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 |
Cramér-von Mises W² (p-Value) | 0.037 (0.78) |
Anderson-Darling A² (p-Value) | 0.307 (0.678) |
Generalized Pareto Distribution with location parameter zero
ξ | σ |
---|---|
-0.09 | 58.506 |
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 |