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 <email@example.com>... > Hi Jorge, > > How was your luck? Managed to implement your OBRE in Matlab? > > Kind regards, > Koen > > "Jorge Lara" <firstname.lastname@example.org> wrote in message <email@example.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" <firstname.lastname@example.org> wrote in message <email@example.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 " <firstname.lastname@example.org> wrote in message <email@example.com>... > > > > Has anyone implemented an Optimal Bias Robust Estimator for > > > > fitting the Generalized Pareto Distribution or know a link > > > > to get one? Thanks.