CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
[CI_LO,CI_HI]=CI_POWERTAIL(DATA,ALPHA,TAIL) calculates confidence intervals of significance level ALPHA for a power 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_POWERTAIL(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_POWERTAIL(DATA,ALPHA,TAIL,CLT,1) plots the power 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 power law events (commonly known as 'black swans'). Note, that Taleb (2007) calls these 'tractable scientifically' events 'Mandelbrotian gray swans', to distinguish them from the 'totally intractable' black swans.
|Requires:||MATLAB (tested on MATLAB ver. 7.9).|
|Date of creation:||03 Mar 2012|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m12001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.