Reports¶
The report consists of five parts.
- Tail Detection
- Goodness-of-Fit Tests
- Fit Values
- Risk assessment
- Plots
Tail Detection¶
In this part contains the size of the data set that was analyzed, the minimal value for the \(AU^2\) as well as information on the estimated tail.
Goodness-of-Fit Tests¶
Goodness-of-Fit values for the Cramér-von Mises and Anderson-Darling teststatistics.
Fit Values¶
Fitted values of the generalized Pareto distribution (GPD).
Risk assessment¶
This part contains the Value-at-Risk and the Conditional-Value-at-Risk for the 0.95, 0.97, 0.99 and 0.999 quantiles.
Plots¶
A plot of the input data, a plot of the three teststatistics (\(AU^2\), Cramér-von Mises and Anderson-Darling) for the different tails and a plot of the fitted tail.