DocumentCode :
3270680
Title :
Using Pearson Type IV and other cinderella distributions in simulation
Author :
Cheng, Russell
Author_Institution :
Univ. of Southampton, Southampton, UK
fYear :
2011
fDate :
11-14 Dec. 2011
Firstpage :
457
Lastpage :
468
Abstract :
Univariate continuous distributions with unbounded range of variation have not been so widely used in simulation as those that are bounded (usually to the left). However situations do occur when they are needed, particularly in operations research and financial applications. Two distributions that have such unbounded range are the Pearson Type IV and Johnson SU distributions. Though both are well known in statistics, there is still a lack of methods in the literature for fitting these distributions to data which are both efficient and comprehensively reliable. Indeed the Pearson Type IV has the reputation of being difficult to fit. In this paper we identify the pitfalls and propose a fitting method that avoids them. We also show how to test the goodness of fit of estimated distributions. All the procedures described are included as VBA code in an accompanying Excel workbook available online. Two numerical examples are described in detail.
Keywords :
computational complexity; mathematics computing; spreadsheet programs; statistical distributions; visual programming; Excel workbook; Johnson SU distributions; Pearson Type IV; Pearson type IV; VBA code; cinderella distributions; continuous distributions; financial applications; Fitting; Maximum likelihood estimation; Moment methods; Optimization; Probability density function; Reliability;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2011 Winter
Conference_Location :
Phoenix, AZ
ISSN :
0891-7736
Print_ISBN :
978-1-4577-2108-3
Electronic_ISBN :
0891-7736
Type :
conf
DOI :
10.1109/WSC.2011.6147775
Filename :
6147775
Link To Document :
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