Exponential analysis

Performs a fast exponential analysis on the POT dataset stored in array X.

Description

This M file performs a fast exponential analysis on the POT dataset stored in array X
          
INPUT:
X: array or scalar values with POT data (peaks over threshold)
tp: time period over which the data is collected
p: probability for which quantile has to be calculated

OUTPUT:
xp: quantile value corresponding to exceedance probability p
sp: uncertainty in quantile value expressed as 1 standard deviation
Figure, showing the POT data, exponential fit, and uncertainty bounds by crosses around the extrapolation to the p-value

• MATLAB release: MATLAB 5.2 (R10)

[Rodolphe Sitter]

Very useful for financial data analysis !