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Re: OBRE algorithm
Posted:
Jan 27, 2011 3:47 AM
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Hi Simon, I see it is three years past, but in any case we're going to implement the OBRE algorithm for extreme data using Matlab. The implementation is based on the article
"Exceedances over High Thresholds A Guide to Threshold Selection" by D.J. Dupuis, Department of Engineering Mathematics, DalTech Dalhousie University, Halifax Nova Scotia
Canada
Are you still interested? Did you got any info about the problem that time?
Thank you in advance and all the best!
Igor.
"Simon " <shchan.nospam@northwatercapital.com> wrote in message <fpurag$ll$1@fred.mathworks.com>...
> Has anyone implemented an Optimal Bias Robust Estimator for
> fitting the Generalized Pareto Distribution or know a link
> to get one? Thanks.
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