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Triangular distribution

From Wikipedia, the free encyclopedia
Probability distribution
Triangular
Probability density function
Plot of the Triangular PMF
Cumulative distribution function
Plot of the Triangular CMF
Parametersa: a(,){\displaystyle a:~a\in (-\infty ,\infty )}
b: a<b{\displaystyle b:~a<b\,}
c: acb{\displaystyle c:~a\leq c\leq b\,}
Supportaxb{\displaystyle a\leq x\leq b\!}
PDF{0for x<a,2(xa)(ba)(ca)for ax<c,2bafor x=c,2(bx)(ba)(bc)for c<xb,0for b<x.{\displaystyle {\begin{cases}0&{\text{for }}x<a,\\{\frac {2(x-a)}{(b-a)(c-a)}}&{\text{for }}a\leq x<c,\\[4pt]{\frac {2}{b-a}}&{\text{for }}x=c,\\[4pt]{\frac {2(b-x)}{(b-a)(b-c)}}&{\text{for }}c<x\leq b,\\[4pt]0&{\text{for }}b<x.\end{cases}}}
CDF{0for xa,(xa)2(ba)(ca)for a<xc,1(bx)2(ba)(bc)for c<x<b,1for bx.{\displaystyle {\begin{cases}0&{\text{for }}x\leq a,\\[2pt]{\frac {(x-a)^{2}}{(b-a)(c-a)}}&{\text{for }}a<x\leq c,\\[4pt]1-{\frac {(b-x)^{2}}{(b-a)(b-c)}}&{\text{for }}c<x<b,\\[4pt]1&{\text{for }}b\leq x.\end{cases}}}
Meana+b+c3{\displaystyle {\frac {a+b+c}{3}}}
Median{a+(ba)(ca)2for ca+b2,b(ba)(bc)2for ca+b2.{\displaystyle {\begin{cases}a+{\sqrt {\frac {(b-a)(c-a)}{2}}}&{\text{for }}c\geq {\frac {a+b}{2}},\\[6pt]b-{\sqrt {\frac {(b-a)(b-c)}{2}}}&{\text{for }}c\leq {\frac {a+b}{2}}.\end{cases}}}
Modec{\displaystyle c\,}
Variancea2+b2+c2abacbc18{\displaystyle {\frac {a^{2}+b^{2}+c^{2}-ab-ac-bc}{18}}}
Skewness2(a+b2c)(2abc)(a2b+c)5(a2+b2+c2abacbc)32{\displaystyle {\frac {{\sqrt {2}}(a\!+\!b\!-\!2c)(2a\!-\!b\!-\!c)(a\!-\!2b\!+\!c)}{5(a^{2}\!+\!b^{2}\!+\!c^{2}\!-\!ab\!-\!ac\!-\!bc)^{\frac {3}{2}}}}}
Excess kurtosis35{\displaystyle -{\frac {3}{5}}}
Entropy12+ln(ba2){\displaystyle {\frac {1}{2}}+\ln \left({\frac {b-a}{2}}\right)}
MGF2(bc)eat(ba)ect+(ca)ebt(ba)(ca)(bc)t2{\displaystyle 2{\frac {(b\!-\!c)e^{at}\!-\!(b\!-\!a)e^{ct}\!+\!(c\!-\!a)e^{bt}}{(b-a)(c-a)(b-c)t^{2}}}}
CF2(bc)eiat(ba)eict+(ca)eibt(ba)(ca)(bc)t2{\displaystyle -2{\frac {(b\!-\!c)e^{iat}\!-\!(b\!-\!a)e^{ict}\!+\!(c\!-\!a)e^{ibt}}{(b-a)(c-a)(b-c)t^{2}}}}

Inprobability theory andstatistics, thetriangular distribution is a continuousprobability distribution with lower limita, upper limitb, and modec, wherea < b anda ≤ c ≤ b.

Special cases

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Mode at a bound

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The distribution simplifies whenc = a orc = b. For example, ifa = 0,b = 1 andc = 1, then thePDF andCDF become:

f(x)=2x,F(x)=x2{\displaystyle {\begin{aligned}f(x)&=2x,\\[8pt]F(x)&=x^{2}\end{aligned}}}for0x1{\displaystyle 0\leq x\leq 1}.

E(X)=23Var(X)=118{\displaystyle {\begin{aligned}\operatorname {E} (X)&={\frac {2}{3}}\\[8pt]\operatorname {Var} (X)&={\frac {1}{18}}\end{aligned}}}

Distribution of the absolute difference of two standard uniform variables

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This distribution fora = 0,b = 1 andc = 0 is the distribution ofX = |X1 − X2|, whereX1,X2 are two independent random variables with standarduniform distribution.

f(x)=22x for 0x<1F(x)=2xx2 for 0x<1E(X)=13Var(X)=118{\displaystyle {\begin{aligned}f(x)&=2-2x{\text{ for }}0\leq x<1\\[6pt]F(x)&=2x-x^{2}{\text{ for }}0\leq x<1\\[6pt]E(X)&={\frac {1}{3}}\\[6pt]\operatorname {Var} (X)&={\frac {1}{18}}\end{aligned}}}

Symmetric triangular distribution

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The symmetric case arises whenc = (a +b) / 2.In this case, an alternate form of the distribution function is:

f(x)=(bc)|cx|(bc)2=2ba(1|a+b2x|ba){\displaystyle {\begin{aligned}f(x)&={\frac {(b-c)-|c-x|}{(b-c)^{2}}}\\[6pt]&={\frac {2}{b-a}}\left(1-{\frac {\left|a+b-2x\right|}{b-a}}\right)\end{aligned}}}

Distribution of the mean of two standard uniform variables

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This distribution fora = 0,b = 1 andc = 0.5—the mode (i.e., the peak) is exactly in the middle of the interval—corresponds to the distribution of the mean of two standard uniform variables, that is, the distribution ofX = (X1 + X2) / 2, whereX1,X2 are two independent random variables with standarduniform distribution in [0, 1].[1] It is the case of theBates distribution for two variables.

f(x)={4xfor 0x<124(1x)for 12x1{\displaystyle f(x)={\begin{cases}4x&{\text{for }}0\leq x<{\frac {1}{2}}\\4(1-x)&{\text{for }}{\frac {1}{2}}\leq x\leq 1\end{cases}}}

F(x)={2x2for 0x<122x2(2x1)2for 12x1{\displaystyle F(x)={\begin{cases}2x^{2}&{\text{for }}0\leq x<{\frac {1}{2}}\\2x^{2}-(2x-1)^{2}&{\text{for }}{\frac {1}{2}}\leq x\leq 1\end{cases}}}

E(X)=12Var(X)=124{\displaystyle {\begin{aligned}E(X)&={\frac {1}{2}}\\[6pt]\operatorname {Var} (X)&={\frac {1}{24}}\end{aligned}}}

Generating random variates

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Given a random variateU drawn from theuniform distribution in the interval (0, 1), then the variate[2]

X={a+U(ba)(ca) for 0<U<F(c)b(1U)(ba)(bc) for F(c)U<1{\displaystyle X={\begin{cases}a+{\sqrt {U(b-a)(c-a)}}&{\text{ for }}0<U<F(c)\\&\\b-{\sqrt {(1-U)(b-a)(b-c)}}&{\text{ for }}F(c)\leq U<1\end{cases}}}

whereF(c)=(ca)/(ba){\displaystyle F(c)=(c-a)/(b-a)}, has a triangular distribution with parametersa,b{\displaystyle a,b} andc{\displaystyle c}. This can be obtained from the cumulative distribution function.

Use of the distribution

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See also:Three-point estimation

The triangular distribution is typically used as a subjective description of a population for which there is only limited sample data, and especially in cases where the relationship between variables is known but data is scarce (possibly because of the high cost of collection).It is based on a knowledge of the minimum and maximum and an "inspired guess"[3] as to the modal value. For these reasons, the triangle distribution has been called a "lack of knowledge" distribution.

Business simulations

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The triangular distribution is therefore often used inbusiness decision making, particularly insimulations. Generally, when not much is known about thedistribution of an outcome (say, only its smallest and largest values), it is possible to use theuniform distribution. But if the most likely outcome is also known, then the outcome can be simulated by a triangular distribution. See for example undercorporate finance.

Project management

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The triangular distribution, along with thePERT distribution, is also widely used inproject management (as an input intoPERT and hencecritical path method (CPM)) to model events which take place within an interval defined by a minimum and maximum value.

Audio dithering

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The symmetric triangular distribution is commonly used inaudio dithering, where it is called TPDF (triangular probability density function).

See also

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References

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  1. ^Kotz, Samuel; Dorp, Johan Rene Van (2004-12-08).Beyond Beta: Other Continuous Families Of Distributions With Bounded Support And Applications. World Scientific.ISBN 978-981-4481-24-3.
  2. ^"Archived copy"(PDF).www.asianscientist.com. Archived fromthe original(PDF) on 7 April 2014. Retrieved12 January 2022.{{cite web}}: CS1 maint: archived copy as title (link)
  3. ^"Archived copy"(PDF). Archived fromthe original(PDF) on 2006-09-23. Retrieved2006-09-23.{{cite web}}: CS1 maint: archived copy as title (link)

External links

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