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Pearson‐Tukey Three‐Point Approximations Versus Monte Carlo Simulation
Author(s) -
Pfeifer Phillip E.,
Bodily Samuel E.,
Frey Sherwood C.
Publication year - 1991
Publication title -
decision sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.238
H-Index - 108
eISSN - 1540-5915
pISSN - 0011-7315
DOI - 10.1111/j.1540-5915.1991.tb01263.x
Subject(s) - monte carlo method , mathematics , statistics , random variable , statistical physics , physics
Accuracy of the Pearson‐Tukey three‐point approximation is measured in units of standard deviation and compared with that of Monte Carlo simulation. Using a variety of well‐known distributions, comparisons are made for the mean of a random variable and for common functions of one and two random variables. Comparisons are also made for the mean of an assortment of risk‐analysis (Monte Carlo) models drawn from the literature. The results suggest that the Pearson‐Tukey approximation is a useful alternative to simulation in risk‐analysis situations.