search query: @indexterm ELECTRONIC DATA PROCESSING / total: 341
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| Author: | Johnson, D. |
| Title: | The robustness of mean and variance approximation in risk analysis |
| Journal: | Journal of the Operational Research Society
1998 : MAR, VOL. 49:3, p. 253-262 |
| Index terms: | RISK ANALYSIS PERT ELECTRONIC DATA PROCESSING |
| Language: | eng |
| Abstract: | The paper examines further on the problem of estimating the variance and mean of a continuous random variable from estimates of three points within the distribution. The problem arises most commonly in PERT and risk analysis where it can usually be assumed that the distribution in question is bell-shaped and positively skewed, often typified by Beta distribution. It is shown that a balanced weighted average of the median and the 4 % fractiles provides a consistent estimator of the distribution mean across all four distributions. Furthermore, reasonably accurate estimates of the variance can also be obtained by treating the three fractiles as defining an equivalent discrete distribution with the same probability weight as in the formula for the mean. |
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