteorological Society (AMS) Annual Meeting, 29 January - 2 February, 2006, Atlanta, Georgia. P2.15 (pdf).

Gilleland, E. and R.W. Katz, 2011: New Software to analyze how extremes change over time, Eos, **92** (2), 11 January 2011, 13 - 14.

Gilleland, E., M. Ribatet and A. G. Stephenson, 2013: A software review for extreme value analysis. Extremes, 16 (1), 103 - 119, DOI: 10.1007/s10687-012-0155-0 (available online at http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s10687-012-0155-0).

Stephenson, A. G. and E. Gilleland, 2006: Software for the Analysis of Extreme Events: The Current State and Future Directions, Extremes 8, 87 - 109.

#### Weather and Climate Applications

Abeysirigunawardena, D. S., E. Gilleland, D. Bronaugh, 2009: Extreme wind regime responses to climate variability and change in the inner-south-coast of British Columbia Canada. *Atmosphere-Ocean*, **47**, (1), 41 - 61.

Bodini, A. and Q. A. Cossu, 2008: Analysis of precipitation trends during 2nd half of the 20th century in an area of Sardinia (Italy) at high hydrogeological risk. *CNR-IMATI Technical Report* 08.11. Available at http://www.mi.imati.cnr.it/iami/papers/08-11.pdf

de Oliveira, M. M. F., N. F. F. Ebecken, J. L. F. de Oliveira and E. Gilleland, 2010: Generalized extreme wind speed distributions in South America over the Atlantic O
cean region. *Theor. Appl. Climatol.*, **104**, (3 - 4), 377 - 385, doi:10.1007/s00704-010-0350-3.

Guttorp, P. and Xu J., 2010: Climate change, trends in extremes, and model assessment for a long temperature time series from Sweden. *Environmetrics*, **22**, (3), 456 - 463, doi:10.1002/env.1099.

Heaton, M. J., M. Katzfuss, S. Ramachandar, K. Pedings, E. Gilleland, E. Mannshardt-Shamseldin, and R. L. Smith, 2010: Spatio-temporal models for large-scale indicators of extreme weather. *Environmetrics*, **22**, 294 - 303, doi:10.1002/env.1050.

Helminen, J., A. Venäläinen and A. Vajda, 2005. The occurence of extreme precipitation values in Finland during summer (May-September). 4th Conference on Extreme Value Analysis: Probabilistic and Statistical Models and their Applications, 15 - 19 August, 2005, Gothenburg, Sweden (pdf).

Katz, R. W., G. S. Brush, and M. B. Parlange, 2004: Statistics of extremes: Modeling ecological disturbances. *Ecology*, **86**, 1124 - 1134 (pdf).

Lu, J., 2007: Local effects of global warming. Masters Thesis, Dept. of Mathematics and Statistics, Texas Tech University, Clyde F. Martin, Committee Chair. Selected as Women's Studies Best Graduate Student Paper.

Mares, C., I. Mares, and A. Stanciu, 2009: Extreme value analysis in the Danube lower basin discharge time series in the twentieth century. *Theor. Appl. Climatol.*, **95**, 223 - 233, doi:10.1007/s00704-008-0001-0.

Pirazzoli, P. A. and A. Tomasin, 2007: Estimation of return periods for extreme sea levels: a simplified empirical correction of the joint probabilities method with examples from the French Atlantic coast and three ports in the southwest of the UK. *Ocean Dynamics*, **57**, 91 - 107.

Pirazzoli, P. A., A. Tomasin, and A. Ullmann, 2006: Extreme sea levels in two northern Mediterranean areas. *J. Mediterranean Geography*, **108**, 59 - 68. Available at: http://mediterranee.revues.org/170

Sanabria, L. A. and R. P. Cechet, 2007: A statistical model of severe winds. *Geoscience Australia Record* 2007/12. Available at: http://www.ga.gov.au/image_cache/GA10911.pdf

Schleip, C., D. P. Ankerst, A. B&oouml;ck, N. Estrella, and A. Menzel, 2012: Comprehensive methodological analysis of long-term changes in phenological extremes in Germany. *Global Change Biology*, **18**, 2349 - 2364, doi:10.1111/j.1365-2486.2012.02701.x.

Unkašević, M. and I. Tošić, 2009: Changes in extreme daily winter and summer temperatures in Belgrade. *Theor. Appl. Climatol.*, **95**, 27 - 38, doi:10.1007/s00704-007-0364-7.

Venäläinen, A., K. Jylhä, T. Kilpeläinen, S. Saku, H. Tuomenvirta, A. Vajda, and K. Ruosteenoja, 2009: Recurrence of heavy precipitation, dry spells and deep snow cover in Finland based on observations. *Boreal Environment Research*, **14**, 166 - 172.

Walter, M. D., 2008: Application of the Statistical Theory of Extreme Values to Heat Waves. Significant Opportunities in Atmospheric Research and Science (SOARS) Program. (pdf)

Wise, E. K., 2009: Climate-based sensitivity of air quality to climate change scenarios for the southwestern United States. *Int. J. Climatol.*, **29**, 87 - 97, doi:10.1002/joc.1713.

Wolters, D., 2007: A method to investigate the time evolution of the probability distribution of high temperature extremes in The Netherlands, applied to the extremes in the period of May 2006-April 2007. MSc study project, Wageningen University, supervisors: dr. Leo Kroon and drs. Paul Torfs. (pdf)

#### Other research areas

de Alba, E., J. Zúñiga, and M. A. Ramírez Corzo, 2008. Measurement and transfer of catastrophic risks: A simulation analysis. *Institute of Insurance and Pension Research (IIPR) Report* 2008-03.

Denny, M. W., 2008. Limits to running speed in dogs, horses and humans. *J. Experim. Biol.*, **211**, 3836 - 3849, doi:10.1242/jeb.024968.

Fujita, M., 2007. Separation and Airspace Safety Panel (SASP) meeting of the working group of the whole. *Twelfth meeting of the International Civil Aviation Organization*, Santiago, Chile, 5-16 November 2007 (pdf)

OBrien, E. J., A. Bordallo-Ruiz and B. Enright, 2014. Lifetime maximum load effects on short-span bridges subject to growing traffic volumes. *Structural Safety*, **50**, 113 - 122, DOI: 10.1016/j.strusafe.2014.05.005

Saito, S., S. Aburatani, and K. Horimoto, 2008. Network evaluation from the consistency of the graph structure with the measured data. *BMC Systems Biology*, **2:84**, 14 pp., doi:10.1186/1752-0509-2-84 (pdf)

### Updates

**Version 2.0-9 (not yet submitted to CRAN)**: A user-found bug in the summary function to `fevd` under the Bayesian setting that caused the function to error out has been fixed.

**Version 2.0-8**: A bug in the MRL plot code was found by a user in the calculation of the confidence intervals, and this problem has been fixed. Another user-found bug involved the GMLE profile likelihood that did not utilize the penalty term for the GMLE, thereby giving erroneous values. This problem has also been fixed.

Some user suggestions have been incorporated, including: (i) fevd plot function now invisibly returns the values plotted provided the type argument is not "primary" (i.e., the default); (ii) the fevd plot function (and threshrange.plot) will now return the par arguments back to what they were before the function was called; (iii) a bug in the qq2 type of plot was found and fixed; and (iv) ellipses are now passed to the ci function in the threshrange.plot function so that other ci methods can be used.

The version also contains the new citation information for the package.

**Version 2.0-7**: A new heat wave magnitude index function (`hwmid`) has been added; as supplied by Simone Russo. It calculates the index described in the recently published paper: Russo, S., J. Sillmann, E. Fischer, 2015. Top ten European heatwaves since 1950 and their occurrence in the coming decades. Environmental Research Letters, 10, 124003, doi:10.1088/1748- 9326/10/12/124003.

**Version 2.0-6**: The print method for the `ci` function was printing incorrect information for the normal approximation of stationary models for the parameters when only one parameter's CI's are estimated. Additionally, the initial values to the profile likelihood function (`profliker`) were not generally optimal making it difficult to get good profile likelihoods (and subsequently CIs). These bugs have been fixed.

**Version 2.0-5**: A couple of users found two different bugs in `fevd` when using the GMLE method option (primarily for models with parameters that vary). Essentially, the old code should work fine for models whose parameters do not vary, though it was strictly incorrect. This version fixes that problem, and extends the Martins and Stedinger GMLE framework to that in, e.g., El Adlouni et al. (2007, WRR, 43: W03410, doi: 10.1029/2005WR004545). Also, a typo in the `fevd` help file concerning the `time.units` argument has been fixed. It used to say that it would take plural names, such as "minutes", when in fact, it wants them to be singular, e.g. "minute".

**Version 2.0-4**: The function `pevd` erroneously converted the scale parameter to that of the GP, then switched the `type` argument to "GEV" instead of "GP." Now, it no longer converts the scale parameter, but still switches the `type` argument to "GEV" in order to assume that that is what was intended by the user.

A function, written by Simone Russo, called `hwmi` is introduced, which calculates the "Heat Wave Magnitude Index."

A function called `abba`, written by Alec Stephenson, is introduced. It is an experimental function that implements the MCMC methodology for fitting spatial extreme value models as proposed in Stephenson et al. (2015, *J. Appl. Meteorol. and Climatol.*, in press).

**Version 2.0-3**: Minor bug introduced from previous version fixed.

**Version 2.0-2**: A user-reported bug in `qevd` was found whereby the `lower.tail` argument was backwards for the POT models (it was correct for the BM models). This bug has been fixed. Additionally, another user-reported mis-communication from the `fevd` help file concerning the "GMLE" optimization method has been corrected.

### FAQ

Below are frequently asked questions from ` extRemes` (versions < 2.0) that are still applicable, and anticipated frequently to-be-asked questions for

`version >= 2.0. Additional FAQ's for`

**extRemes**`will be added as they come in.`

**extRemes****Q: What is the difference between extRemes and in2extRemes?**

A: The former has command-line only code that includes considerably more functionality, while the latter is easy-to-use point-and-click software that operates some of the functions of

`. One need not know much about R to operate`

**extRemes**`.`

**in2extRemes****Q: What about ismev? Can I still use it? How does it differ from extRemes?**

A: The package

`is still available. It has command-line only code for doing EVA, and is associated with the text by Coles. The primary difference between those functions and the ones in`

**ismev**`is that`

**extRemes**`functions use matrices for adding covariates into parameter estimates whereas`

**ismev**`employs formulas (similar to`

**extRemes**`gpd`from package

`). The latter also contains additional estimation procedures (e.g., Bayesian and penalized likelihood, or GMLE) as well as more diagnostic plots; especially for non-stationary point process models. Additionally,`

**texmex**`has functions for diagnosing tail dependence. Finally,`

**extRemes**`makes more use of method functions, such as`

**extRemes**`ci`from package

`for obtaining confidence intervals for parameter and return level estimates including effective return levels,`

**distillery**`plot`,

`summary`,

`allows for the log link function in the scale parameter, but otherwise, only the identity link can be used. Therefore, if it is important to include more general link functions in your model,`

**extRemes**`will be the package you will need to use.`

**ismev****Q: I installed extRemes version >= 2.0, but do not get any GUI window to appear. What happened?**

A:

`no longer contains any GUI window functions. The GUI windows are now fully contained in the new`

**extRemes**`package.`

**in2extRemes****Q: I installed the newest version of R and in2extRemes, but I get an error message when I try to load in2extRemes into R.**

A: Make sure you have the Tcl/Tk tools installed. They are not included with R releases, and must be installed separately from R. The process for this depends on your OS and also changes from time to time, so please check the R project web site for current and relevant instructions on how to add the Tcl/Tk tools.

**Q: I get an error message that says: Error in solve.default(x$hessian) : Lapack routine dgesv: system is exactly singular What does this mean? What can I do about it?**

A: The model you're trying to fit is perhaps ill-formed. At least, the estimated Hessian is not invertible, and therefore the various optimization routines cannot work. See the help file for

`optim`for more information. You may simply need to try a different model form. When fitting an EVD to numerous data sets using commands instead of the GUI windows (e.g., in a loop), I have found it necessary to wrap a

`try`function around the fitting command. It is also possible to test whether or not a fit succeeded using, e.g.,

`if( class(fit) != "try-error")`...

**Q: Why does the main dialog window not appear when I type library(in2extRemes)? How can I get it to appear?**

A: The GUI dialog is not opened upon calling

`. The window can be opened by typing`

**library(in2extRemes)**`at the R command prompt.`

**in2extremes()****Q: Why does the return level plot have return periods less than one year?**

A: Although the return level plot's abscissa is labeled "Return Period", it is actually an (asymptotic) approximation, which is not very accurate at lower values. One can plot the exact return periods, but at the expense of losing the exact lienarity when the shape parameter is identically zero, which is arguably more important. Common practice is to label the axis as "Return Period."

Statistical Analysis Of Extremes In Geophysical Science Reading Group

Rick Katz's page on extremes

Reference list for spatial and spatio-temporal extreme value analysis

The `extRemes` and `in2extRemes` software packages are made possible by funding from the Weather and Climate Impacts Assessment Science Program, which is funded by the National Science Foundation. Much of the style of the new version (>= 2.0) was inspired by that of the `texmex` package. We thank Chris Paciorek for helping to de-bug the initial releases of version 2, as well as for contributing some additional functionality to the package (e.g. confidence intervals for effective return levels). Some additional functionality has been supplied by the following people.

Peter Guttorp (quantile plotting functions with confidence bands, such as `qqplot`).

Alec Stephenson (abba, a fairly new spatial EVA method).

Simone Russo (hwmi, a heat wave index function).