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

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Posts: 2
Registered: 11/29/12
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,

"Jorge Lara" <> wrote in message <k01rpe$68p$>...
> 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" <> wrote in message <ihrbe7$brg$>...

> > 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 " <> wrote in message <fpurag$ll$>...

> > > 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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