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

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Igor Moiseev

Posts: 8
Registered: 11/7/09
Re: OBRE algorithm
Posted: Dec 5, 2012 1:41 PM
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Hi Koen! Just done. Not much docs yet

https://github.com/moiseevigor/obre

Entry point for procedures https://github.com/moiseevigor/obre/blob/master/matlab/obre.m
which contains some info how to execute the code.

Later I'll provide the data snippets and examples how to execute all of this.

Please be patient, it is quite a "programmer design".

Please ask, open issues, request features at
https://github.com/moiseevigor/obre/issues

Please Contribute, Star, Watch, Fork and Pull request.

If you appreciate the code and months of hacking tip me please at https://www.gittip.com/moiseevigor/

Have fun coding!
Igor

"Koen" wrote in message <k9n1d0$m2o$1@newscl01ah.mathworks.com>...
> Hi Igor,
> Have you been able to open the repository yet and share the procedures? I am dying to get that OBRE implemented.
> Thanks.
> Kind regards,
>
> Koen
>
> "Moiseev Igor" <moiseev.igor@gmail.com> wrote in message <k99um7$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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