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Thread: Generating Skewed Normal Distributions

  1. #16
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    Re: Generating Closed Skew Normal Distribution




    Quote Originally Posted by Shurid View Post
    Hi Everyone,

    I have a similar problem. I want to generate multivariate Closed Skew Normal distribution. Is there any R package that does this job? Or is there any program that generates samples from Closed Skew Normal Distribution.

    Any help would be appreciated.

    Thanks a lot in advance.

    Did you look at this article (?):

    http://www.sciencedirect.com/science...c&searchtype=a

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    Re: Generating Closed Skew Normal Distribution

    I'm looking for a simple way to generate points on a "skewed normal" distribution in Excel, as defined only by three points on the curve: the 10%, 50% and 90% probability data points.

    (Context: An expert projects there is a 10% likelihood hat the future value of something is, say, less than $10. The 50% likelihood is $20. And the 90% likelihood is the value is less than $60. We want to now generate thousands of points along the distribution curve defined by those points, to do a simulation of the possible values as inputs to a larger financial model.)

    If my 10-90 points were symmetric (e.g., $10, $20, $30): I just do NORM.INV(rand(),mean,sd), where the mean is 20, and standard deviation is calculated using the z-value for a 10% probability: (20-10)/1.282=8
    That will give me random points along a normal curve defined by those 3 known points.

    But, usually in reality the 10-90 points are usually projected to be non-symmetric. (e.g., $10, $20, $60)

    There is simulation software (e.g., @RISK or Crystal Ball), that will automatically fit an appropriate distribution around my 3 input points. But I need to find a simple way to do this myself in Excel.

    Therefore, I am thinking a "skewed normal" curve, where I apply some skewness coefficient (calculated from my 3 input points) to the NORM.INV formula... I haven't found any solutions in extensive web-searching (besides purchasing curve-fitting simulation software), so I wonder if I'm on the right track. Ideas?

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    Re: Generating Skewed Normal Distributions


    Are you particularly attached to "skewed normal" as opposed to something like the gamma distribution or log normal?
    I don't have emotions and sometimes that makes me very sad.

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