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©

ExpertFit Version 8
User’s Guide
by

Averill M. Law, Ph.D.


Averill M. Law & Associates, Inc.
4729 East Sunrise Drive, #462
Tucson, AZ 85718
520-795-6265
averill@simulation.ws
www.averill-law.com

 Copyright 1995-2011 by Averill M. Law. All rights reserved.


Table of Contents

1. Introduction ................................................................................................................ 1
1.1. Types of ExpertFit Analyses............................................................................... 3
1.2. Type and Amount of Data Required by ExpertFit............................................... 6
1.3. Installation Instructions ....................................................................................... 8
1.4. ExpertFit Help System........................................................................................ 9
1.5. ExpertFit Software Architecture........................................................................ 10
2. Data Analysis Module – Standard Mode .................................................................. 11
2.1. Confirmation of the Best Distribution ................................................................. 15
2.2. Examples .......................................................................................................... 16
Example 2.1: Customer Service Times............................................................. 17
Example 2.2: Ship-Loading Times .................................................................... 32
Example 2.3: Repair Times for a Machine ........................................................ 38
Example 2.4: Weekly Product Sales ................................................................. 43
3. Data Analysis Module – Advanced Mode................................................................. 50
3.1. Example ............................................................................................................ 56
Example 3.1: Testing the Homogeneity of Two Data Sets ............................... 57
4. Task-Time Models Module ....................................................................................... 62
4.1. Organization and Options ................................................................................. 63
4.2. Example ............................................................................................................ 65
Example 4.1: Modeling a Task Time................................................................. 66
5. Machine-Breakdown Models Module ....................................................................... 71
5.1. Organization and Options ................................................................................. 76
5.2. Examples .......................................................................................................... 78
Example 5.1: Modeling Machine Downtimes in the Absence of Data ............... 79
Example 5.2: Continuation of Previous Example .............................................. 83
6. Distribution Viewer ................................................................................................... 87
7. Batch Mode .............................................................................................................. 88
References .................................................................................................................... 89
Appendix A: Distributions Included in ExpertFit ........................................................... 90
Index ........................................................................................................................... 133
1. Introduction

ExpertFit allows you to determine automatically and accurately which probability


distribution best represents a data set. In many cases a complete analysis can be done
in less than 5 minutes. A secondary goal is to provide simulation analysts with
assistance in modeling a source of randomness (e.g., a service time) in the absence of
data.
ExpertFit is extensively used by analysts performing discrete-event simulation
studies of real-world systems in application areas such as defense, manufacturing,
transportation, healthcare, call centers, and communications networks. For these
users, ExpertFit will take the selected distribution and put it into the proper format for
direct input to a large number of different simulation-software products. ExpertFit is
also used for data analysis in such diverse disciplines as actuarial science, agriculture,
chemistry, economics, environmental analysis, finance, forestry, hydrology, medicine,
meteorology, mining, physics, psychology, reliability engineering, and risk analysis.
ExpertFit is the result of 33 years of statistical research.
When determining what distribution best fits a data set, there are two modes of
operation (see the Mode pull-down menu): Standard and Advanced. Standard Mode
(the default) is sufficient for 95 percent of all analyses and is easier to use. It focuses
the user on those features that are the most important at a particular point in an
analysis. Advanced Mode contains a large number of additional features for the
sophisticated user. A user can switch from one mode to another at any time. There
are also two levels of precision when fitting distributions (see the Precision pull-down
menu): Normal and High. Normal Precision provides good estimates for many data
sets of the parameters of a distribution and has a small execution time. High
Precision (the default) provides better parameter estimates for most data sets, but it
may have a large execution time for data sets containing many observations.
ExpertFit has extensive context-dependent online help for every options and
results screen, and there is also a Feature Index. There is a glossary of key terms and
also tutorials on a number of general topics such as the available probability
distributions. A set of data and all corresponding analyses performed by ExpertFit can

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be stored in a Project for later reuse. All ExpertFit results (i.e., charts and tables) can
be printed or copied to the Windows Clipboard for use in other applications (e.g.,
Microsoft Word or Excel).

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1.1. Types of ExpertFit Analyses

ExpertFit can perform the three main types of analyses given in Table 1.1.

Table 1.1. Main types of ExpertFit analyses.

Module Description
Data Analysis Used to determine what probability distribution best
represents a data set. You can either have ExpertFit
determine the best distribution automatically or specify
the distributions for consideration manually. See
Chapters 2 and 3 for further discussion and examples.

Task-Time Models Used to specify a probability distribution for a task time


when no data are available. Based on subjective
estimates of the minimum task time, the most-likely
task time (the mode), and, say, the 90th percentile of
the task time, ExpertFit specifies a Weibull, lognormal,
or triangular distribution as a model for the task time.
(For a triangular distribution, it is possible to use the
maximum task time instead of the 90th percentile.)
See Chapter 4 for further discussion and examples.

Machine-Breakdown Used to model the random downtimes of a machine


Models
when no downtime data are available. Based on
subjective estimates of such parameters as machine
efficiency (e.g., 0.90) and mean downtime, ExpertFit
specifies a busy-time distribution and a downtime
distribution. See Chapter 5 for further discussion and
examples.

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The probability distributions available in ExpertFit are given in Table 1.2.

Table 1.2. Probability distributions available in ExpertFit.

Continuous Discrete
beta log-Laplace Bernoulli
Cauchy log-logistic binomial
chi-square lognormal geometric
Erlang normal hypergeometric
error Pareto logarithmic series
exponential Pearson type 5 negative binomial
exponential power Pearson type 6 Poisson
extreme value (2 types) power function uniform
F random walk
gamma Rayleigh
inverse Gaussian Student’s t
inverted Weibull triangular
Johnson SB uniform
Johnson SU Wald
Laplace Weibull
logistic

If you are using the Simulation Professional or University versions of ExpertFit,


then the probability distributions resulting from an ExpertFit analysis are placed in the
proper format for the discrete-event simulation-software products given in Table 1.3
and, also, for Crystal Ball and @Risk, which are Monte Carlo simulation add-ins for
spreadsheets.

Table 1.3. Discrete-event simulation-software products supported by ExpertFit.

AnyLogic MedModel Simio


Arena Micro Saint SIMPROCESS
AutoMod OPNET Modeler SIMUL8
AutoSched AP ProcessModel SLX
ExtendSim ProModel WITNESS
Flexsim ServiceModel

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If you are using a single-vendor version of ExpertFit, then the resulting probability
distributions are put into the format for that vendor’s software. The Analyst versions of
ExpertFit support Crystal Ball and @RISK.

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1.2. Type and Amount of Data Required by ExpertFit

ExpertFit requires that your data set be in ASCII format and contain between 10
and 100,000 observations (larger data sets are truncated with an indication given).
There may be one or more data values per line. In the latter case, observations should
be separated by blanks and, if desired, by commas. In general, data files should follow
the simple ASCII file format created by editors like Notepad.
You can copy data from an active spreadsheet (e.g., Excel) to the Clipboard and
then paste it into ExpertFit (see the tutorial in general Help).
If all of the data values in the file are integers in the range –214,748,345 to
214,748,345, then the sample will be considered to be integer; otherwise, it will be
taken to be real. Real values must have magnitudes between -1.0E+99 and 1.0E+99.
If all of the data values are integers, then you will be asked whether the data should be
considered to be real valued.
We recommend that the following ideas be used in collecting or analyzing a data
set:
1. If, at all possible, collect at least 100 observations on the random phenomenon of
interest, with 200 observations providing more ability to discriminate between two
distributions. In general, the benefit from increasing the sample size from 200 to
300 will be less than that provided by increasing the sample size from 100 to 200,
etc.
2. If you are collecting observations on a continuous random variable (e.g., a service
time), then the data values should have enough resolution so that the sample will
have a “large” number of distinct values. Otherwise, it will be difficult, in general, to
find a continuous distribution that provides a good representation.
3. If the available data values are integer, then you may want to convert them to real
numbers. ExpertFit contains many more continuous distributions than discrete
distributions.
4. You should understand the process that produced the data, rather than treating the
observations as just abstract numbers. For example, suppose your data set
contains a few extremely large observations – these are called outliers. If you don't

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understand the problem context, then it will be difficult to know whether these large
observations are really legitimate or, perhaps, the result of measuring or recording
errors.
5. If you have collected times of arrival of “customers,” then these can be converted to
interarrival times using the ExpertFit transformation “DIFF.”

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1.3. Installation Instructions

ExpertFit is shipped on a CD and the security key (dongle) must be attached to


your computer to run the software. To install ExpertFit, insert the enclosed CD into the
corresponding drive. The Setup program should start within a few seconds. If not use
START, RUN to invoke SETUP.EXE on the CD. When the Setup program finishes, a
Windows program group will be created to hold an icon for ExpertFit and for reading a
README.WRI file. (This file contains any available notifications and also clarifications
for this User’s Guide.) Click on the icon to start ExpertFit.
ExpertFit saves information on the user organization in the security key. If this
information has not been set before the software was shipped to you, then on the first
execution you will be prompted for a permanent user name.

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1.4. ExpertFit Help System

There are two main types of help available in ExpertFit: context-dependent and
general. Context-dependent help is available for every options and results screen, and
is accessed by clicking on the displayed Help button.
General help is accessed by clicking on the Help pull-down menu in the Menu
Bar at the top of the screen. This menu contains the following entries:
• Contents
• Context-Dependent
• Glossary
• Search
• Tutorials
• User’s Guide
• About ExpertFit

The Contents entry includes the following categories:


• Introduction to ExpertFit
• Types of ExpertFit Analyses
• Standard Mode Versus Advanced Mode
• Normal Precision Versus High Precision
• ExpertFit Software Architecture
• Tutorials
• Glossary
• Additional Documentation
• Customer Support

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1.5. ExpertFit Software Architecture

ExpertFit uses the concept of a Project, which is a file containing one or more
analysis items. In the case of a simulation study, a Project could contain several items
corresponding to different data sets and their corresponding ExpertFit analyses, and
other items corresponding to Task-Time Models or Machine-Breakdown Models. A
Project allows you to save the results of an ExpertFit analysis for future reuse.
When an ExpertFit Project is created or read from a file, a Project Window is
created to represent it. This window acts as a directory for the analysis items contained
in the Project. Buttons at the bottom of the window allow you to create new elements,
to change an element’s name or description, to begin a new (or return to an existing)
analysis, and to delete an element.

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2. Data Analysis Module – Standard Mode

There are two modes of operation (see the Mode pull-down menu) for the Data
Analysis module: Standard and Advanced. Standard Mode (the default), which is
described in this chapter, is sufficient for 95 percent of all analyses and is easier to use.
It focuses the user on those features that are the most important at a particular point in
an analysis. Advanced Mode, which is discussed in Chapter 3, contains a large
number of additional features for the sophisticated user. A user can switch from one
mode to another at any time.
The use of the Data Analysis module to determine what probability distribution
best represents a data set is based on the sequential application of the four tabs shown
in Table 2.1.

Table 2.1. Tabs for the Data Analysis module.

Tab Overall Purpose

Data Used to read in a data set from a file, to enter a data set at the
keyboard, or to paste in a sample from the Clipboard

Models Used to “fit” probability distributions to a data set

Comparisons Used to compare the fitted distributions to the data set

Applications Used to determine or display characteristics of a distribution (e.g., its


moments or density function) or to represent the distribution in a
simulation-software product

The options available in these four tabs are shown in Tables 2.2 through 2.5,
respectively.

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Table 2.2. Options for the Data tab.

Option Specific Purpose

Enter Data Read Data from File


Enter/Edit Data Values (enter values at the keyboard,
delete values, paste in values from Clipboard, copy all
values to Clipboard for export)
Delete Data Set
View/Modify Data
View Data (either sorted or unsorted)
Create a Subset
Perform a Transformation

Data Summary Summary statistics for the data set

Histogram Histogram Plot


Frequency Table

Assess Independence Scatter Plot


Lag-Correlation Plot
Lag-Correlation Table

Table 2.3. Options for the Models tab.

Option Specific Purpose

Automated Fitting Automated fitting, ranking, and evaluation of models


based on a default characterization of the range of the
random variable

Fit Individual Models Manual fitting of specific distributions – parameter


values can be estimated from data or user specified

View/Delete Models Show Model Parameters


Delete Models

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Table 2.4. Options for the Comparisons tab.

Option Specific Purpose

Graphical Comparisons Density-Histogram Plot (real data only)


Frequency-Comparison Plot

Distribution-Function-Differences Plot

P-P Plot

Goodness-of-Fit Tests Anderson-Darling Test (real data only)


Kolmogorov-Smirnov Test (real data only)
Chi-Square Test

Evaluate a Model Evaluation Report


Distribution-Function-Differences Plot

Table 2.5. Options for the Applications tab.

Option Specific Purpose

Use a Specified Characteristics (density function plot, moments, etc.) of


Distribution (Model) a distribution
Representation of a distribution in a simulation-software
product
Use an Empirical Characteristics [distribution function plot, percentiles
Distribution (only for real data), etc.] of an empirical distribution

Representation of an empirical distribution in a


simulation-software product

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Although there are different ways that these four tabs could be used to
determine the best distribution for a data set, the following are the explicit steps that we
recommend for real data (see Example 2.4 for integer data):
1. Obtain a data set using the Data tab – see Section 1.2 for a discussion of the type
and amount of data required.
2. View the resulting Data-Summary Table (at the Data tab) – provides information on
the center, shape, and range of the true density (mass) function.
3. Make a histogram of your data (used in Step 5) using the Data tab – see the
Constructing a Histogram from Your Data tutorial in the online help.
4. Select the distribution that is the best representation for your data using the
Automated Fitting option at the Models tab.
5. Confirm using the Comparisons tab that the best distribution as determined by
ExpertFit is, in fact, satisfactory in an absolute sense – See Section 2.1 for
recommendations.
6. If you are doing simulation modeling, then either represent the best-fitting
distribution (if good in an absolute sense) or an empirical distribution based on your
data (if the best distribution is not satisfactory) in your simulation software using the
Applications tab.
Four examples of the use of the Data Analysis module are given in Section 2.2.

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2.1. Confirmation of the Best Distribution

Before actually using the best model, we recommend that some amount of
confirmation of this model be done using the options in the Comparisons tab. We
suggest that a Density-Histogram Plot and/or a Frequency-Comparison Plot be
made with an appropriately constructed histogram. When the maximum of the density
function of the best model is “far” from x = 0, then the former plot is probably preferable.
If, on the other hand, the maximum occurs “close” to x = 0, then the latter plot will often
be more useful. This is because it may be difficult in this case to determine from a
histogram whether the true underlying density function strictly decreases as x increases
(similar to an exponential density) or whether the density function has its mode (x-value
where the maximum occurs) close to x = 0 (similar to a lognormal density with shape
parameter = 3/2). Care must be taken when using these plots since the choice of the
histogram intervals is somewhat subjective.
We also recommend that a Distribution-Function-Differences Plot and a
P-P Plot be used to confirm the quality of the best model.
Finally, one might perform the Anderson-Darling Test, the Kolmogorov-
Smirnov Test, and/or the Chi-Square Test in order to get a formal evaluation of the
best-fitting model.

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2.2. Examples

We now present four examples of the use of the Data Analysis module,
following the six-step approach outlined at the beginning of this chapter. For the first
example, we give the ExpertFit commands necessary to accomplish a particular part of
the analysis and then the actual results of the analysis. For the other examples, we
only discuss the results.
Examples 2.1 through 2.3 use High Precision (the default) – see the “Overview”
in the Precision pull-down menu. It doesn’t matter which option you use for the integer
data of Example 2.4, since the two options are identical in this case.

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Example 2.1: Customer Service Times

Steps for Action A:

At window: Do:
Project 1 Click on New.
Project-Element Editing Select Fit distributions to data.
In the Project-Element Name edit box, enter
Example 2.1.
Click on OK.
Project 1 Click on Analyze.
Data tab Click on Enter Data.
Enter-Data Options Click on Apply.
Open Select Example 21 in the ExpertFit folder.

Examine the Data-Summary Table.

Data-Summary Table Click on Done.

A: The Data-Summary Table for this set of n = 450 service times (read in the Data

tab) is given in Table 2.6. The positive value of the sample skewness indicates that the
underlying distribution of the data is skewed to the right (i.e., it has a longer right tail
than left tail). This is supported by the sample mean being larger than the sample
median.

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Table 2.6. Data summary for the service-time data.

Data Characteristic Value

Source file Exam21


Observation type Real valued
Number of observations 450
Minimum observation 0.06438
Maximum observation 3.11115
Mean 1.18250
Median 1.15192
Variance 0.32394
Coefficient of variation 0.48131
Skewness 0.48796

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Steps for Action B:

At window: Do:
Data tab Click on Histogram.
Histogram Options Click on Apply.

Examine the Histogram Plot.

Click on Done.

The following shows how to change the lower endpoint


of the first interval from 0.064 to 0:

Histogram Options Click on the equal-sign ("=") button next to 0.06400.


Change the value to 0.0 in the edit box.
Click on Apply.

Perform similar actions to change the interval width to 0.25


and the number of intervals to 13.

Histogram Options Click on Apply.

Histogram Plot Examine the Histogram Plot.

Click on Done.

Histogram Options Click on Done.

B: In Figure 2.1 we present the default ExpertFit histogram for the service-time data.

Note that the histogram is quite “ragged,” since the interval width is too small. Using a
trial-and-error approach discussed in the Constructing a Histogram from Your Data
tutorial, we determined that a better histogram is obtained by using an interval width of
0.25. The improved “smooth” histogram is shown in Figure 2.2. In general we
recommend that you construct your own histogram rather than rely on the ExpertFit
default. There is no definitive prescription for choosing histogram intervals!
Note that the histogram interval width can also be changed by using the
two buttons with arrowheads at the top of the histogram screen. The left (right)

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Histogram
0.10

0.08

0.06
Proportion

0.04

0.02

0.00
0.13 0.53 0.93 1.33 1.73 2.13 2.52 2.92
Interval Midpoint
23 intervals of w idth 0.133

Figure 2.1. Default ExpertFit histogram of the service-time data.

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Histogram
0.17

0.13

0.10
Proportion

0.07

0.03

0.00
0.13 0.63 1.13 1.63 2.13 2.63 3.13
Interval Midpoint
13 intervals of w idth 0.25

Figure 2.2. Histogram of the service-time data with an interval width of 0.25.

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button decreases (increases) the interval width by 5 percent, and can be applied
repeatedly.

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Steps for Action C:
At window: Do:
Data tab Click on the Models tab.
Models tab Click on Automated Fitting.

Examine Automated-Fitting Results.

Automated-Fitting Results Click on Done.

C: We begin the actual process of finding a distribution that is a good representation

for our data by selecting the Automated Fitting option at the Models tab. Based on
certain heuristics, ExpertFit determined that the “best” representation for the data is
provided by a Weibull distribution (see Table 2.7) with location, scale, and shape
parameters of 0, 1.334, and 2.183, respectively. This best model received a Relative
Score of 100.00 and its Absolute Evaluation message is “Good,” indicating no reason
for concern. (See the context-dependent online help for a discussion of the terms in
boldface.) Furthermore, the model mean and the sample mean are almost identical.
Note that the third-best fitting model is a Rayleigh distribution with an estimated
location parameter (denoted by “E”) of 0.062. (If we were to click on View/Delete
Models at the Models tab, we would see that the normal distribution was not
automatically fit to our non-negative service-time data. This is because the normal
distribution can take on negative values. However, the normal distribution could, if
desired, be fit to our data using the Fit Individual Models option at the Models tab.)

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Table 2.7. Evaluation of the candidate models.

Relative Evaluation of Candidate Models


Relative
Model Score Parameters
1 - Weibull 100.00 Location 0.00000
Scale 1.33367
Shape 2.18304
-4
2 - Beta 95.00 Lower endpoint 6.46210 e
Upper endpoint 3.72935
Shape #1 2.53832
Shape #2 5.47937
3 - Rayleigh(E) 88.75 Location 0.06196
Scale 1.25652
21 models are defined with scores between 3.75 and 100.00

Absolute Evaluation of Model 1 - Weibull

Evaluation: Good
Suggestion: Additional evaluations using Comparisons Tab might be informative.
See Help for more information.

Additional Information about Model 1 - Weibull

"Error" in the model mean


relative to the sample mean 0.00139 = 0.12%

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Steps for Action D:
At window: Do:
Comparisons tab Click on Graphical Comparisons.

Graphical-Comparisons
Options Select Density-Histogram Plot.
Click on Apply.

Examine Density-Histogram Plot.

Density-Histogram
Plot Click on Done.

D: We now do some additional confirmation of the best-fitting Weibull distribution

using the Comparison tab, as suggested by the latter part of the Absolute Evaluation
message. The Density-Histogram Plot based on the final histogram is shown in
Figure 2.3. The closeness of the density function to the histogram visually confirms the
quality of the Weibull representation. Note that we could have simultaneously
plotted the density functions of several distributions in Figure 2.3.

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Density-Histogram Plot
0.17

0.14

0.10
Density/Proportion

0.07

0.03

0.00
0.13 0.63 1.13 1.63 2.13 2.63 3.13
Interval Midpoint
13 intervals of w idth 0.25 1 - Weibull

Figure 2.3. Density-Histogram Plot for the fitted Weibull distribution and the
service-time data.

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Steps for Action E:
At window: Do:
Graphical-Comparisons
Options Select Distribution-Function-Differences Plot.
Click on Apply.

Examine Distribution-Function-Differences Plot.

Distribution-Function-
Differences Plot Click on Done.

Graphical-Comparisons
Options Click on Done.

E: We present a Distribution-Function-Differences Plot for the Weibull distribution

in Figure 2.4. The plot shows the differences between the Weibull distribution function
and the sample distribution function over the range of the data. [The sample
distribution function, which is an estimate of the true underlying distribution function of
the data, is defined at a particular value of x as (approximately) the proportion of
observations in the sample that is less than or equal to x.] Since the vertical differences
in the plot are close to 0, this is further indication that the Weibull distribution is a good
model for the data.

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Distribution-Function-Differences Plot
0.20

0.13

0.07
Difference (Proportion)

0.00

-0.07

-0.13

-0.20
0.06 0.50 0.93 1.37 1.81 2.24 2.68 3.11
x
Use caution if plot crosses line 1 - Weibull (mean diff. = 0.00501)

Figure 2.4. Distribution-Function-Differences Plot for the fitted Weibull


distribution and the service-time data.

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Steps for Action F:
At window: Do:
Comparisons tab Click on Goodness-of-Fit Tests.
Options for
Goodness-of-Fit Tests Select Anderson-Darling Test.
Click on Apply.

Examine Anderson-Darling Test.

Anderson-Darling Test Click on Done.

Options for
Goodness-of-Fit Tests Click on Done.

F: We conclude the confirmation process by performing an Anderson-Darling Test

(the most-powerful test available in ExpertFit) to see formally whether our data could
have been generated from the specified Weibull distribution. (You may want to read
the discussion of goodness-of-fit tests in the Goodness-of-Fit Tests and Their
Interpretation tutorial in the software before proceeding.) We will perform the test at a
level (alpha) of 0.05. Since the Anderson-Darling statistic, 0.205, is less than critical
value, 0.750, we do not reject the Weibull distribution. You should keep in mind that
failure to reject by this test does not necessarily mean that the Weibull distribution is
exactly the distribution that produced the data; this test tends to have low power for
small to moderate sample sizes. (We also performed the Kolmogorov-Smirnov Test
and Chi-Square Test and they also did not reject the Weibull distribution.)
In summary, there is no reason to believe based on the above heuristics and
tests that the Weibull distribution does not provide a good model for the service-time
data.

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Steps for Action G:
At window: Do:
Comparisons tab Click on Applications tab.
Applications tab Click on Simulation Representation in the
Use a Specified Distribution (Model) section.
Simulation-Representation
Options Select the simulation software of your choice.
Click on Apply.

Examine Simulation-Software Representation.

Simulation-Software
Representation Click on Done.
Simulation-Representation Click on Done.
Options
Applications tab In the File menu, select Close Data Analysis.

G: If you are using ExpertFit in the context of simulation modeling, we now see how to

put the selected Weibull distribution into the proper format for several different
simulation-software products using the Applications tab. In particular, the above
actions show how to represent the Weibull distribution in the software product of your
choice; the actual representations for selected products are shown in Table 2.8.

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Table 2.8. Simulation-software representations for the Weibull distribution.

Software Product Representation

AnyLogic weibull(2.183039, 1.333669, 0.000000)

Arena WEIB(1.333669, 2.183039, <stream>)

AutoMod weibull 2.183039, 1.333669

ExtendSim Distribution Weibull


Scale 1.333669
Shape 2.183039
Location 0.000000
Flexsim Distribution Weibull
Location 0.000000
Scale 1.333669
Shape 2.183039
ProModel W(2.183039, 1.333669, <stream>)

Simio Random.Weibull(2.183039, 1.333669, <stream>)

WITNESS WEIBULL(2.183039, 1.333669, <stream>)

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Example 2.2: Ship-Loading Times

This sample of n = 856 observations corresponds to loading times (in hours) for
an oil tanker. The Data-Summary Table is given in Table 2.9; the positive skewness
and the fact that the mean is larger than the median both suggest the underlying
distribution of the data has a longer right tail than left tail.
A histogram of the data with a lower endpoint of 0, an interval width of 0.1, and
23 intervals is given in Figure 2.5 – the latter two choices were obtained by trial and
error. Note that the histogram is reasonably smooth, skewed to the right, and is
definitely shifted away from the origin.
The process of finding a distribution that is a good representation for the data
once again begins by selecting Automated Fitting. The log-logistic distribution was
found by ExpertFit to provide the best representation (see Table 2.10), with a Relative
Score of 100.00. The Absolute Evaluation for the log-logistic distribution is “Good,”
which indicates that there is no reason for concern. Also, the model mean and sample
mean differ by only 0.34 percent.

Table 2.9. Data summary for the ship-loading times.

Data Characteristic Value

Source file Exam22


Observation type Real valued
Number of observations 856
Minimum observation 0.36736
Maximum observation 2.17986
Mean 0.84244
Median 0.82326
Variance 0.03584
Coefficient of variation 0.22471
Skewness 1.82628

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Histogram
0.25

0.20

0.15
Proportion

0.10

0.05

0.00
0.05 0.35 0.65 0.95 1.25 1.55 1.85 2.15
Interval Midpoint
23 intervals of w idth 0.1

Figure 2.5. Histogram of the ship-loading times.

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Table 2.10. Evaluation of the candidate models.

Relative Evaluation of Candidate Models


Relative
Model Score Parameters
1 – Log-Logistic 100.00 Location 0.00000
Scale 0.82199
Shape 8.84087
2 – Pearson Type VI 91.35 Location 0.00000
Scale 0.25314
Shape #1 99.97455
Shape #2 31.06366
3 – Pearson Type V 88.46 Location 0.00000
Scale 19.18409
Shape 23.78474
27 models are defined with scores between 1.92 and 100.00

Absolute Evaluation of Model 1 – Log-Logistic

Evaluation: Good
Suggestion: Additional evaluations using Comparisons Tab might be informative.
See Help for more information.

Additional Information about Model 1 – Log-Logistic

"Error" in the model mean


relative to the sample mean 0.00290 = 0.34%

34
We continue our evaluation of the log-logistic distribution by displaying the
Density-Histogram Plot in Figure 2.6. This plot seems to indicate that the log-logistic
distribution provides a good fit for the ship-loading times.

Density-Histogram Plot
0.27

0.22

0.16
Density/Proportion

0.11

0.05

0.00
0.05 0.35 0.65 0.95 1.25 1.55 1.85 2.15
Interval Midpoint
23 intervals of w idth 0.1 1 - Log-Logistic

Figure 2.6. Density-Histogram Plot for the fitted log-logistic distribution and
the ship-loading times.

35
The Distribution-Function-Differences Plot for the log-logistic distribution is
displayed in Figure 2.7. The small vertical differences (errors) suggest that this model
provides a good fit. The P-P Plot in Figure 2.8 also indicates a good fit, since the plot
is close to the straight line with a slope of 1 and a y-intercept of 0.

Distribution-Function-Differences Plot
0.20

0.13

0.07
Difference (Proportion)

0.00

-0.07

-0.13

-0.20
0.37 0.63 0.89 1.14 1.40 1.66 1.92 2.18
x
Use caution if plot crosses line 1 - Log-Logistic (mean diff. = 0.00517)

Figure 2.7. Distribution-Function-Differences Plot for the fitted log-logistic


distribution and the ship-loading times.

36
P-P Plot
1.00

0.80

0.60
Model Value

0.40

0.20

0.00
0.00 0.20 0.40 0.60 0.80 1.00
Sample Value
Range of sample 1 - Log-Logistic (discrepancy = 0.01424)

Figure 2.8. P-P Plot for the fitted log-logistic distribution and the ship-loading
times.

We performed an equal-probability chi-test with 40 intervals and a Kolmogorov-


Smirnov test each at level α = 0.05, and these tests failed to reject the log-logistic
distribution.
In summary, the log-logistic distribution appears to be a good model for the ship-
loading times. It is interesting to note that the “esoteric” log-logistic distribution provides
a better model than the well-known gamma, lognormal, and Weibull distributions.
Suppose that we want to compute a characteristic of the log-logistic distribution
such as the probability that it takes on a value less than or equal to 1. From the
Probability for an x calculation in the [Use a Specified Distribution (Model)]
Characteristics option at the Applications tab, we get 0.850.

37
Example 2.3: Repair Times for a Machine

This example discusses a data set where no model provides a good fit and
where the use of an empirical distribution is recommended.
This sample of n = 288 observations corresponds to repair times for a machine
used for manufacturing household products. Since the repair times were generally
rounded to the nearest 5 minutes, we converted the observations to real numbers to
allow a greater number of distribution choices. The Data-Summary Table is given in
Table 2.11, from which it appears that the underlying distribution of the data is skewed
to the right.
A histogram of the data with a lower endpoint for the first interval of 0, an interval
width of 11, and 17 intervals is given in Figure 2.9. It is clear that the histogram is
positively skewed and has a long right tail.
Using Automated Fitting, we find that the “best” fitting model is a Pearson type
V distribution, which has a Relative Score of 96.00. However, the Absolute
Evaluation is “Bad.” Finally, there is a significant error in the model mean relative to
the sample mean of 6.74 percent.

Table 2.11. Data summary for the repair-time data.

Data Characteristic Value

Source file Exam23


Observation type Real valued
Number of observations 288
Minimum observation 5.00000
Maximum observation 185.00000
Mean 33.84028
Median 20.00000
Variance 921.11029
Coefficient of variation 0.89685
Skewness 2.40790

38
Histogram
0.40

0.32

0.24
Proportion

0.16

0.08

0.00
5.50 38.50 71.50 104.50 137.50 170.50
Interval Midpoint
17 intervals of w idth 11

Figure 2.9. Histogram of the repair-time data.

39
The poor quality of the Pearson type V representation is confirmed by the
Density-Histogram Plot in Figure 2.10. (You might also try the Frequency-
Comparison Plot.)

Density-Histogram Plot
0.40

0.32

0.24
Density/Proportion

0.16

0.08

0.00
5.50 38.50 71.50 104.50 137.50 170.50
Interval Midpoint
17 intervals of w idth 11 1 - Pearson Type V(E)

Figure 2.10. Density-Histogram Plot for the fitted Pearson type V distribution and
the repair-time data.

40
The Distribution-Function-Differences Plot for the Pearson type V distribution
in Figure 2.11 crosses the blue-dashed rectangle, which strongly indicates that this
distribution is not a good representation for the data. Goodness-of-fit tests are not
applicable to the inverse Gaussian distribution since, for example, the location
parameter was not estimated by the method of maximum likelihood.

Distribution-Function-Differences Plot
0.20

0.13

0.07
Difference (Proportion)

0.00

-0.07

-0.13

-0.20
5.00 30.71 56.43 82.14 107.86 133.57 159.28 185.00
x
Use caution if plot crosses line 1 - Pearson Type V(E) (mean diff. = 0.01272)

Figure 2.11. Distribution-Function-Differences Plot for the fitted Pearson Type V


distribution and the repair-time data.

41
In summary, none of the fitted continuous distributions appears to provide a
good representation for the repair-time data. (This is not surprising since there are only
32 distinct values in a sample with a range of [5, 185] – no discrete distribution works
either.) Therefore, if we are doing simulation modeling, we must resort to the use of an
empirical distribution. The empirical distribution function based on the distinct sample
values is shown in Figure 2.12. You can employ the (Use an Empirical Distribution)
Simulation Representation option at the Applications tab to put this empirical
distribution into the proper format for your simulation software. Furthermore, you can
use the Copy button to place the simulation-software representation into the Windows
Clipboard.

Distribution Function Plot


1.00

0.80

0.60
F(x)

0.40

0.20

0.00
5.00 30.71 56.43 82.14 107.86 133.57 159.28 185.00
x
Empirical using 288 sample values

Figure 2.12. Empirical distribution function for the repair-time data based on the
unique data values.

42
Example 2.4: Weekly Product Sales

In this example we illustrate how ExpertFit can be used to analyze an integer data set.
The Data-Summary Table for n = 156 weekly sales of a product over a 3-year period
[see Law (2007, p. 325)] is given in Table 2.12. (Note that values range from 0 to 11.)
A histogram of the sales data, starting at 0 and using 12 intervals that each contain one
value, is given in Figure 2.13. Its shape is similar to the probability mass function of a
geometric distribution.
Using Automated Fitting, ExpertFit found that the geometric distribution with
pˆ (0) = 0.346 provides the best representation, receiving a Relative Score of 83.33 (see
Table 2.13). This score is low because the second-best model is the negative binomial
distribution with sˆ = 1 and pˆ (0) = 0.346 , which is the same as the above geometric
distribution. If the negative binomial distribution is deleted (see View/Delete Models at
the Models tab), then the Relative Score of the geometric distribution is 100.00. The
Absolute Evaluation for the geometric distribution is “Indeterminate,” which indicates
that additional evaluations using the Comparisons Tab are strongly recommended.

Table 2.12. Data summary for the sales data.

Data Characteristic Value

Source file Exam24


Observation type Integer valued
Number of observations 156
Minimum observation 0
Maximum observation 11
Mean 1.89103
Median 1.00000
Variance 5.28482
Lexis ratio (var./mean) 2.79469
Skewness 1.68749

43
Histogram
0.38

0.30

0.23
Proportion

0.15

0.08

0.00
0 2 4 6 8 10
Value
12 intervals of w idth 1

Figure 2.13. Histogram of the sales data.

44
Table 2.13. Evaluation of the candidate models.

Relative Evaluation of Candidate Models


Relative
Model Score Parameters
1 - Geometric 83.33 Probability 0.34590
2 - Negative Binomial 83.33 Probability 0.34590
Success 1
3 - Poisson 33.33 Lambda 1.89103
4 models are defined with scores between 0.00 and 83.33

Absolute Evaluation of Model 1 - Geometric

Evaluation: Indeterminate

Suggestion: Additional evaluations using Comparisons Tab are strongly recommended.


See Help for more information.
Additional Information about Model 1 - Geometric

""Error" in the model mean


relative to the sample mean 0

45
To determine whether the geometric distribution is a good representation for the
sales data, we present a Frequency-Comparison Plot for the geometric distribution in
Figure 2.14. The agreement between the histogram and the expected proportions for
the geometric distribution is good except possibly for the interval corresponding to x = 1.

Frequency-Comparison Plot
0.38

0.30

0.23
Proportion

0.15

0.08

0.00
0 2 4 6 8 10
Value
12 intervals of w idth 1 1 - Geometric

Figure 2.14. Frequency-Comparison Plot for the fitted geometric distribution and
the sales data.

46
A Distribution-Function-Differences Plot and P-P Plot for the geometric
distribution are given in Figures 2.15 and 2.16, respectively. Neither of these plots
gives us any particular reason to think that the geometric distribution is not a good
representation for the sales data.

Distribution-Function-Differences Plot
0.20

0.13

0.07
Difference (Proportion)

0.00

-0.07

-0.13

-0.20
0 2 4 6 8 10
x
Use caution if plot crosses line 1 - Geometric (mean diff. = 0.00884)

Figure 2.15. Distribution-Function-Differences Plot for the fitted geometric


distribution and the sales data.

47
P-P Plot
1.00

0.80

0.60
Model Value

0.40

0.20

0.00
0.00 0.20 0.40 0.60 0.80 1.00
Sample Value
Range of sample 1 - Geometric (discrepancy = 0.04460)

Figure 2.16. P-P Plot for the fitted geometric distribution and the sales data.

48
We conclude this example by performing an Equal-Width Chi-Square Test for
the geometric distribution, since equal-probable intervals are not available for discrete
distributions. It is recommended for discrete distributions that the intervals be chosen
so that the probabilities (expected numbers or counts) under the hypothesized model
are approximately equal for all intervals. One way to do this is to note that the mode
(most-likely value) of the geometric distribution is 0; furthermore, pˆ (0) = 0.346 . The
large value for the mode limits our choice of intervals and we end up with the three
intervals given in Table 2.14, where most of the calculations for the chi-square test are
also presented. (These intervals were obtained using the View/Group Cells button.)
Note that the expected count for each interval is at least 5, as is recommended. Since
the chi-square statistic value of 1.930 is less than the critical value of 5.991
corresponding to a level of 0.05 and 2 degrees of freedom, we do not reject the
geometric distribution at level 0.05.
In summary we have no reason to believe that the geometric distribution is not a
good model for our data.

Table 2.14. Intervals and results for the chi-square test.

Cell Structure Counts


Contents Upper Endpoint Sample Model (Expected) Contribution to Statistic

1: 1..1 0 59 53.96009 0.47073

2: 2..3 2 50 58.38219 1.20347

3: 4..12 infinity 47 43.65772 0.25587

49
3. Data Analysis Module – Advanced Mode

In this chapter we discuss Advanced Mode for the Data Analysis module,
which is accessed from the Mode pull-down menu at the top of the screen. Advanced
Mode contains a large number of features that are not in Standard Mode – these
features will be of interest to the sophisticated user. However, a user can switch from
one mode to another at any time.
The use of Advanced Mode for the Data Analysis module to determine what
probability distribution best represents a data set is based on the sequential application
of the four tabs shown in Table 3.1. (These tabs are similar to those in Table 2.1.)

Table 3.1. Tabs for the Data Analysis module.

Tab Overall Purpose

Data Used to read in a data set from a file, enter a data set at the
keyboard, or paste in a sample from the Clipboard

Models Used to “fit” probability distributions to a data set

Comparisons Used to compare the fitted distributions to the data set

Applications Used to determine or display characteristics of a distribution (e.g., its


moments or density function) or to represent the distribution in a
simulation-software product

The options available in these four tabs are shown in Tables 3.2 through 3.5,
respectively.

50
Table 3.2. Options for the Data tab.

Option Specific Purpose

Enter Data Read Data from File


Enter/Edit Data Values (enter values at the keyboard,
delete values, paste in values from Clipboard, copy all
values to Clipboard for export)
Delete Data Set
View/Modify Data
View Data (either sorted or unsorted)
Create a Subset
Perform a Transformation

Data Summary Summary statistics for the data set

Histogram Histogram Plot


Frequency Table

Additional Data Summaries Scatter Plot


Lag-Correlations Plot
Lag-Correlations Table
Moving-Average Plot
Box Plot
Box-Plot Table

Homogeneity Tests Perform Kruskal-Wallis Test


Histogram Comparisons
Distribution Function Comparisons
Box-Plot Comparisons
Merge Selected Data Sets

51
Table 3.3. Options for the Models tab.

Option Specific Purpose

Automated Fitting Automatic fitting, ranking, and evaluation of models


based on a default characterization of the random
variable range – user may change the default range

Fit Individual Models Manual fitting of specific distributions – parameter


values can be estimated from data or user specified

Fit a Class of Models Automatic fitting of all models in a particular class (i.e.,
non-negative continuous, bounded continuous, and
unbounded continuous) – parameters are typically
estimated from the data

View/Delete Models Show Model Parameters


Delete Models

52
Table 3.4. Options for the Comparisons tab.

Option Specific Purpose

Histogram Comparisons Density-Histogram Plot (real data only)


Frequency-Comparison Plot
Frequency-Comparison Table
Raw-Error Plot
Absolute-Error Plot
Table of Errors

Distribution Comparisons Distribution-Function-Differences Plot


Table of Errors
Distribution Function Plot

Survivor Function Plot

Probability Plots P-P Plot


Q-Q Plot (real data only)
Relative-Discrepancies Table

Goodness-of-Fit Tests Anderson-Darling Test (real data only)


Kolmogorov-Smirnov Test (real data only)
Equal-Probable Chi-Square Test
Equal-Width Chi-Square Test
Test-Statistics Comparison (real data only)

Additional Comparisons Moment-Comparison Table


Box-Plot Comparisons Plot (real data only)
Box-Plot Comparisons Percentile Table (real data only)
Likelihood-Function Table
Evaluate a Model Evaluation Report
Distribution-Function-Differences Plot

53
Table 3.5. Options for the Applications tab.

Option Specific Purpose

Use a Specified Characteristics (density function plot, moments, etc.) of


Distribution (Model) a distribution
Representation of a distribution in a simulation-software
product
Generate random values from a distribution
Use an Empirical Characteristics [distribution function plot, percentiles
Distribution (only for real data), etc.] of an empirical distribution

Representation of an empirical distribution in a


simulation-software product

54
Although there are different ways that these four tabs could be used to
determine the best distribution for a data set, the following are the explicit steps that we
recommend (same as for Standard Mode):
1. Obtain a data set using the Data tab – see Section 1.2 for a discussion of the type
and amount of data required.
2. View the resulting Data-Summary Table (at the Data tab) – provides information on
the center, shape, and range of the true density (mass) function.
3. Make a histogram of your data (used in Step 5) using the Data tab – see the
Constructing a Histogram from Your Data tutorial in the online help.
4. Select the distribution that is the best representation for your data using the
Automated Fitting option at the Models tab.
5. Confirm using the Comparisons tab that the best distribution as determined by
ExpertFit is, in fact, satisfactory in an absolute sense – see Section 2.1 for
recommendations.
6. If you are doing simulation modeling, then either represent the best-fitting
distribution (if good in an absolute sense) or an empirical distribution based on your
data (if the best distribution is not satisfactory) in your simulation software using the
Applications tab.
An example of the use of Advanced Mode for the Data Analysis module is
given in Section 3.1.

55
3.1. Example

We now present an example of the use of Advanced Mode for the Data
Analysis module, following the six-step approach outlined at the beginning of this
chapter. We use Normal Precision in fitting distributions to the data.

56
Example 3.1: Testing the Homogeneity of Two or More Data Sets

It is sometimes of interest to determine whether two or more “similar” data sets


are homogeneous. If the data sets are homogeneous, they can be merged. We can
then attempt to fit a single distribution to the merged data set.
Consider processing times corresponding to two different machines from the
same vendor. The data from machine 1, Example 3.1-1, contains 910 observations
and the data from machine 2, Example 3.1-2, contains 838 observations. We would
like to determine whether these data sets are homogeneous and, thus, can be merged.
Select the data set Example 3.1-1 in the Project EXAMPLES.EFP that comes with
ExpertFit. Now select Homogeneity Tests at the Data tab (for Advanced Mode) and
data set Example 3.1-2 from the scroll list of available data sets. We are now ready to
determine if the two selected data sets are homogeneous.
We first perform the Kruskal-Wallis test [see Law (2007, p. 380)] at level 0.05.
Since the test statistic, 0.004, is less than the critical value, 3.841 for 1 degree of
freedom, we cannot reject the hypothesis that the two data sets are homogeneous.
We next display a Frequency-Comparison Plot (see Histogram Comparisons
for Homogeneity Tests) for the two data sets, which plots histograms of both data sets
on the same graph. The common histograms, which start at 10 and have 14 intervals of
width 4.75, are shown in Figure 3.1. The similarity of the two histograms supports the
homogeneity of the two data sets.
Finally, we display a Distribution Function Plot and a Box-Plot Comparisons
for the two data sets in Figures 3.2 and 3.3, respectively. These plots also support
homogeneity.
In conclusion, there is no reason to believe that the two data sets are not
homogeneous, and we merge them by clicking on the Merge Selected Data Sets
option. The merged data set is added to the current Project and is named Merged
data set. However, the name of this data set can be changed by closing the current
data analysis (i.e., for the data set Example 3.1-1) and clicking on the Edit button.

57
Frequency-Comparison Plot
0.22

0.18

0.13
Proportion

0.09

0.04

0.00
12.38 21.88 31.38 40.88 50.38 59.88 69.38
Interval Midpoint
Example 3.1-1: Processing Times 1 Example 3.1-2: Processing Times 2

Figure 3.1. Frequency-Comparison Plot for the two data sets.

58
Distribution Function Plot
1.00

0.80

0.60
F(x)

0.40

0.20

0.00
17.00 24.83 32.66 40.49 48.31 56.14 63.97 71.80
x
Example 3.1-1: Processing Times 1 Example 3.1-2: Processing Times 2

Figure 3.2. Distribution Function Plot for the two data sets.

59
Box-Plot Comparisons

17.00 24.83 32.65 40.48 48.31 56.14 63.96 71.79

Example 3.1-1: Processing Times 1 Example 3.1-2: Processing Times 2

Figure 3.3. Box-Plot Comparisons for the two data sets.

60
We now use Automated Fitting (with Normal Precision) to determine what
distribution best represents the Merged data set, which consists of 1748 observations.
It turns out that the Pearson type V distribution provides the best fit with a Relative
Score of 97.92. The Absolute Evaluation is “Indeterminate,” which means that more
evaluations need to be performed at the Comparisons tab before the quality of the
representation provided by the Pearson type V distribution can be determined. The
Anderson-Darling test says to reject the Pearson type V distribution at level 0.05;
however, for this large sample size, the test is very powerful and may reject a
hypothesized distribution whose error may be practically insignificant. In fact, the
Density-Histogram Plot, the Distribution Function Plot, the Distribution-Function-
Differences Plot, and the P-P Plot all indicate that the Pearson type V distribution
provides a reasonably good representation of the data.

61
4. Task-Time Models Module

In some simulation studies it is not possible to obtain good data on the random
variables of interest, so the usual statistical techniques are not applicable to the
problem of selecting corresponding probability distributions. For example, if the system
being studied does not currently exist in some form, collecting data from the system is
obviously not possible. This difficulty can also occur for existing systems, if the number
of required probability distributions is large and the time available for the simulation
study prohibits the necessary data collection and analysis. In addition, sometimes there
are data available from an existing system, but the data are not in a format suitable for
use in a simulation model (e.g., the data were collected by an automated system). For
such situations ExpertFit provides guidance on modeling a task time in the Task-Time
Models module. Note that the use of no-data models is not a substitute for a careful
analysis of data collected from your system, if this is possible.
Consider the continuous random variable corresponding to the time to complete
some task (e.g., a machine repair time or a customer service time in a bank). ExpertFit
allows you to model such a random variable by a Weibull, lognormal, or triangular
distribution. For a particular distribution, you must give subjective estimates of the
minimum task time, the most-likely task time (the mode), and the 100pth percentile of
the task time. Allowable percentiles for the Weibull and lognormal distributions are the
90th (the default), 95th, and 99th; the 100th percentile (the maximum value) is also
available for the triangular distribution. More information on the use of the Task-Time
Models module can be found in the Modeling Task Times in the Absence of Data
tutorial, which is accessed from the Help pull-down menu in ExpertFit.
After completely specifying a task-time model, you can display characteristics of
the model such as its density function or percentiles. You can also represent the task-
time model in the simulation-software product of your choice.

62
4.1. Organization and Options

A Task-Time Model is based on the sequential use of the two tabs given in
Table 4.1.

Table 4.1. Tabs for the Task-Time Models module.

Tab Overall Purpose

Models Used to construct models for a task time

Applications Used to determine or display characteristics (e.g., density function) of


specified models or to represent the models in a simulation-software
product

The options for the Models and Applications tabs are given in Tables 4.2 and
4.3, respectively.

Table 4.2. Options for the Models tab.

Option Specific Purpose

Specify a Model Used to create new (or to modify existing) models for a
task time

View/Delete Models Used to display the parameters of currently specified


models or to delete models

63
Table 4.3. Options for the Applications tab.

Option Specific Purpose

Characteristics Density Function Plot


Distribution Function Plot
Moment Table
Percentile Table
Probability for an x
Percentile for a p

Simulation Representation of a model in a simulation-software


Representation product

64
4.2. Example

In this section we present an example of the use of the Task-Time Models


module.

65
Example 4.1: Modeling a Task Time

Steps for Action A:


At window: Do:
Project 1 Click on New.
Project-Element Editing Select Construct distributions in the absence of
data.
Select Task-Time Models.
In Project-Element Name edit box, enter Example
4.1.
Click on OK.
Project 1 Click on Analyze.
Models tab Click on Specify a Model.
Specify/Edit Task Time
Model Click on Create a New Model.
Assumptions for
Task Time Select Triangular Distribution.
Change the Minimum possible value to 1.0.
Change the Most-likely value to 4.0.
Change the Percentile to 100th (max.).
Change the 100th percentile to 11.0.
Click on Apply.
Specify/Edit Task-Time
Model Click on Done.
Models tab Click on Applications tab.
Applications tab Click on Characteristics.
Characteristics Options Select Density Function Plot.
Click on Apply.

Examine Density Function Plot.

Click on Done.

66
A: Suppose it is thought that the minimum and maximum times to perform some task

are 1 and 11 minutes. Furthermore, suppose that the most-likely time to perform the
task is believed to be 4 minutes. Then the density function of the ExpertFit-specified
triangular distribution is given in Figure 4.1. Suppose that we want to know the 95th
percentile of our model. Using the Percentile Table button in the Characteristics
option, we get the percentile table shown in Table 4.4. From this table we get that 95
percent of the time the task-time random variable will take on values less than or equal
to 9.129 minutes.
The use of a triangular distribution is a simple approach for modeling a task time
in the absence of data, and it is usually possible to get estimates of the three
parameters. However, the triangular distribution does not have a very flexible shape
[see Law (2007 p. 370)]. Therefore, one could use a Weibull distribution or a
lognormal distribution instead, which are also supported by ExpertFit.

67
Density Function Plot
0.20

0.16

0.12
f(x)

0.08

0.04

0.00
1.00 2.43 3.86 5.29 6.71 8.14 9.57 11.00
x
1 - Triangular

Figure 4.1. Density function of the specified triangular distribution.

68
Steps for Action A (continued):
At window: Do:
Characteristics Options Select Percentile Table.
Click on Apply.

Examine Percentile Table.

Percentile Table Click on Done.


Characteristics Options Click on Done.
Application tab In the File menu, select Close Task-Time Models.

69
Table 4.4. Percentiles of the specified triangular distribution.

Percent 1 - Triangular
0.0 1.00000
0.1 1.17321
0.5 1.38730
1.0 1.54772
2.5 1.86603
5.0 2.22474
10.0 2.73205
25.0 3.73861
50.0 5.08392
75.0 6.81670
90.0 8.35425
95.0 9.12917
97.5 9.67712
99.0 10.16334
99.5 10.40389
99.9 10.73542
100.0 11.00000

70
5. Machine-Breakdown Models Module

Representing the breakdown and repair of a machine in a simulation model is


considerably more complicated than just modeling a task time, since we have both
machine uptimes and downtimes to be concerned with. Also, the machine can be
starved (waiting for parts) or blocked (inability to remove a part from the machine) by
other machines downstream from it.
A machine goes through a sequence of cycles, with the jth cycle consisting of an
up segment (machine is operational) of length Uj, followed by a down segment of length
Dj. During an up segment, a machine will process parts if any are available and if the
machine is not blocked. The first two up-down cycles for a machine are shown in
Figure 5.1. Let Bj and Ij be the amounts of time during Uj that the machine is busy
processing parts and that the machine is idle (either starved for parts or blocked by the
current finished part), respectively. Thus, Uj = Bj + Ij. Note that Bj and Ij may each
correspond to a number of separated time segments and, thus, are not represented in
Figure 5.1.
We will assume for simplicity that cycles are independent of each other and are
probabilistically identical. We will also assume that Uj and Dj are independent for all j.
ExpertFit will help you specify probability distributions for a busy time B and for a
downtime D.

U1 D1 U2 D2
Time
0
End of cycle End of cycle

Figure 5.1. Up-down cycles for a machine.

71
The busy time before failure of the machine, B, is assumed to have a gamma
distribution with a shape parameter α equal to 0.7 and a scale parameter βB to be
specified, as shown in Figure 5.2. We chose the gamma distribution because of its
flexibility (i.e., its density can assume a wide variety of shapes) and because it has the
general shape of many busy-time histograms when α is less than or equal to 1. The
particular shape parameter of 0.7 for the gamma distribution was determined by fitting a
gamma distribution to a number of different sets of busy-time data, with 0.7 being the
average shape parameter obtained.
Note that busy time for a machine is only accumulated when the machine is
doing productive work, not when it is blocked or starved. For example, suppose that
the first busy time generated from the gamma distribution is 60.7 minutes and that each
part takes exactly 1 minute to be processed. Then the machine fails while processing
its 61st part. However, the simulation clock might be somewhat larger than 60.7 when
the machine fails, due to starving or blocking for the machine.
At the instant the machine fails, we assume that the downtime of the machine, D,
begins. The downtime of the machine is assumed to have a gamma distribution with a
shape parameter α equal to 1.3 and a scale parameter βD to be specified, as shown in
Figure 5.3. This particular shape parameter was determined by fitting a gamma
distribution to a number of different sets of downtime data, with 1.3 being the average
shape parameter obtained.
In order to determine the values of the scale parameters βB and βD, ExpertFit
asks you to give subjective estimates for two of the following three basic machine
characteristics:
• Machine efficiency
• Mean downtime for the machine
• Mean number of downs in some time period (e.g., in an 8-hour shift)
The efficiency of a machine is defined to be the long-run proportion of potential
processing time (i.e., parts present and machine not blocked) during which the machine
is actually processing parts. If the machine is never starved or blocked, then the
efficiency is the long-run proportion of time that the machine is processing parts.

72
Density Function Plot
15.50

12.91

10.33

7.75
f(x)

5.17

2.58

0.00
0.00 0.87 1.73 2.60 3.46 4.33 5.20 6.06
x

Figure 5.2. Busy-time gamma distribution with α = 0.7 and β B = 1.0.

73
Density Function Plot
0.58

0.48

0.38

0.29
f(x)

0.19

0.10

0.00
0.00 1.09 2.19 3.28 4.38 5.47 6.57 7.66
x

Figure 5.3. Downtime gamma distribution with α = 1.3 and β D = 1.0.

74
The mean downtime of a machine is the mean amount of time that elapses from
the instant the machine breaks down until the instant that it is repaired; it includes both
the time spent waiting for a repairman (if any) and the repair time itself.
The mean number of downs in some time period (called the Time Frame in
ExpertFit) such as a shift (possibly, non integral) is, more specifically, the mean number
of busy-time/downtime cycles in a time period. For example, if the mean number of
downs is exactly 2, then the machine fails and is subsequently repaired an average of 2
times in a time period.
If the machine is subject to significant starving or blocking, then you must also
give the mean number of parts produced per time period and the mean part-processing
time in order for ExpertFit to compute βB and βD.
The default gamma distributions used for busy time and downtime have location
parameters of zero; thus, they can take on arbitrarily small positive values. However, in
practice one or both of these distributions might have a minimum possible value (i.e., its
location parameter) that is a positive number. For example, it might be known that the
minimum possible downtime is 10 minutes. Thus, ExpertFit allows you to specify a
positive value for the minimum possible downtime or for the minimum possible busy
time.

75
5.1. Organization and Options

A Machine-Breakdown Model is based on the sequential use of the two tabs


given in Table 5.1.

Table 5.1 Tabs for the Machine-Breakdown Models module.

Tab Overall Purpose

Models Used to construct models for the busy-time and downtime distributions

Applications Used to determine or display characteristics (e.g., density function) of


the above distributions and to represent these distributions in a
simulation-software product

The options for the Models and Applications tabs are given in Tables 5.2 and
5.3, respectively.

Table 5.2. Options for the Models tab.

Option Specific Purpose

Specify a Model Used to create models for the busy-time and downtime
distributions

View/Delete Models Used to display the parameters of currently specified


models or to delete models

76
Table 5.3. Options for the Applications tab.

Option Specific Purpose

Time-Frame Report Displays the expected total time during a time frame that
the machine will be busy, down, and either blocked or
starved

Characteristics Density Function Plot


Distribution Function Plot
Moment Table
Percentile Table
Probability for an x
Percentile for a probability p

Simulation Used to put the busy-time and downtime distributions


Representation into the proper format for direct input to a large number
of different simulation-software products

77
5.2. Examples

In this section we present two examples of the use of the Machine-Breakdown


Models module.

78
Example 5.1: Modeling Machine Downtimes in the Absence of Data

Steps for Action A:

At window: Do:
Project 1 Click on New.
Project-Element Editing Select Construct distributions in the absence of
data.
Select Machine-Breakdown Models.
In Project-Element Name edit box, enter Example
5.1.
Click on OK.
Project 1 Click on Analyze.
Models tab Click on Specify a Model.
Specify/Modify
Machine-Breakdown Model Click on Create a New Model.
Assumptions about
the Machine Specify the Machine efficiency to be 0.9.
Specify the Mean downtime to be 60.0.
Click on Additional Machine Characteristics tab.

Assumptions about
the Machine Specify the Minimum downtime to be 10.0.
Click on OK.

Specify/Modify
Machine-Breakdown Model Click on Done.

79
A: Consider a machine that is never starved or blocked. Suppose that the machine

has an efficiency of 0.9; that is, it is actually producing parts 90 percent of the time.
When the machine goes down, the mean downtime is 60 minutes. However, the
minimum possible downtime is 10 minutes. These characteristics are entered using
the commands on the previous page. Note that the default values for the Blocking
and/or Starving are Significant checkbox, Characteristics to be Entered, and
Time Unit are correct. Time Frame is not used in this example.
The machine busy-time and downtime distributions have now been completely
specified, and all of the specified and calculated (shown in blue) machine
characteristics are shown on the Specify/Modify Machine-Breakdown Model screen.
In particular, note that the mean number of downs (actually the mean number of busy-
time/downtime cycles) per 8-hour shift has been calculated to be 0.8. This makes
sense since the mean length of a busy-time/downtime cycle is 10 hours.

80
Steps for Action B:

At window: Do:
Models tab Click on Applications tab.
Applications tab Click on Time-Frame Report.
Specify Units and Model for
Time-Frame Report Click on Apply.

Examine Time-Frame Report.

Click on Done.
Specify Units and Model for
Time-Frame Report Click on Done.
Applications tab Click on Models tab.
(This step anticipates proceeding to Example 5.2.)

B: We now can display various characteristics of the busy-time and downtime

distributions. For example, a machine Time-Frame Report is given in Table 5.4. Note
from this report that the machine is expected to be busy 90 percent of the time, which is
another way of saying that its efficiency is 0.9 (also see Table 5.5).

81
Table 5.4. Machine Time-Frame Report for the specified busy-time and downtime
models.

Machine Time-Frame Report for Model 1 - Know e and D

Time unit Minutes


Time frame 1 8-Hour Shift

Blocking and/or starving Not significant


Machine efficiency 0.90000
Minimum downtime 10.00000
Mean downtime 60.00000
Mean number of downs <calculated> 0.80000
Minimum busy time 0.00000
Mean busy time <calculated> 540.00000
Mean number of parts produced <not applicable>
Mean part-processing time <not applicable>

Expected Total Time Expected Percentage


Machine Status During Time Frame of Time Frame
Busy 432.00000 90.00000
Down 48.00000 10.00000
Blocked or Starved 0.00000 0.00000
Total 480.00000 100.00000

82
Example 5.2: Continuation of Previous Example

Steps for Action A:

At window: Do:
Models tab Click on Specify a Model.
Specify/Modify
Machine-Breakdown Model Click on Create a New Model.
Assumptions about Click on the Blocking and/or Starving are
the Machine Significant checkbox.
Specify the Machine efficiency to be 0.9.
Specify the Mean downtime to be 60.0.
Click on Part Production Characteristics tab.
Assumptions about
the Machine Specify the Mean number of parts produced
to be 100.
Specify the Mean part-processing time to be 4.0.
Click on Additional Machine Characteristics tab.
Assumptions about
the Machine Specify the Minimum downtime to be 10.0.
Click on OK.
Specify/Modify
Machine-Breakdown Model Click on Done.

83
A: Suppose for the machine of Example 5.1 that blocking/starving is now significant.

For example raw materials might arrive to the machine on an intermittent basis.
Suppose also that the mean number of parts produced per 8-hour shift (the default
value of the Time Frame) is 100 and the mean part-processing time is 4 minutes.
We set the Blocking and/or Starving are Significant checkbox to “on” at the Basic
Machine Characteristics tab, in addition to specifying the Machine Efficiency and
Mean Downtime as in Example 5.1. Because blocking/starving is now significant, we
must specify values for Mean number of parts produced and Mean part-processing
time at the Part Production Characteristics tab. Finally, the Minimum downtime is
specified at the Additional Machine Characteristics tab.

84
Steps for Action B:

At window: Do:
Models tab Click on Applications tab.
Applications tab Click on Time-Frame Report.
Specify Units and Model for
Time-Frame Report Select model 2 in the Model for Time-Frame Report
scroll list.
Click on Apply.

Examine Time-Frame Report.

Click on Done.
Specify Units and Model for
Time-Frame Report Click on Done.
Application tab In the File menu, select Close Machine-Breakdown
Models.

B: In Table 5.5 we display a machine Time-Frame Report, from which we can see

that the machine is expected to be busy 83.33 percent of time. Recall in Example 5.1
(see Table 5.4) that the machine was expected to be busy 90 percent of the time. Also
the Mean number of downs per 8-hour shift is different for the two examples. Thus, the
simulation results for the two examples will be different provided that the machine does,
indeed, experience blocking/starving in the second example.

85
Table 5.5. Machine Time-Frame Report for the specified busy-time and downtime
models.

Machine Time-Frame Report for Model 2 - Know e and D, B and/or S

Time unit Minutes


Time frame 1 8-Hour Shift

Blocking and/or starving Significant


Machine efficiency 0.90000
Minimum downtime 10.00000
Mean downtime 60.00000
Mean number of downs <calculated> 0.74074
Minimum busy time 0.00000
Mean busy time <calculated> 540.00000
Mean number of parts produced 100.00000
Mean part-processing time 4.00000
Expected Total Time Expected Percentage
Machine Status During Time Frame of Time Frame
Busy 400.00000 83.33333
Down 44.44444 9.25926
Blocked or Starved 35.55556 7.40741
Total 480.00000 100.00000

86
6. Distribution Viewer

The Distribution Viewer is used to display/calculate characteristics (e.g., the


density function or moments) of a distribution without having to enter a data set. It is
accessed from the Menu Bar at the top of the screen.
The distribution of interest is selected from the scroll list in the upper left-hand
corner of the screen and its density (or mass) function is displayed automatically for
default values of the distribution’s parameters. The parameters can be changed in the
following two ways:
• The value for a particular parameter can be entered in the corresponding data box.
[Click on the equal sign (“=”) and then enter a value.] In order to obtain a
meaningful density function plot, there are limits on the value of a parameter.
• A particular parameter can be changed dynamically by clicking on the “up” or “down”
button to the right of the data box. Clicking the up (down) button causes a real-
valued parameter to increase (decrease) by 0.1. (For an integer-valued parameter,
the change is 1 or –1.) Alternatively, a button can be held down to change the
parameter at a faster rate.
You can, in certain cases, choose to plot a density (or mass) function from either
its 0th or ath (e.g., a = 0.1) percentile to either its bth (e.g., b = 99.9) or 100th
percentile. Use of other than the 0th or the 100th percentile may be necessary to
obtain a plot that is not completely concentrated near the origin.
Additional information (e.g., moments, percentiles, and probabilities) about the
selected distribution can be obtained by clicking on the Other Options button in the
lower left-hand corner of the screen.

87
7. Batch Mode

Batch Mode, which is available in the Professional Version of ExpertFit or the


Analyst with Batch Mode Version, is used to fit distributions to several data sets with
only a few keystrokes. It is accessed from the Menu Bar at the top of the screen. Table
7.1 gives the four selections that can be made in Batch Mode.
Table 7.1. Options for Batch Mode.
Option Specific Purpose

Data Entry Used to choose the data sets for analysis.


Data entry can be performed by
reading an ASCII file containing a single
data set, by reading an ASCII file that
contains several data sets in columns
(e.g., from Excel), and by copying a data
set from the Clipboard.

Analysis Options Used to specify certain options for the


fitting process such as whether all
data sets should be treated as real valued
and whether to display a simulation-
software representation for the best-fitting
distribution for each data set

Perform Analyses Used to fit distributions to the selected


data sets and to display the results

Review Results Used to review the results from the fitting


process

88
References

Evans, M., N. Hastings, and B. Peacock, Statistical Distributions, Third Edition, John
Wiley, New York (2000).
Johnson, N. L., S. Kotz, and N. Balakrishnan, Continuous Univariate Distributions,
Volume 1, Second Edition, Houghton Mifflin, Boston (1994).
Johnson, N. L., S. Kotz, and N. Balakrishnan, Continuous Univariate Distributions,
Volume 2, Second Edition, Houghton Mifflin, Boston (1995).
Johnson, N. L., S. Kotz, and A.W. Kemp, Univariate Discrete Distributions, Second
Edition, Houghton Mifflin, Boston (1992).
Law, A. M., Simulation Modeling and Analysis, Fourth Edition, McGraw-Hill, New York
(2007).

89
Appendix A. Distributions Included in ExpertFit

In this appendix we present important information on the thirty-two continuous and eight
discrete standard distributions available in ExpertFit. (ExpertFit also supports three types of
empirical distributions.) These distributions are organized according to the following categories:

Category Distribution Notation Page


Non-negative Chi-Square chisq(ν) 97
Continuous Erlang m-Erlang(β) or
Erlang(γ, β, m) 99
Exponential expo(γ, β) 101
F F(ν1, ν2) 105
Gamma gamma(γ, β, α) 106
Inverse Gaussian IG(γ, β, α) 109
Inverted Weibull IW(γ, β, α) 110
Log-Laplace LP(γ, β, α) 116
Log-Logistic LL(γ, β, α) 117
Lognormal LN(γ, β, α) 118
Pareto Pareto(γ, β) 121
Pearson Type V PT5(γ, β, α) 122
Pearson Type VI PT6(γ, β, α1,α2) 123
Random Walk RW(γ, β, α) 126
Rayleigh Rayleigh(γ, β) 127
Wald Wald(γ, α) 131
Weibull Weibull(γ, β, α) 132
Unbounded Cauchy Cauchy(γ, β) 96
Continuous Error error(h) 100
Exponential Power expower(γ, β, α) 102
Extreme Value Type A EVTA(γ, β) 103
Extreme Value Type B EVTB(γ, β) 104
Johnson SU JSU(γ, β, α1,α2) 112
Laplace Laplace(γ, β) 113
Logistic logistic(γ, β) 115
Normal N(γ, β) 120
Student's t t(ν) 128

90
Category Distribution Notation Page
Bounded Beta beta(a, b, α1,α2) 94
Continuous Johnson SB JSB(a, b, α1,α2) 111
Power Function power(a, b, α) 125
Triangular triang(a, b, m) 129
Uniform U(a, b) 130
Discrete Bernoulli Bernoulli(p) 93
Binomial bin(t, p) 95
Discrete Uniform DU(i, j) 98
Geometric geom(p) 107
Hypergeometric hyper(N, n, s) 108
Logarithmic Series logseries(α) 114
Negative Binomial negbin(s, p) 119
Poisson Poisson(λ) 124

A continuous random variable can take on any value in some interval of the real line [e.g.,
(0, ∞)]. A non-negative continuous distribution restricts the random variable to be strictly larger
than a specified lower-bound value. A bounded continuous distribution restricts the random
variable to be strictly larger than a specified lower-bound value and strictly smaller than a
specified upper-bound value. An unbounded continuous distribution places no restrictions on the
values of the random variable. A discrete random variable can take on some subset of the non-
negative integers; the subset depends upon the specific distribution.

91
The following table describes the special symbols used in this Appendix:

Symbol Denotes Definition


n! Factorial function 1 if n = 0

n!=  n
∏ k i f n = 1, 2 , …
 k =1

t  Binomial coefficient t t!


   =
x  x  x !(t − x)!
Γ( z ) Gamma function ∞

∫t
z −1
Γ( z ) = e −tdt fo r z > 0
0

Note that Γ ( k + 1) = k ! for any non-negative integer k.

B(u , v ) Beta function 1


B(u , v ) = ∫ 0
t u − 1 (1 − t ) v − 1 d t fo r u > 0 a n d v > 0

Γ(u ) Γ( v )
N o te th a t B (u , v ) = B (v , u ) = .
Γ(u + v )

Φ(z) Standard normal


distribution function

 x  Floor function  x  is the integral part of the real number x

IID Independent,
identically distributed
∼ Is distributed as
∈ Is contained in

92
Bernoulli - Bernoulli(p) Discrete

1 − p if x = 0

Mass p (x) =  p if x = 1
0
 otherwise

Parameter p ∈ ( 0 ,1)

Range {0 , 1}

Mean p

Variance p (1 − p )

0 if p < 0.5

Mode 0 and 1 if p = 0.5
1 if p > 0.5

Comment:
1. The Bernoulli(p) and bin(1, p) distributions are the same.

Use the Distribution Viewer to display


the probability density or mass
function for a distribution.

93
Beta – beta(a, b,α1, α2) Bounded Continuous
  x − a  α1 −1  b − x  α2 −1
   

Density f (x) =   b − a   b − a  if a < x < b
 (b − a ) B ( α1 ,α 2 )
0
 otherwise

Parameters Lower-endpoint parameter a ∈ ( − ∞ , ∞ ) , upper-endpoint parameter b ( b > a ) ,


shape parameters α1 > 0 and α 2 > 0

Range (a , b)

α1
Mean a + (b − a)
α1 + α2

α1α2
Variance (b − a ) 2
(α1 + α2 ) 2 (α1 + α2 + 1)

 α1 − 1
a + (b − a ) α + α − 2 if α1 > 1,α 2 > 1
 1 2

a and b if α1 < 1,α 2 < 1


Mode a if (α1 < 1,α 2 ≥ 1) or (α1 = 1,α 2 > 1)

b if (α1 ≥ 1,α 2 < 1) or (α 1 > 1,α 2 = 1)

does not uniquely exist if α1 = α 2 = 1

Comments:
1. The beta(a, b,1,1) and U(a, b) distributions are the same.
2. If X 1 and X 2 are independent random variables with X i ∼ gamma(0, β , α i ) , then

Y = X 1 /( X 1 + X 2 ) ∼ beta(0,1, α1 , α 2 ) .

3. X ∼ beta(0,1, α1 , α 2 ) if and only if Y = X / (1 − X ) ∼ PT6(0,1, α1 , α 2 )

4. The density is symmetric about ( a + b) / 2 if and only if α1 = α 2 .


Also, the mean and mode are equal if and only if α1 = α 2 > 1 .
5. The beta(a, b,1, 2) density is a left triangle, and the beta(a, b, 2,1) density is a right triangle.
6. The beta(a, b, α1 ,1) and power(a, b, α1 ) distributions are the same.

94
Binomial - bin(t, p) Discrete

 t  x t−x
  p (1 − p ) if x ∈ {0, 1,...,t}
Mass p(x) =  x 
0
 otherwise

Parameters t a positive integer, p ∈ (0, 1)

Range {0,1, … , t )

Mean tp

Variance tp (1 − p )

 p ( t + 1) − 1 and p ( t + 1) if p ( t + 1) is an integer
Mode 
  p ( t + 1)  otherwise

Comments:
1. If Y1 , Y2 , …, Yt are independent Bernoulli(p) random variables, then
Z = Y1 + Y2 +  + Yt ∼ bin(t , p ) .
2. The bin(1, p) and Bernoulli(p) distributions are the same.
3. If X 1 , X 2 , … , X m are independent random variables with X i ∼ bin(ti , p ) , then
Y = X 1 + X 2 +  + X m ∼ bin(t1 + t2 +  + tm , p ) .
4. The bin(t , p ) mass function is symmetric if and only if p = 1/ 2 .

95
Cauchy - Cauchy(γ, β) Unbounded Continuous
−1
  x − γ  
2

Density f ( x) = π β [1 +    for all real numbers x


  β  

Parameters Location parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0


Range ( − ∞, ∞ )
Mean Does not exist
Variance Does not exist
Mode γ
Comment:
1. The Cauchy(0, 1) and t(1) distributions are the same.

96
Chi-Square - chisq(γ, ν ) Non-negative Continuous

 ( x − γ )(ν − 2) / 2 − ( x −γ ) / 2
 ν /2 e if x > γ
Density f (x) =  2 Γ(ν / 2)
0
 otherwise

Parameter Location (shift) parameter γ ∈ ( − ∞, ∞ ) and degrees of freedom ν > 0

Range (γ , ∞ )

Mean γ +ν

Variance 2ν

γ + ν − 2 if ν > 2
Mode 
γ otherwise

Comment:
1. The chisq(0,ν ) and gamma(0, 2,ν / 2) distributions are the same.

97
Discrete Uniform - DU(i, j) Discrete
 1
 if x ∈ {i,i + 1,..., j}
Mass p (x) =  j − i + 1
0 otherwise

Parameters i and j integers with i ≤ j ; i is a location parameter
and j − i is a scale parameter

Range {i, i + 1, …, j}

i+ j
Mean
2

(j − i + 1) 2 − 1
Variance
12

Mode Does not uniquely exist

Comment:
1. The DU(0, 1) and the Bernoulli(1/2) distributions are the same.

98
Erlang - m-Erlang(β)
or Erlang(γ, β, m) Non-negative Continuous

 (x − γ ) m −1  −(x − γ ) 
 m
f (x) =  β (m − 1)!
exp   if x > γ
Density  β 
0
 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0 ,


shape parameter m ∈ {1, 2, …}

Range (γ , ∞ )

Mean γ + mβ

Variance mβ 2

Mode γ + β ( m − 1)

Comments:
1. When γ = 0, the notation m-Erlang(β) is typically used.
2. The expo(γ, β) and Erlang(γ, β, 1) distributions are the same.
3. The Erlang(γ, β, m) and gamma(γ, β, m) distributions are the same.

99
Error - error(h) Unbounded continuous
h 2
Density f (x) = e − (xh ) for all real numbers x
π

Parameter Precision h > 0

Range ( − ∞ ,∞)

Mean 0

1
Variance
2h 2

Mode 0

Comment:
−1
1. The error(h) and N(0,  h 2  ) distributions are the same.

100
Exponential - expo(γ, β) Non-negative Continuous
1  −(x − γ ) 
 exp   if x > γ
Density f (x) =  β  β 
0
 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0

Range (γ , ∞ )

Mean γ +β

Variance β2

Mode γ

Comments:
1. The expo(γ, β) distribution is a special case of both the gamma and Weibull
distributions (for shape parameter α = 1, scale parameter β, and location
parameter γ in both cases).
2. If X 1 , X 2 , …, X m are independent expo(0, β) random variables, then
Y = X 1 + X 2 +  + X m ∼ gamma(0, β , m) , also called the m-Erlang(β)
distribution.

101
Exponential Power - expower(γ, β, α) Unbounded Continuous
 x − γ 2 /α 
exp  − 
 2β 
Density f (x) = for all real numbers x
α /2  α
2(2 β ) Γ 1 + 
 2

Parameters Location parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0 , shape parameter α > 0

Range ( − ∞, ∞ )

Mean γ

 3α 
2α β 2 Γ  
Variance  2 
α 
Γ 
2

Mode γ

Comments:
1. The expower(γ, β, 1) and N(γ , β ) distributions are the same.

2. The expower(γ, β, 2) and Laplace(γ, β /2) distributions are the same.

102
Extreme Value Type A - EVTA(γ , β ) Unbounded Continuous
Density f ( x ) = (1/ β ) exp[( x − γ ) / β ]exp{− exp[( x − γ ) / β ]} for all real numbers x

Parameters Location parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0

Range ( − ∞, ∞ )

Mean γ − 0.57722 β

Variance 1.64493β 2

Mode γ

Comments:
1. X ∼ Weibull(0, β , α ) if and only if Y = ln X ∼ EVTA(ln β ,1/ α )
2. X ∼ EVTA(γ , β ) if and only if Y = β exp[( X − γ ) / β ] ∼ expo(0, β )
3. X ∼ EVTA(γ , β ) if and only if Y = − X has an extreme value type B distribution with
parameters −γ and β , denoted EVTB( −γ , β )

103
Extreme Value Type B - EVTB(γ , β ) Unbounded Continuous
Density f ( x ) = (1/ β ) exp[ −( x − γ ) / β ]exp{− exp[ −( x − γ ) / β ]} for all real numbers x

Parameters Location parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0

Range ( − ∞, ∞ )

Mean γ + 0.57722 β

Variance 1.64493β 2

Mode γ

Comments:
1. X ∼ Weibull(0, β , α ) if and only if Y = − ln X ∼ EVTB( − ln β ,1/ α )
2. X ∼ EVTB(γ , β ) if and only if Y = β exp[− ( X − γ ) / β ] ∼ expo(0, β )
3. X ∼ EVTB(γ , β ) if and only if Y = − X ∼ EVTA(−γ , β )

104
F - F(ν 1 ,ν 2 ) Non-negative Continuous

 ν 1ν1 / 2ν ν2 2 / 2 x (ν1 − 2) / 2
 if x > 0
Density f ( x) =  B (ν 1 / 2,ν 2 / 2)(ν 2 +ν 1 x)(ν1 +ν 2 ) / 2
0
 otherwise

Parameters Degrees of freedom ν 1 ∈ {1, 2, …} and ν 2 ∈ {1, 2, …}

Range (0, ∞ )

ν2
Mean for ν 2 > 2
ν2 − 2

2ν 22 (ν 1 + ν 2 − 2)
Variance for ν 2 > 4
ν 1 (ν 2 − 2) 2 (ν 2 − 4)

ν 2 (ν 1 − 2)
 for ν 1 > 2
Mode ν 1 (ν 2 + 2)
does not exist on (0, ∞) otherwise

Comment:
1. The F (ν 1 ,ν 2 ) and PT6(0,ν 2 /ν 1 ,ν 1 / 2,ν 2 / 2) distributions are the same.

105
Gamma - gamma(γ, β, α) Non-negative Continuous
 (x − γ )α −1  − (x − γ ) 
 α exp   if x > γ
Density f (x) =  β Γ(α )  β 
0
 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0 ,


shape parameter α > 0

Range (γ , ∞ )

Mean γ + αβ

Variance αβ 2

γ + β (α − 1) if α ≥ 1
Mode 
γ otherwise

Comments:
1. The expo(γ, β) and gamma(γ, β, 1) distributions are the same.
2. For a positive integer m, the gamma(0, β, m) distribution is called the m-Erlang(β)
distribution, and the gamma(γ, β, m) and the Erlang(γ, β, m) distributions are the same.
3. If X 1 and X 2 are independent random variables with X i ∼ gamma(0, β , α i ) , then
Y = X 1 /( X 1 + X 2 ) ∼ beta(0,1, α1 , α 2 ) .
4. X ∼ gamma(γ , β , α ) if and only if Y = 1/( X − γ ) has a Pearson type V distribution with
location parameter 0, scale parameter 1/β , and shape parameter α, denoted PT5(0,1/ β , α )
5. The chisq(0,ν ) and gamma(0, 2,ν / 2) distributions are the same for ν ∈ {1, 2, …} .
6. If X 1 , X 2 , …, X m are independent random variables with X i ∼ gamma(0, β , α i ) , then
Y = X 1 + X 2 +  + X m ∼ gamma(0, β , α1 + α 2 +  + α m ) .

7. If X 1 and X 2 are independent random variables with X 1 ∼ gamma(0, β , α1 ) and


X 2 ∼ gamma(0,1, α 2 ) , then Y = X 1 / X 2 has a Pearson type VI distribution with location
parameter 0, scale parameter β , and shape parameters α1 and α 2 , denoted PT6(0, β , α1 , α 2 ).

106
Geometric - geom(p) Discrete

 p(1 − p) x if x ∈ {0,1,...}
Mass p(x) = 
0 otherwise

Parameter p ∈ (0,1)

Range {0,1, …}

1− p
Mean
p

1− p
Variance
p2

Mode 0

Comments:
1. If Y1 , Y2 , … is a sequence of independent Bernoulli(p) random variables and
X = min{i : Yi = 1} − 1 , then X ∼ geom( p ) .

2. If X 1 , X 2 , …, X s are independent geom(p) random variables, then Y = X 1 + X 2 +  + X s has


a negative binomial distribution with parameters s and p, denoted negbin(s, p).
3. The geom(p) and negbin(1, p) distributions are the same.

107
Hypergeometric - hyper( N , n, s ) Discrete
 s  N − s 
  
x n−x 
Mass p ( x) =  
N
 
n 

Parameters N ∈ {1, 2, …} , n ∈ {1, …, N } , s ∈ {1, … , N }

Range max(0, n − N + s ) ≤ x ≤ min( s, n)

ns
Mean
N

( ns / N )(1 − s / N )( N − n)
Variance
N −1

Comment:
1. Suppose that there is a population of N items of which s are successes (i.e., have a certain
property). If we select n of these items without replacement, then the number of successes
obtained has a hypergeometric distribution with parameters N, n, and s.

108
Inverse Gaussian - IG(γ, β, α) Non-negative Continuous
 1

  α  2  −α (x − γ − β ) 2 
Density f (x) =   2π (x − γ )3  exp  2  if x > γ
 2β (x − γ ) 

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞ ) , scale parameter β > 0 ,


shape parameter α > 0

Range (γ , ∞)

Mean γ +β

β3
Variance
α

Mode γ + β ( 1 + θ 2 − θ ) , where θ = 3β / 2α

Comments:
1. The parameter β has elements of a shape parameter since it affects the skewness
and kurtosis.
2. The IG(γ ,1, α ) and Wald(γ , α ) distributions are the same.

109
Inverted Weibull - IW(γ, β, α) Non-negative Continuous

 α −α −1   x − γ  
−α

αβ (x − γ ) exp  −    if x > γ


Density f (x) =    β  

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 ,


shape parameter α > 0

Range (γ , ∞)

γ + β Γ 1 −
1
Mean  for α > 1
 α

  2    1   2 
2
Variance β Γ 1 −  −  Γ  1 −    for α > 2
  α    α   

γ + β 
α α
Mode 
 α +1

Comments:
1. X ∼ IW(0, β , α ) if and only if Y = X −1 ∼ Weibull(0,1/β , α )

2. X ∼ IW(0, β , α ) if and only if Y = X −α ∼ expo(0, β -α )


3. X ∼ IW(0, β , α ) if and only if Y = ln X has the extreme value type B distribution with
location parameter ln β and scale parameter 1/ α , denoted EVTB(ln β ,1/ α )
4. X ∼ IW(0, β , α ) if and only if Y = − ln X has the extreme value type A distribution with
location parameter − ln β and scale parameter 1/ α , denoted EVTA( − ln β ,1/ α )

110
Johnson SB - JSB(a, b, α1, α2) Bounded Continuous

 α 2 (b − a )  1
2

 exp  − α1 + α 2 ln  x − a    if a < x < b
Density f (x ) =  (x − a)(b − x ) 2π  2   b − x   

0 otherwise

Parameters Lower-endpoint parameter a ∈ ( − ∞, ∞ ) , upper-endpoint parameter b (b > a),


shape parameters α1 ∈ ( − ∞, ∞) and α 2 > 0

Range (a, b)

Mean All moments exist, but are extremely complicated.

1 1 − 2α 22
Mode Bimodal when α 2 <
2
and α1 <
α2
− 2α 2 tanh -1 ( )
1 − 2α 22 ;

otherwise unimodal.

Comments:
1. X ∼ JSB( a, b, α1 , α 2 ) if and only if Z = α1 + α 2 ln 
X −a
 ∼ N(0 ,1)
b− X 
2. The density function is (skewed left, symmetric, skewed right) as the shape parameter
α1 is ( > 0, = 0, < 0) .
3. lim f ( x) = lim f ( x ) = 0 for all values of α1 and α 2
x→ a x →b

111
Johnson SU - JSU(γ, β, α1, α2) Unbounded Continuous

  
2
α2  1  x −γ  x − γ 
2 
f (x ) = exp  − α1 + α 2 ln  +  + 1   
Density   
2π (x − γ ) 2 + β 2  2
  β  β    
for all real numbers x

Parameters Lower-endpoint parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 ,


shape parameters α1 ∈ ( − ∞, ∞) and α 2 > 0

Range ( −∞, ∞)

 1   α1 
Mean γ − β exp  2  sinh  
 2α 2   α2 

Mode (
γ + β y , where y satisfies y + α1α 2 y 2 + 1 + α 22 y 2 + 1 ln y + y 2 + 1 = 0 )
Comments:
 X −γ  X −γ 
2 
1. X ∼ JSU(γ , β , α1 , α 2 ) if and only if Z = α1 + α 2 ln  +   + 1  ∼ N(0 ,1)
 β  β  
2. The density function is (skewed left, symmetric, skewed right) as the shape parameter
α1 is ( > 0, = 0, < 0) .

112
Laplace - Laplace (γ, β) Unbounded Continuous

1  x −γ 
Density f ( x) = exp  −  for all real numbers x
2β  β 

Parameters Location parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0

Range ( − ∞, ∞ )

Mean γ

Variance 2β 2

Mode γ

Comments:
1. X ∼ Laplace(γ , β ) if and only if Y = e X has the log-Laplace distribution with location
parameter 0, scale parameter eγ , and shape parameter 1/ β , denoted LP(0, eγ ,1/ β )
2. The Laplace distribution is also called the double exponential distribution.
3. The Laplace(γ , β ) and expower(γ , 2 β , 2) distributions are the same.

113
Logarithmic series - logseries(α) Discrete

θα x
 if x ∈ {1, 2, …}, where θ = −1/ log(1 − α )
Mass p (x) =  x
0
 otherwise

Parameters shape parameter α ∈ (0,1)

Range {1, 2, …}

θα
Mean
1− α

θα (1 − θα )
Variance
(1 − α ) 2

Mode 1

114
Logistic - logistic(γ, β) Unbounded Continuous
exp[ − (x − γ ) / β ]
Density f (x ) = for all real numbers x
β {1 + exp[− ( x − γ ) / β ]}2

Parameters Location parameter γ ∈ ( − ∞,∞) , scale parameter β > 0

Range ( − ∞ ,∞ )

Mean γ

β 2π 2
Variance
3

Mode γ

Comments:
1. X ∼ logistic(γ , β ) if and only if Y = e X is distributed as a log-logistic distribution with

location parameter 0, scale parameter eγ , and shape parameter 1/ β , denoted LL(0, eγ ,1/ β )
2. The logistic distribution has greater “tail weight” than the normal distribution.

115
Log-Laplace - LP(γ, β, α) Non-negative Continuous
α α −1
 X −γ 
  β  if β > x > γ
 2β  
 −α −1
Density f (x) =  α  X −γ 
  β  if x ≥ β
 2β  
0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 ,


shape parameter α > 0

Range (γ , ∞)

βα 2
Mean γ+ 2 for α > 1
α −1

β 2α 2 (2α 2 + 1 )
Variance for α > 2
(α 2 − 1)2 (α 2 − 4)

Mode γ + β for α > 1

Comment:
1. X ∼ LP(γ , β , α ) if and only if Y = ln( X − γ ) has the Laplace distribution with location
parameter ln β and scale parameter 1/ α , denoted Laplace(ln β ,1/ α )

116
Log-logistic - LL(γ, β, α) Non-negative Continuous

  X −γ 
α −1

 α 
  β  if x > γ
 2
Density f (x) =    X − γ α 
 β 1 +   
   β  
0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 ,


shape parameter α > 0

Range (γ , ∞)

π
Mean γ + βθ cosecant(θ ) for α > 1, where θ =
α

π
Variance β 2θ {2cosecant(2θ ) − θ [cosecant(θ )]2 } for α > 2, where θ =
α

 1

γ + β  α − 1  α
 if α > 1
Mode   α +1 

0 otherwise

Comment:
1. X ∼ LL(0, β , α ) if and only if Y = ln X has the logistic distribution with location
parameter ln β and scale parameter 1/ α , denoted logistic(ln β ,1/ α )

117
Lognormal - LN(γ, β, α) Non-negative Continuous
 1  − [ln(x − γ ) − β ]2 
 exp   if x > γ
Density f (x) =  (x − γ ) 2πα 2  2α 2 
0
 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞,∞) , scale parameter e β > 0 ,


shape parameter α > 0

Range (γ , ∞ )
 α2 
Mean γ + exp  β + 
 2 

Variance exp(2β + α 2 )[ exp(α 2 ) − 1]

Mode γ + exp ( β − α 2 )

Comments:
1. X ∼ LN(γ , β ,α ) if and only if Y = ln(X − γ ) ∼ N(lnβ ,α )
2. lim f (x) = 0, regardless of the parameter values
x →γ

118
Negative Binomial - negbin(s, p) Discrete

 s + x − 1 s
  p (1 − p) x if x ∈ {0,1,…}
Mass p(x) =  x 
0
 otherwise

Parameters s a positive integer, p ∈ (0,1)

Range {0,1, …}

s (1 − p )
Mean
p

s (1 − p )
Variance
p2

s (1 − p ) − 1
Mode Let y = .
p
Then the mode is y and y + 1 if y is an integer; it is  y  + 1 otherwise.

Comments:
1. If Y1 , Y2 , …, Ys are independent geom(p) random variables, then
Z = Y1 + Y2 +  + Ys ∼ negbin( s, p ) .

2. If Y1 , Y2 , … is a sequence of independent Bernoulli(p) random variables and


i
X = min{i: ∑ Y j = s} − s, then X ∼ negbin(s, p).
j =1

3. If X 1 , X 2 , …, X m are independent random variables with X i ∼ negbin( si , p ) , then


Y = X 1 + X 2 +  + X m ∼ negbin( s1 + s2 +  + sm , p ) .
4. The negbin(1, p) and geom(p) distributions are the same.

119
Normal - N(γ, β) Unbounded Continuous
1  − (x − γ ) 2 
Density f (x) = exp  2  for all real numbers x
2πβ 2  2β 

Parameters Location parameter γ ∈ ( − ∞,∞) , scale parameter β > 0

Range ( − ∞ ,∞ )

Mean γ

Variance β2

Mode γ

Comments:
1. The N(0,1) distribution is called the standard normal distribution.
2. If X 1 , X 2 , …, X k are independent standard normal random variables, then
Y = X 12 + X 22 +  + X k2 has a chi-square distribution with k degrees of freedom, denoted
chisq(k).
3. X ∼ N(γ , β ) if and only if Y = e X ∼ LN(0 ,eγ , β )

4. The N(0,β ) and error([β 2]−1 ) distributions are the same.

5. The N(γ ,β ) and expower(γ ,β 2 ,1) distributions are the same.

120
Pareto - Pareto(γ, β) Non-negative Continuous

 β  γ  β +1
 if x > γ
Density f (x) =  γ  x 
0
 otherwise

Parameters Location parameter γ > 0 , scale parameter β > 0

Range (γ ,∞ )

βγ
Mean for β > 1
β −1

βγ 2
Variance for β > 2
( β − 1)2 ( β − 2 )

Mode γ

Comments:
1. The location parameter γ must be strictly positive and, thus, all data values must be as
well.
2. The parameter γ has attributes of a scale parameter since it affects the variance.
3. The parameter β has attributes of a shape parameter since it affects higher moments
such as the skewness and the kurtosis.

121
Pearson Type V - PT5(γ, β, α) Non-negative Continuous

 (x − γ )− (α +1)  −β 
 −α
f (x) =  β Γ(α )
exp   if x > γ
Density  x −γ 
0
 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 , shape


parameter α > 0

Range (γ , ∞)

β
Mean γ+ for α > 1
α −1

β2
Variance for α > 2
(α − 1)2 (α − 2 )

β
Mode γ+
α +1

Comments:
1. X ∼ PT5(γ ,β ,α ) if and only if Y = 1 / (X − γ ) ∼ gamma(0 ,1 / β ,α ). Thus, the Pearson type V
distribution is sometimes called the inverted gamma distribution.
2. Note that the mean and variance only exist for certain values of the shape parameter α.

122
Pearson Type VI - PT6(γ, β, α1, α2) Non-negative Continuous

 [(x − γ )/β ] 1
α −1

 if x > γ
Density f (x) =  β B (α1 , α 2 ){1 + [( x − γ ) / β ]}α1 +α 2

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 , shape


parameters α1 > 0 and α 2 > 0

Range (γ , ∞)

β α1
Mean γ+ for α 2 > 1
α2 −1

β 2α1 (α1 + α 2 − 1)
Variance 2
for α 2 > 2
(α 2 − 1) (α 2 − 2 )

 β (α1 − 1)
γ + if α1 > 1
Mode  α2 +1
does not exist on ( γ , ∞ ) otherwise

Comments:
1. X ∼ PT6(γ ,β ,α1 ,α 2 ) if and only if Y = ( X − γ ) / (X − γ + β ) ∼ beta(0 ,1,α1 ,α 2 )

2. If X 1 and X 2 are independent random variables with X 1 ∼ gamma(0, β , α1 ) and


X 2 ∼ gamma(0,1, α 2 ) , then Y = X 1 / X 2 ∼ PT6(0, β , α1 , α 2 ) .

3. The F(ν 1 ,ν 2 ) and PT6(0,ν 2 /ν 1 ,ν 1 / 2,ν 2 / 2) distributions are the same for ν 1 ∈ {1, 2, …} and
ν 2 ∈ {1, 2, …} .
4. Note that the mean and variance only exist for certain values of the shape parameter α 2 .

123
λ)
Poisson - Poisson(λ Discrete

 e−λ λ x
 if x ∈ {0,1, …}
Mass p (x) =  x!
0
 otherwise

Parameters λ>0

Range {0,1, …}

Mean λ

Variance λ

λ − 1 and λ if λ is an integer
Mode 
 λ  otherwise

Comment:
1. Let Y1 , Y2 , … be a sequence of non-negative IID random variables, and let
 i 
X = max i: ∑ Y j ≤ 1 . Then the distribution of the Yi’s is expo(0, 1/λ) if and only if
 j =1 
X ∼ Poisson(λ ) .
2. If X 1 , X 2 , …, X m are independent random variables with X i ∼ Poisson(λi ) , then
Y = X 1 + X 2 +  + X m ∼ Poisson(λ1 + λ2 +  + λm ) .

124
Power Function - power(a, b, α) Bounded Continuous
 α   x − a α −1
 if a < x > b
Density f (x) =  b − a   b − a 
0
 otherwise

Parameters Lower-endpoint parameter a ∈ ( − ∞,∞ ) , upper-endpoint parameter b (b > a ) ,


shape parameter α > 0

Range (a,b)

a + bα
Mean
α +1

(b − a) 2α
Variance
(α + 1) 2 (α + 2)

a if α < 1

Mode does not uniquely exist if α = 1
b if α > 1

Comment:
1. The power(a,b,α ) and beta(a, b, α ,1) distributions are the same.

125
Random Walk - RW(γ, β, α) Non-negative Continuous

 1
 −α 1 − β ( x − γ )  2 
  α  2
   if x > γ
exp 
Density f (x) =   2π ( x − γ )   2β ( x − γ )
2


0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 , shape


parameter α > 0

Range (γ , ∞)

α +β
Mean γ+
αβ

α + 2β
Variance
α 2β

Mode γ+ ( )
1 + θ 2 − θ / β , where θ = β / 2α

Comments:
1. The parameter β has attributes of a shape parameter since it affects the skewness and kurtosis.
2. X ∼ RW(0, β , γ ) if and only if Y = X −1∼ IG(0, β , α )

126
Rayleigh - Rayleigh(γ, β) Non-negative Continuous

 2(x − γ )   x − γ 2 
 exp  −    if x > γ
Density f (x) =  β 2   β  

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0

Range (γ , ∞)

β π
Mean γ+
2

β 2 (4 − π )
Variance
4

β
Mode γ+
2

Comment:
1. The Rayleigh(γ , β ) and Weibull(γ , β , 2) distributions are the same.

127
Student’s t - t(ν) Unbounded Continuous
 ν +1 
Γ 
Density f (x) =  2  for all real numbers x
2 (ν +1) / 2
ν   x 
πν Γ  1 + 
 2  2

Parameters Degrees of freedom ν ∈ {1, 2,…}

Range ( − ∞ ,∞)

Mean 0 for ν > 1

ν
Variance for ν > 2
ν −2

Mode 0

Comment:
1. The t(1) and Cauchy(0, 1) distributions are the same.

128
Triangular - triang(a, b, m) Bounded Continuous
 2( x − a)
 (b − a ) ( if a < x ≤ m
m − a )

Density f (x) =  2 ( b − x )
 ( b − a )( b − m ) if m < x < b

0 otherwise

Parameters a, b, and m are real numbers with a < m < b; a is a location parameter, b - a is a
scale parameter, m is a shape parameter.

Range (a, b)

a+b+m
Mean
3

a 2 + b 2 + m 2 − ab − am − bm
Variance
18

Mode m

Comment:
1. The triangular distribution is used as a rough model for a continuous random variable in the
absence of data.

129
Uniform - U(a, b) Bounded Continuous
 1
 if a < x < b
Density f (x) =  (b − a )
0 otherwise

Parameters a and b are real numbers with a < b; a is a location parameter, b - a is a


scale parameter

Range ( a, b)

a+b
Mean
2

( b − a )2
Variance
12

Mode Does not uniquely exist

Comments:
1. The U(a, b) and beta(a, b, 1, 1) distributions are the same.

130
Wald - Wald(γ, α) Non-negative Continuous
 
1/ 2
 −α ( x − γ − 1) 2 
 α
 exp   if x > γ
Density f (x) =   2π ( x − γ )3   2(x − γ ) 
 

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞ , ∞) , shape parameter α > 0

Range (γ , ∞ )

Mean γ +1

1
Variance
α

3
Mode γ + 1 + θ 2 − θ , where θ =

Comment:
1. The Wald(γ , α ) and IG(γ ,1, α ) distributions are the same.

131
Weibull - Weibull(γ, β, α) Non-negative Continuous

 α −1
  x − γ α 
α β ( x − γ ) exp  − 
−α
  if x > γ
Density f (x) =    β  

0 otherwise

Parameters Location (shift) parameter γ ∈ ( − ∞, ∞) , scale parameter β > 0 , shape


parameter α > 0

Range (γ , ∞)

β 1
Mean γ+ Γ 
α α 

β2   2  1   1 
2

Variance  2Γ   −  Γ  α   
α   α  α   

 1

γ + β  α − 1  α
 if α ≥ 1
Mode   α 

γ otherwise

Comments:
1. The Weibull(γ , β ,1) and exp o(γ , β ) distributions are the same.
2. The Weibull(γ , β , 2) and Rayleigh(γ , β ) distributions are the same.

3. X ∼ Weibull(0, β , α ) if and only if Y = X α ∼ expo(0, β α )


4. X ∼ Weibull(0, β , α ) if and only if Y = ln X has the extreme value type A distribution with
location parameter ln β and scale parameter 1/ α , denoted EVTA( ln β ,1/ α )
5. X ∼ Weibull(0, β , α ) if and only if Y = − ln X has the extreme value type B distribution with
location parameter − ln β and scale parameter 1/ α , denoted EVTB( − ln β ,1/ α )
6. The Weibull distribution is skewed to the left if α > 3.6 .

132
Index

A
absolute-error plot, 53
absolute evaluation, 23-25, 32, 34, 38, 43, 61
Advanced Mode, 1, 9, 11, 50, 55, 56
AnyLogic, 4, 31
Anderson-Darling test, 13, 15, 29, 41, 53, 61
Applications tab, 11, 13, 14, 50, 54, 63, 64, 76, 77
Arena, 4, 31
ASCII format, 6, 88
Automated Fitting, 12, 14, 23, 32, 38, 43, 52, 55, 61
AutoMod, 4, 31
AutoSched AP, 4

B
Batch Mode, 88
Bernoulli distribution, 4, 93
beta distribution, 4, 94
binomial distribution, 4, 95
blocked machine, 71, 72, 75, 77, 80, 82-86
box plot, 51
box-plot comparisons for homogeneity, 51, 57, 60
box-plot comparisons plot, 53
box-plot comparisons percentile table, 53
busy-time distribution, 3, 71-77, 80-82, 86

C
Cauchy distribution, 4, 96
chi-square distribution, 4, 97
chi-square test, 13, 15, 29, 37, 49, 53

133
Clipboard, 2, 6, 11, 12, 42, 50, 51, 88
coefficient of variation, 18, 32, 38
Comparisons tab, 11, 13, 14, 25, 50, 53, 55
confirmation options, 15
correlation plots, 12, 51
continuous distributions, 4, 6, 90, 91
Crystal Ball, 4, 5
customer support, 9

D
Data Analysis Module, 3, 11-61
data requirements, 6, 7
data summary, 12, 14, 18, 32, 38, 43
Data tab, 11, 12, 14, 50, 51, 55
delete a model, 12, 43, 52, 63, 76
delete data, 12, 51
density function, 15, 25, 68, 76
density function plot, 13, 54, 64, 68, 73, 74, 77
density-histogram plot, 13, 15, 25, 26, 35, 40, 53, 61
discrete distributions, 4, 6, 42, 43, 49, 91
discrete uniform distribution, 4, 98
distribution function comparisons, 51, 59
distribution function, 27, 51, 53, 61
distribution-function-differences plot, 13, 15, 27, 28, 36, 41, 47, 53, 57, 61
distribution function plot, 13, 54, 57, 59, 64, 77
Distribution Viewer, 87
dongle (see security key)
downtime distribution, 3, 71-77, 80-82, 86

E
empirical distribution, 13, 14, 38, 42, 54, 55
Erlang distribution, 4, 99

134
error distribution, 4, 100
evaluation report, 13, 53
Excel, 2, 6, 88
ExpertFit software architecture, 10
exponential distribution, 4, 15, 101
exponential power distribution, 4, 102
ExtendSim, 4, 31
extreme value distribution, 4, 103, 104

F
F distribution, 4, 105
Flexsim, 4, 31
Frequency-comparison plot, 13, 15, 46, 53, 57, 58
frequency-comparison table, 53
frequency table, 12, 51

G
gamma distribution, 4, 24, 37, 72-75, 106
generate random values, 54
geometric distribution, 4, 43-49, 107
glossary, 1
goodness-of-fit tests, 13, 29, 37, 41, 49, 53, 61
Anderson-Darling (see Anderson-Darling test)
chi-square (see chi-square test)
Kolmogorov-Smirnov (see Kolmogorov-Smirnov test)

H
help, online, 1, 9, 14, 29, 55
High Precision, 1, 9, 16
histogram, 12, 19-22, 32, 33, 38, 39, 43, 44, 51
histogram comparisons, 53, 57, 58
homogeneity tests, 51, 57-60

135
hypergeometric distribution, 4, 108

I
identically distributed data (see moving-average plot)
importing data from Excel, 6, 88
independent data (see correlation plots)
index, feature, 1
installation instructions, 8
integer data, 6, 14, 43-49
inverse Gaussian distribution, 4, 109
inverted Weibull distribution, 4, 110

J
Johnson SB distribution, 4, 111
Johnson SU distribution, 4, 112

K
Kolmogorov-Smirnov test, 13, 15, 29, 37
Kruskal-Wallis test, 51, 57

L
Laplace distribution, 4, 113
lexis ratio, 43
likelihood-function table, 53
location parameter, 23, 24, 34, 75
logarithmic series distribution, 4, 114
logistic distribution, 4, 115
log-Laplace distribution, 4, 116
log-logistic distribution, 4, 32-37, 117
lognormal distribution, 4, 3, 15, 37, 62, 67, 118

136
M
Machine-Breakdown Models, 3, 71-86
machine efficiency, 72, 79-84, 86
mass function, 43
mean, 17, 18, 32, 38, 43
mean downtime of a machine, 72, 75, 79, 80, 82, 83, 86
mean number of downs, 72, 75, 80, 82, 85, 86
mean number of parts produced, 75, 83, 84, 86
mean part-processing time, 75, 83, 84, 86
median, 17, 18, 32, 38, 43
MedModel, 4
merge data sets, 51, 57
Micro Saint, 4
mode, 15, 49, 62
Models tab, 11, 12, 14, 23, 50, 52, 63, 76
moment table, 13, 54, 64, 77
moment-comparison table, 53
moving-average plot, 51

N
negative binomial distribution, 4, 43, 45, 119
normal distribution, 4, 23, 120
Normal Precision, 1, 9, 56

O
OPNET Modeler, 4
outliers, 6

P
P-P plot, 13, 15, 36, 37, 47, 48, 53, 61
Pareto distribution, 4, 121

137
Pearson type 5 distribution, 4, 38-41, 61, 122
Pearson type 6 distribution, 4, 123
percentile for a probability p, 13, 54, 62, 64, 66, 67, 77
percentile table, 13, 54, 64, 67, 69, 70
Poisson distribution, 4, 45, 124
positive skewness, 17, 18, 32, 38, 43
power function distribution, 4, 125
probability for an x, 37, 64, 77
probability plots, 13, 15, 36, 37, 47, 48, 53, 61
ProcessModel, 4
Project, 1, 2, 10, 57
ProModel, 4, 31

Q
Q-Q plot, 53

R
random variates (see generate random values)
random walk distribution, 4, 126
Rayleigh distribution, 4, 127
raw-error plot, 53
real data, 6, 14, 17-42, 57-61
relative-discrepancies table, 53
relative score, 23, 24, 32, 34, 38, 43, 45, 61
repair-time data, 38-42
@Risk, 4, 5

S
sales data, 43-49
sample distribution function, 27
scale parameter, 23, 24, 31, 34, 72-75
scatter plot, 12, 51

138
security key, 8
ServiceModel, 4
service-time data, 17-31
shape parameter, 2-13, 72-74
ship-loading data, 32-37
Simio, 4, 31
SIMPROCESS, 4
simulation-software representation 11, 13, 14, 30, 31, 42, 63, 76, 77
skewed to the right, 17, 18, 32, 38, 43
skewness, 17, 18, 32, 38, 43
SLX, 4
Standard Mode, 1, 9, 11, 50
starved machine, 71, 72, 75, 77, 80, 82-86
Student’s t distribution, 4, 128
subset selection, 12, 51
survivor function plot, 53

T
table of errors, 53
Task-Time Models, 3, 62-70
test-statistics comparison, 53
trend analysis (see moving-average plot)
transformations of data, 12, 51
triangular distribution, 3, 4, 62, 66-70, 129
tutorials, 1

U
uniform distribution, 4, 130
uniform distribution, discrete, 4, 98

V
variance, 18, 32, 38, 43

139
W
Wald distribution, 4, 131
Weibull distribution, 3, 4, 23-31, 37, 62, 67, 132
Windows, 8
WITNESS, 4, 31

140

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