A method and system for determining anaerobic threshold intensity (AnT) of a user in a freely performed physical exercise. A physiological response of a user is measured by heart rate and measured heart rate values are recorded as heart rate data. An external workload values are recorded and are each associated with one measured heart rate values to form a plurality of data points. The data points are filtered to form accepted data points, which are classified within a plurality of heart rate segments representing a heart rate within an anaerobic threshold (AnT) of the user. A data point with highest probability is stored for each segment. A first probability factor for each accepted data point is calculated. The calculated first probability factor is compared to a stored probability factor in each segment, and the higher probability factor is retained. AnT is calculated using the stored probabilities in each segment.