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Re: OBRE algorithm
Posted:
Nov 30, 2012 4:36 AM
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Hi everybody,
we've managed to convert the Fortran procedures of OBRE (from the article Dupuis et al) into Matlab and it seems to produce correct results, but still remember this is a partial machine conversion, so it is full of non matlab-style code.
As I've noted the magior interest to this algorithm, I'll provide to open a new Github repository for this code, free to access and contribute.
I'll let you know the repo link in a few days.
All the best,
Igor.
"Koen" wrote in message <k97fks$mlh$1@newscl01ah.mathworks.com>...
> 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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