A method for determining anaerobic threshold intensity (AnT) of a user in a freely performed physical exercise and using an apparatus with a central processing unit, memory and software means, comprising: continuously measuring, by a heart rate sensor, a physiological response of a user by heart rate, wherein a plurality of measured heart rate values is recorded with time stamps as heart rate data; calculating and storing by said apparatus a value of heart rate variability using recorded heart rate values, continuously measuring, by at least one sensor, an external workload, wherein a plurality of measured workload values is recorded and each measured workload value is associated with one measured heart rate value to form a plurality of measured data points with parameter data including heart rate variability and a time stamp; filtering by said apparatus measured data points based on a predetermined criterion to form a plurality of accepted data points; classifying by said apparatus accepted data points into a plurality of predefined heart rate segments, wherein at least one segment is below a probable heart rate value of AnT, and at least one segment is above the probable heart rate value of AnT; calculating by said apparatus a value of a probability (Pi) of each accepted data point using the recorded values of the data point, the value depicting probability of data point having the threshold intensity (AnT), For each accepted data point, performing the following step (a) or (b): (a) if there is no probability value already recorded for the segment into which said point is classified, recording by said apparatus, for the segment (i), the value of probability and the corresponding data point and (b) if there is a previous probability value already recorded for the segment into which said point is classified, updating the previous probability value and corresponding data point for said segment (i) if the new value of probability (Pi) is higher than the previous value, calculating by said apparatus an estimate of the user's AnT as a weighted average of heart rate values of the data point recorded for each segment, the weights being said recorded values of probability (Pi) of the data point of each segment. continuously measuring, by a heart rate sensor, a physiological response of a user by heart rate, wherein a plurality of measured heart rate values is recorded with time stamps as heart rate data; calculating and storing by said apparatus a value of heart rate variability using recorded heart rate values, continuously measuring, by at least one sensor, an external workload, wherein a plurality of measured workload values is recorded and each measured workload value is associated with one measured heart rate value to form a plurality of measured data points with parameter data including heart rate variability and a time stamp; filtering by said apparatus measured data points based on a predetermined criterion to form a plurality of accepted data points; classifying by said apparatus accepted data points into a plurality of predefined heart rate segments, wherein at least one segment is below a probable heart rate value of AnT, and at least one segment is above the probable heart rate value of AnT; calculating by said apparatus a value of a probability (Pi) of each accepted data point using the recorded values of the data point, the value depicting probability of data point having the threshold intensity (AnT), For each accepted data point, performing the following step (a) or (b): (a) if there is no probability value already recorded for the segment into which said point is classified, recording by said apparatus, for the segment (i), the value of probability and the corresponding data point and (b) if there is a previous probability value already recorded for the segment into which said point is classified, updating the previous probability value and corresponding data point for said segment (i) if the new value of probability (Pi) is higher than the previous value, (a) if there is no probability value already recorded for the segment into which said point is classified, recording by said apparatus, for the segment (i), the value of probability and the corresponding data point and (b) if there is a previous probability value already recorded for the segment into which said point is classified, updating the previous probability value and corresponding data point for said segment (i) calculating by said apparatus an estimate of the user's AnT as a weighted average of heart rate values of the data point recorded for each segment, the weights being said recorded values of probability (Pi) of the data point of each segment.