Tail-Detection

Sample size n 154
Ahmad AU² (optimal) 0.121
p-Value for choosen parameter set 0.698 (calculated with 500 MC steps)
Start of the Tail at datapoint k* 34
Tail weight k*/n 22.1%
Threshold u 107.58

Goodness-of-Fit Tests

Cramér-von Mises (p-Value) 0.037 (0.78)
Anderson-Darling (p-Value) 0.307 (0.678)

Fit Values

Generalized Pareto Distribution with location parameter zero

ξ σ
-0.09 58.506

Risk assessment

Quantile Value-at-Risk
0.95 188.92
0.97 214.48
0.99 265.62
0.999 357.75
Quantile Conditional-Value-at-Risk
0.95 227.01
0.97 250.46
0.99 297.39
0.999 381.92

Input data

Tail-Detection and Test-Statistics

Empirical Distribution