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 |