VoseTSEmpiricalFit | Vose Software



VoseTSEmpiricalFit({data}, Multiply, Last Value, Uncertainty)




Array function that returns random values from an empirical time series directly constructed from data. You can choose between assuming an additive or a multiplicative random walk with the Multiply parameter.

{data}  - array with historical data to construct the time series from.

Multiply - optional boolean parameter (TRUE/FALSE). Set TRUE to assume a multiplicative random walk and FALSE (default) for an additive random walk.

Last Value - (optional) last known historical value. The generated random values will continue from this value onwards. If no LastValue parameter is specified, the last element of the {data} array is taken as last known historical value.

Uncertainty  - optional boolean parameter (TRUE/FALSE). Set to TRUE to incorporate the uncertainty that always exists about the constructed time series, and to FALSE (default) to use a fixed "best guess" empirical time series.

The time series is constructed by looking at the increments between each historic data value and its immediate past value. When Multiplicative=TRUE the increments are ratios, when FALSE they are differences.

A non-parametric continuous distribution is then constructed on the observed increments: first-order (Ogive) if Uncertainty=FALSE and second-order (OgiveU) if Uncertainty=TRUE.

We then use randomly sampled values from this increment distribution to generate the output , starting onwards from LastValue.


When Multiply is set to TRUE, the first value of the output array is:


where Increment is a random sample from the constructed increments distribution.

When Multiply is set to FALSE, the first value of the output array is


 where Increment is a random sample from the constructed increments distribution.



Monte Carlo simulation in Excel. Learn more

Spreadsheet risk analysis modeling


Adding risk and uncertainty to your project schedule. Learn more

Project risk analysis


Enterprise Risk Management software (ERM)

Learn more about our enterprise risk analysis management software tool, Pelican

Enterprise risk management software introduction