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Koen
Posts:
2
Registered:
11/29/12
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Re: OBRE algorithm
Posted:
Nov 29, 2012 6:07 AM
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Hi Jorge,
How was your luck? Managed to implement your OBRE in Matlab?
Kind regards,
Koen
"Jorge Lara" <jorge.lara.alvarez@gmail.com> wrote in message <k01rpe$68p$1@newscl01ah.mathworks.com>...
> Hi Igor,
>
> I see that it has been a year. But I am going to implement OBRE in matlab.
>
> Did you have any luck before?
>
> "Moiseev Igor" <moiseev.igor@gmail.com> wrote in message <ihrbe7$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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