The UNIVARIATE Procedure |

Formulas for Fitted Continuous Distributions |

The following sections provide information about the families of parametric distributions that you can fit with the HISTOGRAM statement. Properties of these distributions are discussed by Johnson, Kotz, and Balakrishnan (1994, 1995).

The fitted density function is

where and

lower threshold parameter (lower endpoint parameter)

scale parameter

shape parameter

shape parameter

width of histogram interval

vertical scaling factor

and

**Note**:This notation is consistent with that of other distributions that you can fit with the HISTOGRAM statement. However, many texts, including Johnson, Kotz, and Balakrishnan (1995), write the beta density function as

The two parameterizations are related as follows:

The range of the beta distribution is bounded below by a threshold parameter and above by . If you specify a fitted beta curve by using the BETA option, must be less than the minimum data value and must be greater than the maximum data value. You can specify and with the THETA= and SIGMA= *beta-options* in parentheses after the keyword BETA. By default, and . If you specify THETA=EST and SIGMA=EST, maximum likelihood estimates are computed for and . However, three- and four-parameter maximum likelihood estimation does not always converge.

In addition, you can specify and with the ALPHA= and BETA= *beta-options*, respectively. By default, the procedure calculates maximum likelihood estimates for and . For example, to fit a beta density curve to a set of data bounded below by 32 and above by 212 with maximum likelihood estimates for and , use the following statement:

histogram Length / beta(theta=32 sigma=180);

The beta distributions are also referred to as Pearson Type I or II distributions. These include the power function distribution (), the arc sine distribution (), and the generalized arc sine distributions (, ).

You can use the DATA step function BETAINV to compute beta quantiles and the DATA step function PROBBETA to compute beta probabilities.

The fitted density function is

where

threshold parameter

scale parameter

width of histogram interval

vertical scaling factor

and

The threshold parameter must be less than or equal to the minimum data value. You can specify with the THRESHOLD= *exponential-option*. By default, . If you specify THETA=EST, a maximum likelihood estimate is computed for . In addition, you can specify with the SCALE= *exponential-option*. By default, the procedure calculates a maximum likelihood estimate for . Note that some authors define the scale parameter as .

The exponential distribution is a special case of both the gamma distribution (with ) and the Weibull distribution (with ). A related distribution is the extreme value distribution. If has an exponential distribution, then has an extreme value distribution.

The fitted density function is

where

threshold parameter

scale parameter

shape parameter

width of histogram interval

vertical scaling factor

and

The threshold parameter must be less than the minimum data value. You can specify with the THRESHOLD= *gamma-option*. By default, . If you specify THETA=EST, a maximum likelihood estimate is computed for . In addition, you can specify and with the SCALE= and ALPHA= *gamma-options*. By default, the procedure calculates maximum likelihood estimates for and .

The gamma distributions are also referred to as Pearson Type III distributions, and they include the chi-square, exponential, and Erlang distributions. The probability density function for the chi-square distribution is

Notice that this is a gamma distribution with , , and . The exponential distribution is a gamma distribution with , and the Erlang distribution is a gamma distribution with being a positive integer. A related distribution is the Rayleigh distribution. If where the ’s are independent variables, then is distributed with a distribution having a probability density function of

If , the preceding distribution is referred to as the Rayleigh distribution.

You can use the DATA step function GAMINV to compute gamma quantiles and the DATA step function PROBGAM to compute gamma probabilities.

The fitted density function is

where

threshold parameter

scale parameter

shape parameter

width of histogram interval

vertical scaling factor

and

The threshold parameter must be less than the minimum data value. You can specify with the THRESHOLD= *lognormal-option*. By default, . If you specify THETA=EST, a maximum likelihood estimate is computed for . You can specify and with the SCALE= and SHAPE= *lognormal-options*, respectively. By default, the procedure calculates maximum likelihood estimates for these parameters.

**Note**:The lognormal distribution is also referred to as the distribution in the Johnson system of distributions.

**Note**:This book uses to denote the shape parameter of the lognormal distribution, whereas is used to denote the scale parameter of the beta, exponential, gamma, normal, and Weibull distributions. The use of to denote the lognormal shape parameter is based on the fact that has a standard normal distribution if is lognormally distributed. Based on this relationship, you can use the DATA step function PROBIT to compute lognormal quantiles and the DATA step function PROBNORM to compute probabilities.

The fitted density function is

where

mean

standard deviation

width of histogram interval

vertical scaling factor

and

You can specify and with the MU= and SIGMA= *normal-options*, respectively. By default, the procedure estimates with the sample mean and with the sample standard deviation.

You can use the DATA step function PROBIT to compute normal quantiles and the DATA step function PROBNORM to compute probabilities.

**Note**:The normal distribution is also referred to as the distribution in the Johnson system of distributions.

The fitted density function is

where

threshold parameter

scale parameter

shape parameter

shape parameter

width of histogram interval

vertical scaling factor

and

The distribution is bounded below by the parameter and above by the value . The parameter must be less than the minimum data value. You can specify with the THETA= *-option*, or you can request that be estimated with the THETA = EST *-option*. The default value for is zero. The sum must be greater than the maximum data value. The default value for is one. You can specify with the SIGMA= *-option*, or you can request that be estimated with the SIGMA = EST *-option*.

By default, the method of percentiles given by Slifker and Shapiro (1980) is used to estimate the parameters. This method is based on four data percentiles, denoted by , , , and , which correspond to the four equally spaced percentiles of a standard normal distribution, denoted by , , , and , under the transformation

The default value of is 0.524. The results of the fit are dependent on the choice of , and you can specify other values with the FITINTERVAL= option (specified in parentheses after the SB option). If you use the method of percentiles, you should select a value of that corresponds to percentiles which are critical to your application.

The following values are computed from the data percentiles:

It was demonstrated by Slifker and Shapiro (1980) that

A tolerance interval around one is used to discriminate among the three families with this ratio criterion. You can specify the tolerance with the FITTOLERANCE= option (specified in parentheses after the SB option). The default tolerance is 0.01. Assuming that the criterion satisfies the inequality

the parameters of the distribution are computed using the explicit formulas derived by Slifker and Shapiro (1980).

If you specify FITMETHOD = MOMENTS (in parentheses after the SB option), the method of moments is used to estimate the parameters. If you specify FITMETHOD = MLE (in parentheses after the SB option), the method of maximum likelihood is used to estimate the parameters. Note that maximum likelihood estimates may not always exist. Refer to Bowman and Shenton (1983) for discussion of methods for fitting Johnson distributions.

The fitted density function is

where

location parameter

scale parameter

shape parameter

shape parameter

width of histogram interval

vertical scaling factor

and

You can specify the parameters with the THETA=, SIGMA=, DELTA=, and GAMMA= *-options*, which are enclosed in parentheses after the SU option. If you do not specify these parameters, they are estimated.

By default, the method of percentiles given by Slifker and Shapiro (1980) is used to estimate the parameters. This method is based on four data percentiles, denoted by , , , and , which correspond to the four equally spaced percentiles of a standard normal distribution, denoted by , , , and , under the transformation

The default value of is 0.524. The results of the fit are dependent on the choice of , and you can specify other values with the FITINTERVAL= option (specified in parentheses after the SB option). If you use the method of percentiles, you should select a value of that corresponds to percentiles that are critical to your application. You can specify the value of with the FITINTERVAL= option (specified in parentheses after the SU option).

The following values are computed from the data percentiles:

It was demonstrated by Slifker and Shapiro (1980) that

A tolerance interval around one is used to discriminate among the three families with this ratio criterion. You can specify the tolerance with the FITTOLERANCE= option (specified in parentheses after the SU option). The default tolerance is 0.01. Assuming that the criterion satisfies the inequality

the parameters of the distribution are computed using the explicit formulas derived by Slifker and Shapiro (1980).

If you specify FITMETHOD = MOMENTS (in parentheses after the SU option), the method of moments is used to estimate the parameters. If you specify FITMETHOD = MLE (in parentheses after the SU option), the method of maximum likelihood is used to estimate the parameters. Note that maximum likelihood estimates do not always exist. Refer to Bowman and Shenton (1983) for discussion of methods for fitting Johnson distributions.

The fitted density function is

where

threshold parameter

scale parameter

shape parameter

width of histogram interval

vertical scaling factor

and

The threshold parameter must be less than the minimum data value. You can specify with the THRESHOLD= *Weibull-option*. By default, . If you specify THETA=EST, a maximum likelihood estimate is computed for . You can specify and with the SCALE= and SHAPE= *Weibull-options*, respectively. By default, the procedure calculates maximum likelihood estimates for and .

The exponential distribution is a special case of the Weibull distribution where .

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