Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment

Table 4

KRIs under artificial data for n = 500.

Method			VaRq	TVaRq	TVq	TMVq	ELq
MLE	0.50059	0.20008
70%			0.61986	0.87745	0.04372	0.89931	0.25759
90%			0.92803	1.12082	0.02711	1.13437	0.19279
99%			1.35213	1.48258	0.0137	1.48943	0.13045
OLSE	0.43711	0.19782
70%			0.69542	0.98767	0.05641	1.01587	0.29224
90%			1.04491	1.26408	0.03508	1.28162	0.21917
99%			1.52718	1.67576	0.01779	1.68465	0.14858
WLSE	0.43681	0.20882
70%			0.76618	1.07161	0.06091	1.10207	0.30544
90%			1.13212	1.35905	0.03736	1.37773	0.22693
99%			1.63081	1.78331	0.01868	1.79265	0.1525
ADE	0.47043	0.19333
70%			0.61954	0.88589	0.0471	0.90944	0.26635
90%			0.93779	1.13836	0.02947	1.1531	0.20058
99%			1.37941	1.51591	0.01504	1.52343	0.1365