CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
Abstract[CI_LO,CI_HI]=CI_WEIBULLTAIL(DATA,ALPHA,TAIL) calculates confidence intervals of significance level ALPHA for a Weibull law (i.e. a stretched exponential law) fitted to the right tail of the empirical distrubution function (edf) of the observations in DATA. Only observations lying in the interval [TAIL(1)-quantile of DATA,TAIL(2)-quantile of DATA] are used to obtain the least squares fit. CI_WEIBULLTAIL(DATA,ALPHA,TAIL,CLT) allows to choose between the exact but slower to compute (binomial law based; CLT=0) and asymptotic (Gaussian law based; CLT=1, default) confidence intervals. CI_WEIBULLTAIL(DATA,ALPHA,TAIL,CLT,1) plots the Weibull law and the intervals in the current figure. Observations lying outside the curves spanned by the confidence intervals are likely to be (i.e. with probability 1-ALPHA) 'dragon kings', i.e. deviations from Weibull law.
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M12002.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 03 Mar 2012
Date of revision:
Black swan; Dragon king; Weibull law; Stretched exponential law; Empirical distribution function; Confidence interval.; reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
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