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" <firstname.lastname@example.org> wrote in message <email@example.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 " <firstname.lastname@example.org> wrote in message <email@example.com>... > > Has anyone implemented an Optimal Bias Robust Estimator for > > fitting the Generalized Pareto Distribution or know a link > > to get one? Thanks.