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Re: OBRE algorithm
Posted:
Aug 9, 2012 10:31 PM
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Hi Igor,
I see that it has been a year. But I am going to implement OBRE in matlab.
Did you have any luck before?
"Moiseev Igor" <moiseev.igor@gmail.com> wrote in message <ihrbe7$brg$1@fred.mathworks.com>...
> Hi Simon, I see it is three years past, but in any case we're going to implement the OBRE algorithm for extreme data using Matlab. The implementation is based on the article
>
> "Exceedances over High Thresholds A Guide to Threshold Selection" by D.J. Dupuis, Department of Engineering Mathematics, DalTech Dalhousie University, Halifax Nova Scotia
> Canada
>
> Are you still interested? Did you got any info about the problem that time?
>
> Thank you in advance and all the best!
> Igor.
>
> "Simon " <shchan.nospam@northwatercapital.com> wrote in message <fpurag$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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