1. A method for determining anaerobic threshold intensity (AnT) of a user in a freely performed physical exercise, comprising: continuously measuring, by a heart rate sensor, a physiological response of a user by heart rate during the freely performed physical exercise, wherein a plurality of measured heart rate values are recorded with time stamps as heart rate data forming a recorded heart rate of the user; continuously measuring an external workload during the freely performed physical exercise, wherein a plurality of measured workload values are recorded and each measured workload value is associated with one of the plurality of measured heart rate values to form a plurality of data points; calculating heart rate variability (HRV) values from intervals between successive heartbeats and storing each calculated HRV value associating to a data point; filtering, by a processor, one or more data points based on a predetermined criteria to form a plurality of accepted data points; classifying, by the processor, accepted data points within a plurality of heart rate segments representing a heart rate within an anaerobic threshold (AnT) of the user, 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 the processor, a first probability factor for each of the plurality of accepted data points based on the measured external workload value and a calculated heart rate variability value of each data point; comparing, by the processor, the calculated first probability factor with at least one stored probability factor in the respective segment, and if the first probability factor is higher than the at least one stored probability factor, the stored probability factor is updated, in a memory, by said calculated first probability factor; calculating, by the processor, a second probability factor of each stored data point for each respective segment based on a deviation between change in recorded external workload and expected change in external workload; calculating, by the processor, a third probability factor of each stored data point for each respective segment based on the recorded heart rate of the user in proportion to the maximum heart rate of the user; calculating, by the processor, a total probability of each recorded heart rate in each segment using the first probability factor, the second probability factor, and the third probability factor; calculating, by the processor, an estimate of the user's AnT as a weighted value of heart rate values recorded for each segment, wherein each recorded heart rate value in each segment is multiplied by the total probability stored for that segment when all weighted values are added together; and outputting, by the processor, the estimate of user's AnT to an output device.