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Excel Statistics Functions

This document summarizes common probability distribution functions in Excel. It includes discrete distributions like the binomial, negative binomial, hypergeometric, and Poisson distributions. Continuous distributions covered include the normal, lognormal, exponential, gamma, beta, Weibull, student's t, F and chi-square distributions. For each distribution, the probability density function and cumulative distribution function are defined. Examples of the Excel functions used to calculate probabilities and percentiles for each distribution are provided.

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s_bis075467
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© Attribution Non-Commercial (BY-NC)
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Download as DOC, PDF, TXT or read online on Scribd
206 views

Excel Statistics Functions

This document summarizes common probability distribution functions in Excel. It includes discrete distributions like the binomial, negative binomial, hypergeometric, and Poisson distributions. Continuous distributions covered include the normal, lognormal, exponential, gamma, beta, Weibull, student's t, F and chi-square distributions. For each distribution, the probability density function and cumulative distribution function are defined. Examples of the Excel functions used to calculate probabilities and percentiles for each distribution are provided.

Uploaded by

s_bis075467
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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EXCEL Probability Distribution Functions

Note: The = before each function name causes EXCEL to use the
function as opposed to simply typing it in as text.
I. Common Discrete Distributions
Binomial Distribution
=BINOMDIST(x,n,p,False) Probability of x successes in n trials with
P(Success)=p
n x p p
x n x
n
p p
x
n
x X P
x n x x n x
,..., 1 , 0 ) 1 (
)! ( !
!
) 1 ( ) (

,
`

.
|


=BINOMDIST(x,n,p,True) Probability of at most x successes in n trials with
P(Success)=p
n x p p
k
n
x p p x X P
x
k
k n k
, , 1 , 0 ) 1 ( ) ( ) 0 ( ) (
0

,
`

.
|
+ +

Geometric/Negative Binomial Distribution


=NEGBINOMDIST(x,r,p) Probability of having x failures prior to the r
th
success
in independent Bernoulli trials with P(Success)=p. This is equivalent to observing
the r
th
success on the (x+r)
th
trial. Geometric distribution arises when r = 1.
,... 2 , 1 ,... 2 , 1 , 0 ) 1 (
1
1

,
`

.
|

+
r x p p
r
r x
x r
Poisson Distribution
=POISSON(x, ,False) Probability of x outcomes when X~Poisson( )
,... 1 , 0
!
) (

x
x
e
x X P
x

=POISSON(x, ,TRUE) Probability of at most x outcomes when X~Poisson( )


,... 1 , 0
!
) (
0

x
k
e
x X P
k x
k

Hypergeometric Distribution
=HYPGEOMDIST(x,n,k,N) Probability of x successes in n Trials in population
with k Successes in N elements
N n x N k x
n
N
x n
k N
x
k
x X P

,
`

.
|

,
`

.
|

,
`

.
|
0 0 ) (
II. Common Continuous Distributions
Exponential Distribution
(Hardly worth the effort. Note: must use reciprocal of mean)
=EXPONDIST(x,1/ ,False) Exponential Density Function
0 0
1
) ; (
/
>


x e x f
x
=EXPONDIST(x,1/ ,TRUE) Exponential Cumulative Distribution Function

/
0
/
1
1
) ( ) ; (
x
x
t
e dt e x X P x F

Gamma Distribution
(Exponential ( 1, ) and Chi-square ( , 2) are
special cases)
=GAMMADIST(x,, ,False) Probability Density Function of Gamma( , )


> >

0
1 / 1
) ( 0 0 0
) (
1
) ( dy e y x e x x f
y x



=GAMMADIST(x,, ,True) Cumulative Distribution Function of
Gamma( , )
0
) (
1
) ( ) (
0
/ 1


x dt e t x X P x F
x
t
t


=GAMMAINV(p, , ) 100p
th
percentile
p X X P
p
) (
( ) 1 0
) (
1
0
/ 1


p dx e x X X P p
p
X
x
p


Normal Distribution
=NORMDIST(x, , , False) Normal density function f(x; , )
( )
0
2
exp
2
1
) , ; (
2
2
2
> < < < <

'

'


x
x
x f
=NORMDIST(x, , , True) Normal cumulative distribution function
) (
0
X X P

( )
( )

,
`

.
|

'

'


x
Z P dt
t
x X P
x
2
2
2
2
exp
2
1
To obtain
) ( x X P
enter: =1-normdist(x, , ,True)
=NORMINV(p, , ) 100p
th
percentile
p X X P
p
) (
( )
( )
p Z Z P Z X dx
x
X X P p
p p p
X
p
p
+

'

'


) (
2
exp
2
1
2
2
2


Function NORMSINV(p) returns the 100p
th
percentile of standard normal (Z)
distribution, that is: NORMSINV(p) = NORMINV(p,0, 1)
Chi-Square Distribution
=CHIDIST(x,v) P(X x) when X~
2
v
(Non integer is truncated)


>

,
`

.
|


x
t
x dt e t x X P 0 0
2
2
1
) (
2 / 1 ) 2 / (
2 /

=CHIINV(p,v) 100(1-p) percentile (Non integer is truncated)

,
`

.
|


P
X
x
p
dx e x X X P p
2 / 1 ) 2 / (
2 /
2
2
1
) (

Beta Distribution
=BETADIST(x, , ) Beta cumulative distribution function (0 x 1)

> >

+


x
x dt t t x X P
0
1 1
0 0 1 0 ) 1 (
) ( ) (
) (
) (



For Beta distributions transformed to the range [A,B], use BETADIST(x, , ,A,B)
=BETAINV(p, , ) 100p
th
-percentile P(X X
p
) = p


+

p
X
p
dx x x X X P p
0
1 1
) 1 (
) ( ) (
) (
) (



For Beta distributions transformed to the range [A,B], use BETADIST(x, , ,A,B)
Lognormal Distribution
If Y = ln(X) ~ Normal(,
2
) then X~Lognormal(,
2
) with:
( ) 1 ) ( ) (
0 , , 0
2
1
) (
2 2 2
2 2
2 2 /
2 / ) ) (ln(

> < < >
+ +





e e X V e X E
x e
x
x f
x
=NORMDIST(ln(x), , ,True) cdf of lognormal distribution: P(Y ln(x)) =
P(X x)
dt e dt e
t
x X P
t
x x
t
2
2
2 2
2
) (
0
) ln(
2 / ) ) (ln(
2
1
2
1
) (





=LOGINV(p, , ) 100p
th
percentile: P(X X
p
) = p



p
X
t
p
dt e
t
X X P p
0
2 / ) ) (ln(
2 2
2
1
) (


Weibull Distribution
=WEIBULL(x,, , False) Weibull probability density function
0 , 0 ) , ; (
) / ( 1
>

x e x x f
x
A second commonly used parameterization is:

/ 1 x
e x

Then use: =WEIBULL(x,,

1/
, FALSE)
=WEIBULL(x,, , True) Weibull cdf
0 , 0 ) , ; (
0
) / ( 1
>

x dt e t x F
x
t
Students t-Distribution (Some documentation in EXCEL is wrong)
=TDIST(x, ,2) 2-sided tail area ( truncated to integer value) for t

distribution
[ ]
1 0 1
) 2 / (
2 / ) 1 (
2 ) ( 1
2 / ) 1 (
2

,
`

.
|
+

+

+


x dt
t
x X x P
x
=TDIST(x, ,1) upper tail area ( truncated to integer value) for t

distribution
[ ]
1 0 1
) 2 / (
2 / ) 1 (
) (
2 / ) 1 (
2

,
`

.
|
+

+

+


x dt
t
x X P
x
=TINV(p, ) 100(1-p)
th
Percentile of t

-distribution (Only meaningful for p<0.5)


[ ]
dt
t
X X P p
p
X
p
2 / ) 1 (
2
1
) 2 / (
2 / ) 1 (
) (
+

,
`

.
|
+

F-Distribution
=FDIST(x,
1
,
2
) Upper tail area for F
1, 2
Distribution (
1
,
2
truncated to
integers)
[ ]

,
`

.
|
+

+

x
x df
f
f x X P 1 , 0 1 ) (
) 2 / ( ) 2 / (
) / ( 2 / ) (
) (
2 1
2 / ) (
2
1 1 ) 2 / (
2 1
2 /
2 1 2 1
2 1
1
1

=FINV(x, ,
1
,
2
) 100(1-p)
th
of F
1, 2
Distribution (
1
,
2
truncated to integers)
[ ]

,
`

.
|
+

+

p
X
p p
X df
f
f X X P p 1 , 0 1 ) (
) 2 / ( ) 2 / (
) / ( 2 / ) (
) (
2 1
2 / ) (
2
1 1 ) 2 / (
2 1
2 /
2 1 2 1
2 1
1
1

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