| Sample size n | 72 |
| Ahmad AU² (optimal) | 0.136 |
| p-Value for choosen parameter set | 0.785 (calculated with 5000 MC steps) |
| Start of the Tail at datapoint k* | 7 |
| Tail weight k*/n | 9.7% |
| Threshold u | 27.6 |
| Cramér-von Mises W² (p-Value) | 0.04 (0.817) |
| Anderson-Darling A² (p-Value) | 0.377 (0.686) |
Generalized Pareto Distribution with location parameter zero
| ξ | σ |
|---|---|
| 0.144 | 8.96 |
| Quantile | Value-at-Risk |
|---|---|
| 0.95 | 33.9 |
| 0.99 | 51.7 |
| 0.9999 | 132.9 |
| Quantile | Conditional-Value-at-Risk |
|---|---|
| 0.95 | 50.0 |
| 0.99 | 70.9 |
| 0.9999 | 165.7 |