DATA EVALUATION USING A MONTE CARLO SIMULATOR

part I

STATISTICAL PROPERTIES OF THE NORMAL DISTRIBUTION SIMULATED IN AN EXCEL SPREADSHEET Ken Osborn kosborn@ebmud.com East Bay Municipal Utility District

START WITH A SIMPLE CASE OF A NORMALLY DISTRIBUTED SET OF DATA WITH A MEAN OF ZERO AND A STANDARD DEVIATION OF ONE

SIMULATING A NORMAL DISTRIBUTION 100 75 SEQUENCE 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

1
SIGMA

SO WHERES THE DATA LOOKED LIKE A BLANK SLIDE ! NOW INCREASE SIGMA TO 100 AND KEEP THE MEAN AT ZERO WHAT WILL HAPPEN?

1000 RANDOM VALUES WITH MEAN = 0 AND SIGMA = 100 100 75 SEQUENCE 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

100
SIGMA

WAS THERE A PATTERN?

WERE VALUES GREATER THAN THE MEAN AS LIKELY AS VALUES LESS THAN THE MEAN?

(Is this a rhetorical question?)

WHAT WILL HAPPEN IF SIGMA IS INCREASED AGAIN?

HINT: SIGMA IS A MEASURE OF

SP R

CENTERED AT ZERO BUT LARGER SPREAD 100 75 SEQUENCE 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

200
SIGMA

THE DATA ARE RANDOM BUT HAVE ORDER, PATTERN, AND SYMMETRY You don't believe this?

THE DATA WILL BE SORTED FROM LOW (on the left) TO HIGH (on the right) AND PLOTTED AS A RED CURVE WHAT WILL THE RED CURVE LOOK LIKE?

RANDOM DATA WITH SORTED OVERLAY 100 75 CUM PROBABILITY 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

200
SIGMA

DID YOU NOTICE THE RED CURVE WAS:

_SYMMETRICAL _CENTERED AT THE MEAN _FLAT AT THE EXTREMES

Now do you believe???

HOW WILL THE SHAPE OF THE RED CURVE CHANGE WHEN THE MEAN IS INCREASED?

CHANGE MEAN AND SHIFT THE CENTER 100 75 CUM PROBABILITY 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

100 200
SIGMA

TRICK QUESTION!! DID YOU SEE THAT THE SHAPE DID NOT CHANGE THE CURVE SHIFTED HO R I Z O N T A L LY WITH THE CHANGE IN MEAN

WATCH AS THE MEAN IS INCREASED AGAIN...

ONE MORE TIME FOR EMPHASIS

100 75 MEAN 300 200 SIGMA 0 250 500 750 1000

CUM PROBABILITY

50 25 0 -1000 -750 -500 -250

MEASUREMENT VALUE

LETS CHANGE SIGMA AND KEEP THE MEAN CONSTANT HOW WILL HAPPEN TO THE RED CURVE WHEN SIGMA INCREASES?

START WITH A MEAN OF ZERO AND SIGMA EQUAL TO 100

SIMULATING A NORMAL DISTRIBUTION 100 75 PROBABILITY 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

MEA

100
SIGMA

SIG

INCREASE SIGMA FROM 200 TO 400 WILL THE CURVE SHIFT HORIZONTALLY, VERTICALLY, OR CHANGE SHAPE ?

INCREASING SIGMA ROTATES THE PROBABILITY PLOT

100 75 PROBABILITY 50 25 0 -1000 -750 -500 -250 0 250 500 750 1000 MEASUREMENT VALUE MEAN

400
SIGMA

IN SUMMARY

Randomness is not arbitrary Changing the mean translates the data plot Changing sigma rotates the data plot

COMING ATTRACTIONS

EXTREME VALUES (OUTLIeRS)

OPTIMIZING SAMPLE SIZE STATISTICAL PROPERTIES OF NUMBER SETS