IDEAS home Printed from https://ideas.repec.org/c/wuu/hscode/m12002.html
 

CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails

Author

Listed:
  • Joanna Janczura
  • Rafal Weron

Programming Language

MATLAB

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.

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2012. "CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails," HSC Software M12002, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:m12002
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ci_weibulltail_old.m
    File Function: Program file (older versions of Matlab)
    Download Restriction: no
    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ci_weibulltail.m
    File Function: Program file (Matlab 2016 and newer)
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m12002. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rafal Weron (email available below). General contact details of provider: https://edirc.repec.org/data/hspwrpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.