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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 Science and Technology.
    • Handle: RePEc:wuu:hscode:m12002
    as

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    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
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