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Topic: OBRE algorithm
Replies: 6   Last Post: Dec 5, 2012 1:41 PM

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Koen

Posts: 2
Registered: 11/29/12
Re: OBRE algorithm
Posted: Dec 5, 2012 3:42 AM
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Hi Igor,
Have you been able to open the repository yet and share the procedures? I am dying to get that OBRE implemented.
Thanks.
Kind regards,

Koen

"Moiseev Igor" <moiseev.igor@gmail.com> wrote in message <k99um7$lth$1@newscl01ah.mathworks.com>...
> Hi everybody,
> we've managed to convert the Fortran procedures of OBRE (from the article Dupuis et al) into Matlab and it seems to produce correct results, but still remember this is a partial machine conversion, so it is full of non matlab-style code.
>
> As I've noted the magior interest to this algorithm, I'll provide to open a new Github repository for this code, free to access and contribute.
>
> I'll let you know the repo link in a few days.
>
> All the best,
> Igor.
>
> "Koen" wrote in message <k97fks$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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