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Thread Subject:
OBRE algorithm

Subject: OBRE algorithm

From: Simon

Date: 25 Feb, 2008 16:45:04

Message: 1 of 7

Has anyone implemented an Optimal Bias Robust Estimator for
fitting the Generalized Pareto Distribution or know a link
to get one? Thanks.

Subject: OBRE algorithm

From: Moiseev Igor

Date: 27 Jan, 2011 08:47:03

Message: 2 of 7

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.

Subject: OBRE algorithm

From: Jorge Lara

Date: 10 Aug, 2012 02:31:10

Message: 3 of 7

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.

Subject: OBRE algorithm

From: Koen

Date: 29 Nov, 2012 11:07:08

Message: 4 of 7

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.

Subject: OBRE algorithm

From: Moiseev Igor

Date: 30 Nov, 2012 09:36:07

Message: 5 of 7

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.

Subject: OBRE algorithm

From: Koen

Date: 5 Dec, 2012 08:42:08

Message: 6 of 7

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.

Subject: OBRE algorithm

From: Moiseev Igor

Date: 5 Dec, 2012 18:41:08

Message: 7 of 7

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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