VoseTruncData

See also: Fitting a distribution to truncated censored or binned data, Distribution Fit window

VoseTruncData(MinX,MaxX)

 

 

 

This function is used as an argument for the ModelRisk distribution fitting functions, to indicate that a given data set is truncated between MinX, MaxX or both. Fitting to truncated data requires an adjustment in the likelihood function that is optimized for obtaining the MLE parameter estimates.

Truncated data occurs when there are observations that we do not see above or below some level. For example, at a bank it may not be required to record an error below $100.

Example

Say we have 5 observations of a measurement truncated at MinX and MaxX. Observations between Min and Max are a,b,c,d and e.

Likelihood function: f(a)*f(b)*f(c)*f(d)*f(e)/(F(MaxX)-F(MinX))5

Explanation: We only observe a value if it lies between Min and Max which has probability (F(MaxX)-F(MinX)).

In the ModelRisk distribution fit window you can indicate if the measurement data is truncated, and provide min and max.

 

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