Software

geometricExtremesNF Python code

A generative modelling approach for multivariate extremes based on:

De Monte, L., Huser, R., Papastathopoulos, I., and Richards, J. (2025) ‘Generative modelling of multivariate geometric extremes using normalising flows’, arXiv preprint.

geometricExtremes R package

A Bayesian approach to extreme value analysis based on:

Papastathopoulos, I., De Monte, L., Campbell, R. and Rue, H. (2023) ‘Statistical inference for radial generalized Pareto distributions and return sets in geometric extremes’, arXiv preprint.

TSExtremes R code

A conditional extremes approach to model the extremes of stationary time series:

G. Auld, L. De Monte, and I. Papastathopoulos. Time series in extremes. In M. de Carvalho, R. Huser, P. Naveau, and B. J. Reich, editors, Handbook on Statistics of Extremes. Chapman & Hall, 2026.