European Journal of Operational Research 220 (2012) 443–451

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European Journal of Operational Research

journal homepage: www.elsevier.com/locate/ejor

Stochastics and Statistics

An alternative for robust estimation in Project Management

M.M. López Martín a, C.B. García García a,⇑, J. García Pérez b, M.A. Sánchez Granero c
a
Department of Quantitative Methods for Economics and Business, University of Granada, Campus de Cartuja, s/n, Granada 18071, Spain
b
Department of Applied Economics, University of Almería, Ctra. La Cañada de San Urbano, s/n, Almería 04120, Spain
c
Department of Geometry and Topology, University of Almería, Ctra. La Cañada de San Urbano, s/n, Almería 04120, Spain

a r t i c l e i n f o a b s t r a c t

Article history: Recently, Hahn (2008) has proposed the mixture between the uniform and the beta distributions as an
Received 23 February 2011 alternative to the beta distribution in PERT methodology which allows for varying amounts of dispersion
Accepted 31 January 2012 and a greater likelihood of more extreme tail-area events. However, this mixture lacks a closed cumula-
Available online 6 February 2012
tive distribution function expression and its parameters remain a difficult interpretation. In addition, the
kurtosis limit of the beta distribution is 3. Due to their higher kurtosis and easier elicitation we consider
Keywords: the Two-Sided Power and the Generalized Biparabolic distributions good candidates for applying Hahn’s
Project Management
idea (2008) and for building the Uniform-Two Sided Power (U-TSP) and the Uniform-Generalized Bipar-
Uncertainty modeling
Distribution
abolic (U-GBP) distributions. Using the same example from Hahn (2008) we are going to demonstrate
Simulation that we can obtain more accuracy and a greater likelihood of more extreme tail area events. These dis-
tributions could be applied in other heavy-tailed phenomena which are usual in business contexts.
Ó 2012 Elsevier B.V. All rights reserved.

1. Introduction Cða þ bÞ ðx  aÞa1 ðb  xÞb1

The need for a more flexible distribution which allows a greater
likelihood of more extreme tail-area events and different amounts
of dispersion has been highlighted recently by Hahn (2008). This
issue had already been raised in different fields: Moore (1964)
and Fama (1965) noted that the empirical distribution of financial
return was leptokurtic and with tails thicker than normal. Em-
brechts et al. (1997), Grant et al. (2006) and Juneja et al. (2006) also
presented financial applications that involved variables with heavy
tails. Juneja (2007) used variables with heavy tails to estimate the
probability of a long delay in the completion of an activity. Tzung-
Cheng et al. (2008), building on Beaman (2006), demonstrated the
need for robust estimators in distributions with long tails and
warned of the dangers of ignoring the existence of outliers, even
in these cases. Hahn (2008) (relying primarily on McCullagh and
Nelder, 1989; Mitchell and Zmud, 1999; Steele and Huber, 2004;
Grant et al., 2006; Atkinson et al., 2006) raised the same question
establishing the need to develop robust estimation methods in
the PERT methodology and proposing a mixture distribution which
allows greater flexibility in fitting the data (Gelman et al., 2003).
As is well-known, the beta distribution (1) has been the tradi-
tional underlying distribution of this methodology (see Yu
Chuen-Tao, 1980, 1989) and its probability density function (pdf)
is given by
⇑ Corresponding author. Tel.: +34 958 248 344.
E-mail addresses: mariadelmarlopez@ugr.es (M.M. López Martín), cbgarcia@
ugr.es (C.B. García García), jgarcia@ual.es (J. García Pérez), misanche@ual.es
(M.A. Sánchez Granero).
f ðxja; bÞ ¼ ; ð1Þ
CðaÞCðbÞ ðb  aÞaþb1
where a < x < b, a > 0, b > 0. Malcolm et al. (1959) suggested the fol-
lowing expression for the mean and the variance of the activity time
distribution:
a þ 4m þ b
E½X ¼ ; ð2Þ
6
and
ðb  aÞ2
var½X ¼ ; ð3Þ
36
where a, m and b are the lower bound, the most likely and the upper
bound, respectively.
These expressions prescribe a light tailed distribution which
does not consider sufficiently the key factor of the tail area of an
activity time. Based on this, Hahn (2008) presented a mixture
between the uniform and the beta distributions which permits a
greater likelihood of more extreme tail-area events. We can find
some precedents in the work of Sungyeol and Serfozo (1999),
van Dorp et al. (2006, 2007) and Mehrotra et al. (1996) where
different mixture distributions are satisfactorily applied.
In addition to the need to introduce a robust estimation in the
field of Project Management, Hahn (2008) insisted on the criticism
of the PERT expressions based on the fact that (2) and (3) cannot be
obtained from (1) (Sasieni, 1986; Gallagher, 1987; Littlefield and
Randolph, 1987). According to Golenko-Ginzburg (1988), the mean
and variance expressions corresponding to (1) can be expressed by

0377-2217/$ - see front matter Ó 2012 Elsevier B.V. All rights reserved.
doi:10.1016/j.ejor.2012.01.058
444 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451

a þ km þ b
E½X ¼ ; ð4Þ
kþ2
and
2 where CðnÞ ¼ ð3n1ÞðbaÞ
k ðm  aÞðb  mÞ þ ðk þ 1Þðb  aÞ2
var½X ¼
ðk þ 3Þðk þ 2Þ2
This fact, together with the problem of obtaining the four parame-
ters of (1) from the three values provided by an expert was solved
by Herrerías et al. (2003), in line with Sasieni (1986) and Kambu-
rowski (1997). By establishing the beta distribution as being similar
to the Normal distribution, i.e. mesokurtic and with constant vari-
ance ðr2 ¼ 36 1
Þ, Herrerías et al. (2003) obtain the classical PERT
expressions (2) and (3) from the general beta distribution (1),
(Sculli, 1989). This distribution, obtained when k ¼ a þ b  2 ¼ 4
in expressions (4) and (5), was called Type I PERT beta distribution
by Hahn (2008) and we shall call it classical beta distribution.
In spite of its flexibility and popularity, the beta distribution
lacks a closed cumulative distribution function (cdf) expression
and its parameters continue to have a difficult interpretation
(Clark, 1962; Grubbs, 1962; Moder and Rodgers, 1968; Moitra,
1990; Kamburowski, 1997; Johnson, 1997; Lau et al., 1997). There-
fore, although the mixture proposed by Hahn (2008) is more flex-
ible and more tailored to the situation than the beta distribution, it
still presents the disadvantage of no closed formula for the cumu-
lative distribution function (cdf), which will be desirable for the
development of the elicitation for the parameters of the
distribution.
Van Dorp and Kotz (2002a) presented the Two-Sided Power
(TSP) distribution as an alternative, more peaked and with a closed
expression for cdf, to the beta distribution. Its probability density
function is given by
(  Generalized Biparabolic mixture (U-GBP) distributions. Their prob-
xa n1
n ma
; if a < x 6 m;
f ðx=a; m; b; nÞ ¼  bx n1
ba ; if m < x < b:
bm
García et al. (2005) obtained the classical TSP distribution, when
n = 3.02344, being mesokurtic and having constant variance and
compared it to the classical beta distribution applied in the PERT
methodology.
In a similar form to the TSP distribution, the Generalized Bipar-
abolic (GBP) distribution (García et al., 2009) has a closed form for
the cumulative distribution function (cdf) too, but, contrarily to the
TSP distribution, its density function is smooth at the mode. This
distribution has been admitted as a good alternative underlying
distribution in the PERT methodology (García et al., 2010). Its pdf
is given by
(   xa n
xa 2n
2 ; if a < x 6 m;
g ðx=a; m; b; nÞ ¼ C ðnÞ ma2n ma
 bx n ð7Þ
bx
bm
2 bm
; if m < x < b;
ð2nþ1Þðnþ1Þ
. It can be proved that the classical GBP dis-
: ð5Þ tribution can be obtained when n = 2.74669.
By comparing the kurtosis coefficient (b2) of both distributions
in Fig. 1A it is noted that the kurtosis coefficient of the classical
beta distribution has a longer range than the one for the classical
TSP and GBP distributions, but is only higher in the extreme
values. In addition, when the expert estimates the maximum,
minimum and most likely value, the latter is normally centred
on the interval (a, b), where the classical TSP and GBP distribu-
tions present a kurtosis greater than the classical beta distribu-
tion. In particular, we can see (Fig. 1B) that the symmetrical TSP
and GBP distributions always have a kurtosis greater than the beta
distribution and, while the limit of the kurtosis of the TSP is the
kurtosis of the Laplace (b2 = 6), the limit for the beta distribution
is the kurtosis of the normal one (b2 = 3). Note that is the stan-
dardized mode.
The goal, according to Hahn (2008), is to get a more flexible dis-
tribution which allows for varying amounts of dispersion and a
greater likelihood of more extreme tail-area events and to be easily
elicitable. It is evident that the kurtosis coefficient is a critical fac-
tor in this issue. Moreover, the TSP and GBP distributions can be di-
rectly elicitated by using an upper quantile, a lower quantile, the
most likely value and a third quantile (Kotz and van Dorp, 2006).
Therefore, we consider the TSP and GBP distributions better candi-
dates than the classical beta distribution for the mixture proposed
by Hahn.
The paper is organized as follows. Section 2 introduces the uni-
form and Two-Sided Power mixture (U-TSP) and the uniform and
ability density and cumulative distribution functions and their sto-
ð6Þ
chastic characteristics are also presented in that section. The
elicitation process of the U-TSP and U-GBP mixture distributions
are analyzed in Section 3. The same empirical application pre-
sented by Hahn (2008), and originally by Moder et al. (1983), has
been rebuilt in Section 4 using the U-TSP and the U-GBP distribu-
tions. Some concluding remarks are provided in Section 5.
2. Mixture distributions
Van Dorp and Kotz (2003) presented a mechanism of generating
two-sided continuous distributions with bounded support using
the following density:

A 4.5
B 7

6
4
5
Kurtosis

4
3.5
Kurtosis

3
3 2

1
2.5
0
0 10 20 30 40 50 60 70 80 90 100
2 n
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Symmetrical BETA Symmetrical TSP Symmetrical GBP
θ
Classical Beta Classical TSP Classical GBP Normal Laplace

Fig. 1. (A) Comparison between the kurtosis coefficient of the classical beta (k = 4), classical TSP (n = 3.02344) and classical GBP (n = 2.74669) distributions. (B) Comparison
between the kurtosis coefficient of the symmetrical beta, symmetrical TSP, symmetrical GBP, normal and symmetrical Laplace distributions.
 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451 445

(  
p ht =w ; if 0 < t 6 h; Therefore, the lower the parameter k the greater the presence of the
g ðtjh; pð=wÞÞ ¼  1t  ð8Þ uniform distribution in the mixture. The uniform distribution is
1h
=w ; if h < t < 1;
clearly recovered when k ¼ 0 and the Two-Sided Power and the
where p( |w) is called generating density and is an appropriately se- Generalized Biparabolic distributions are recovered in expressions
lected continuous pdf defined on [0,1] with parameter(s) w, which (14) and (15), respectively, when k ¼ 1.
may be a vector value, and h is called the reflection parameter. Fig. 2 compares the probability density function of the classical
The cdf associated to (8) is: U-TSP and the classical U-GBP with the classical U-BETA distribu-
(   tions presented by Hahn (2008). Note that the classical U-TSP dis-
hP ht =W ; if 0 < t 6 h; tribution is more peaked than the classical U-BETA distribution
Gðtjh; Pð=WÞÞ ¼  1t  ð9Þ
1  ð1  hÞP 1h
= W ; if h < t < 1; which is coherent with what was presented in Fig. 1.
Note that in both cases the most likely value density for the U-
where Pð=WÞ is the cdf of the generating density pð=wÞ. From (9)
BETA distribution is higher than the one for the U-GBP distribution
the following quantile function is obtained:
and lower than the one for the U-TSP distribution.
(  
  hP1 hz =W ; if 0 < z 6 h;
1
G z=h; P1 ð=WÞ ¼   2.1. The U-TSP mixture distribution
1  ð1  hÞP1 1h
1z
= W ; if h < z < 1:
ð10Þ By using the generating density (14) and the mechanism of gen-
The expression (11), presented by van Dorp and Kotz (2002a,b), erating two-sided continuous distributions (8) we can obtain the
relates the moments of the generating variable Y  p( |w) with Uniform-Two Sided Power (U-TSP) distribution with the density:
(  n1
those of the variable T  g(t|h, p( /w)): kn ht þ ð1  kÞ; if 0 < t 6 h;
0 1 g ðt=pðy=n; k; hÞÞ ¼  1t n1 ð16Þ
k kn 1h þ ð1  kÞ; if h < t < 1:
k kþ1 k
X
k
B C i iþ1 i
E½T  ¼ h E½Y jW þ @ i Að1Þ ð1  hÞ E½Y jW: ð11Þ
i¼0 The cdf associated with the density (16) is given by
8 h  n1 i
>
> t k ht þ ð1  kÞ ;
It can be proved that the generating density function of the TSP and >
>
>
< if 0 < t 6 h;
GBP distributions are given, respectively, by
Gðt=P ðy=n; k; hÞÞ ¼ h i ð17Þ
pðyjnÞ ¼ nyn1 ; ð12Þ > 1  ð1  tÞ k 1t n1 þ ð1  kÞ ;
>
>
> 1h
>
:
if h < t < 1:
ð2n þ 1Þðn þ 1Þ  2n 
pðyjnÞ ¼ y  2yn ; ð13Þ
3n  1 The main characteristics of the U-TSP distribution follow immedi-
ately using (11) and the relationship between the moments around
where n is the shape parameter of the distribution (van Dorp and
zero of and (van Dorp and Kotz, 2003):
Kotz, 2002a; García et al., 2009). Since none of the distributions
commonly used in the PERT have such heavy tails as the uniform 1 þ n þ k  2hk  nk þ 2hnk
E½T ¼ ; ð18Þ
one, we propose adding a mixing parameter in order to get the 2ðn þ 1Þ
Uniform-Two Sided Power (U-TSP) mixture distribution. In this
" #
case, the generating density is given by 1 2kðn2  1Þð2 þ nAÞ  3k2 B2 ðn  1Þ2 ðn þ 2Þk2
var½T ¼ 1þ ;
pðyjn; kÞ ¼ knyn1 þ ð1  kÞ: ð14Þ 12 ðn þ 1Þ2 ðn þ 2Þ
This procedure can be taken as a particular case of the family of ð19Þ
Elevated Two Sided Power Distributions (ETSP) introduced by where A = 6h2  6h + 1 and B = 1  2h.
García et al. (2011). Similarly, the Uniform-Generalized Biparabolic The expression (19) changes to the following one when
(U-GBP) mixture distribution can be obtained from the following n ¼ 3:02344:
generating density function:
1 h i
ð2n þ 1Þðn þ 1Þ  2n  var½T  ¼ 1 þ 3:63ð0:94 þ hÞð0:06 þ hÞk  3:03ð0:5 þ hÞ2 k2 :
pðyjn; kÞ ¼ k y  2yn þ ð1  kÞ: ð15Þ 12
3n  1 ð20Þ

A 1.6
B 3

1.4
2.5
1.2
2
1
pd f
pdf

0.8 1.5

0.6
1
0.4
0.5
0.2

0 0
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
t t
U-BETA U-TSP U-GBP U-BETA U-TSP U-GBP

Fig. 2. Probability density function of the classical U-BETA, the classical U-TSP and the classical U-GBP mixtures distribution. (A) k = 0.25, (B) k = 0.75.
446 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451

 
Note, Fig. 3A, that the U-BETA distribution always presents a higher var½T ¼ 0:266286 0:3129 þ Ak  Bk2 ; ð25Þ
variance except when h e [(0, 0.25) [ (0, 0.75)] and k > 0:5. The kur- 2 2
tosis coefficient is always higher in the U-TSP distribution when where A = 0.05629  1.1378h + 1.1378h and B = 0.25  h + h .
approximately 0.25 < h < 0.75 for every value of k. Moreover, if k is In a similar form to the U-TSP distribution, the U-GBP distribu-
less than 0.25 the kurtosis coefficient of the U-TSP distribution is tion always presents a lower variance except when
higher for every value of h. h e [(0, 0.25) [ (0, 0.75)] and k > 0:5, see Fig. 4A. The kurtosis coef-
ficient is always higher in the U-GBP distribution when approxi-
mately 0.25 < h < 0.75, for every value of k. Moreover, if k is less
2.2. The U-GBP mixture distribution
than 0.25 the kurtosis coefficient of the U-GBP distribution is high-
er for every value of h.
Similarly, by using the mechanism of generating two-sided con-
To conclude, Fig. 5 presents the variance of the classical sym-
tinuous distributions (8) and the generating density (15), the
metrical U-TSP, U-GBP and U-BETA mixture distributions. The
Uniform-Generalized Biparabolic (U-GBP) density is obtained as:
8 behavior of the variance in the U-TSP is quite similar to the U-
h   n i
> 2n
< kC ðnÞ ht  2 ht þ ð1  kÞ; if 0 < t 6 h; GBP distribution, but both have less variance than the U-BETA
g ðt=pðy=n; k; hÞÞ ¼ h  i distribution.
> kC ðnÞ 1t  2 1t
2n   n
: 1h 1h
þ ð1  kÞ; if h < t < 1;
3. Elicitation of mixture distributions
ð21Þ
where CðnÞ ¼ ð2nþ1Þðnþ1Þ
ð3n1Þ
. The cdf associated with the density (21) is From the beginnings of the PERT methodology, the use of quan-
given by tiles has been regarded as an adequate alternative to the direct
8  2nþ1 nþ1
 estimate of the parameters, and (Hampton et al., 1973; Chesley,
>
> ðht Þ 2ðht Þ
>
< kC ðnÞ ð2nþ1Þ  ðnþ1Þ h þ ð1  kÞt; if < 0 < t 6 h; 1975; Spetzler and Stael Von Holstein, 1975; Wallsten and Bude-
GðtPðyjn;k;hÞÞ ¼   scu, 1983). This elicitation procedure has been supported in differ-
>
> 1t 2nþ1
ð Þ 2ð Þ
1t nþ1
>
: 1  kð1  hÞC ðnÞ 1h  ð1h þ ð1  kÞt: if h < t < 1: ent fields by many authors such as Moskowitz and Bullers (1979),
ð2nþ1Þ nþ1Þ
Selvidge (1980), Davidson and Cooper (1980), Lau and Somarajan
ð22Þ
(1995), Johnson (1998), Lau et al. (1997) More recently, Kotz and
The main characteristics of the U-GBP distribution follow immedi- van Dorp (2006) developed a procedure to elicitate the TSP distri-
ately using (11) and the relationship between the moments around bution using quantiles and providing reasons for its use in order to
zero of Y and T (van Dorp and Kotz, 2003): simplify the work of experts and van Dorp et al. (2007) developed a
procedure for estimating a trapezoidal distribution using quantiles.
2 þ 7n þ 3n2 ð1  kÞ þ 6hn2 k
E½T ¼ ; ð23Þ
2ðn þ 2Þð3n þ 1Þ 3.1. Elicitation of the Uniform-Two Sided Power mixture distribution

36 þ 288n  An2  Bn3  Cn4  Dn5  En6 In the case of the U-TSP mixture distribution, as with the U-
var½T ¼ ; ð24Þ BETA, we need the expert to provide k in addition to a, m and b.
12ðn þ 2Þ2 ðn þ 3Þð2n þ 3Þð3n þ 1Þ3
The interpretation of this mixing parameter is not at all intuitive.
where Hahn (2008) presents two relatively direct methods to elicitate k
  in the classical U-BETA distribution that could be applied in the
A ¼ 809 þ 68 þ 120h  120h2 k;
  U-TSP. However, the latter has an explicit closed cdf expression
B ¼ 983 þ 242 þ 732h  732h2 k; which makes the elicitation procedure easier. We propose elicita-
    tion of the classical U-TSP (where n ¼ 3:02344), García et al.
C ¼ 581 þ 92 þ 1416h  1416h2 k þ 243  972h þ 972h2 k2 ;
    (2005). In this case, with a, m and b known, the only parameter
D ¼ 165 þ 780 þ 972h  972h2 k þ 243  972h þ 972h2 k2 ; to be determined is k. The elicitation of this parameter is carried
   
E ¼ 18 þ 36 þ 216h  216h2 k þ 54  972h þ 972h2 k2 : out using only one percentile.
First, in order to show that the lower or upper tail of the distri-
In the particular case when n = 2.74699, the expression (24) bution can be used instead of a central quantile we develop the fol-
becomes: lowing proposition from expression (17):

A B

0.08
Variance

0.06
0 4
Kurtosis

0.04 1
0.021 0.25 3
2 0.75
0.75 0.5
0.5 0 0.5
0.75 0.25
0.25 0.25
0.5
0 1 0.75
0
1

Fig. 3. (A) Variance of the classical U-TSP distribution and the classical U-BETA distribution (squared). (B) Kurtosis coefficient of the classical U-TSP distribution and the
classical U-BETA distribution (squared).
 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451 447

A B

0.08
Variance

0.06 4

Kurtosis
0.04 0 1
3
0.021 0.25 0.75
2
0.75 0.5 0.5
0
0.5 0.75 0.25
0.25 0.5 0.25
0 1 0.75
0
1
Fig. 4. (A) Variance of the classical U-GBP distribution and the classical U-BETA distribution (squared). (B) Kurtosis coefficient of the classical U-GBP distribution and the
classical U-BETA distribution (squared).

0.09
Similarly, it could be proved that aq 6 q. h
0.08 Finally, from (17) we can elicitate the parameter k:
0.07
8 p
1ap
>
> p 6 ap 6 h;
< 1ð h Þn1 ;
> ap
0.06
k¼ 1q ð28Þ
>
> 11a
Variance

0.05 > q
: 1aq n1 ; q 6 aq 6 q:
1 1h
0.04
Therefore, if we have a percentile to the left or right of h, by satisfy-
0.03
ing the conditions stated in (26), we can obtain from any of the
0.02 terms contained in (28).
0.01
Indeed, we are not forced to use the classical U-TSP and, what is
more, by increasing the value of n we can get distributions with
0 higher kurtosis and a more accurate fit. In this case, we can directly
0 0.2 0.4 0.6 0.8 1
elicitate the parameters k and n of a generic U-TSP distribution (n
Classical U-BETA Classical U-TSP Classical U-GBP undetermined) by using two percentiles and solving the system
formed by (28) and (29):
Fig. 5. Variance of the classical U-BETA (k ¼ 4; h ¼ 0:5), the classical U-TSP
(n = 3.02344; h = 0.5) and the classical U-GBP (n = 2.74669; h = 0.5) distributions.
1  app 1q
1  1a q
ap n1 ¼  n1 : ð29Þ
1 h 1aq
1  1h
Proposition. Given two quantiles ap and aq, where ap < h < aq, the
following relation is verified: One must unfortunately note that this system does not always
have a solution, but when it is possible to solve it, it allows us to
0 6 Gðap Þ ¼ p 6 ap 6 h 6 aq 6 Gðaq Þ ¼ q 6 1: ð26Þ obtain an elicitation of the underlying distribution from percen-
tiles. In the literature on PERT methodology, this procedure is con-
Proof. By substituting in (26): sidered closer to reality, (Moskowitz and Bullers, 1979; Selvidge,
1980; Davidson and Cooper, 1980; Alpert and Raiffa, 1982; Keefer
  n1  "  # and Verdini, 1993; Lau and Somarajan, 1995; Lau et al., 1996; Lau
n1
ap h
p ¼ ap k þ ð1  kÞ 6 ap k þ ð1  kÞ ¼ ap : ð27Þ et al., 1997; Johnson, 1997; Kotz and van Dorp, 2006; van Dorp et
h h
al., 2007). It can be said that, in the case of U-TSP, we have

A B
5 4

4
3

3
λ λ 2
2

1
1

0 0
0.9 1.4 1.9 2.4 2.9 3.4 3.9 0 0.5 1 1.5 2 2.5
n n
branch 1 branch 2 branch 1 branch 2

Fig. 6. Graphical solution of an elicitation example. (A) U-TSP distribution. (B) U-GBP distribution.
448 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451

Table 1
Stochastic characteristics of the total project time variable for the classical U-TSP, U-GBP and U-BETA distributions obtained by Monte Carlo simulations.

Mean Standard deviation 95% C.I. Sample kurtosis

Classical U-BETA (k = 0.25) 51.46 5.52 (42.20, 62.15) 2.24
Classical U-TSP (k = 0.25) 51.77 5.4 (42.63, 62.17) 2.25
Classical U-GBP (k = 0.25) 51.75 5.38 (42.62, 62.15) 2.27
Classical U-BETA (k = 0.5) 50.21 5.13 (42.04, 61.08) 2.54
Classical U-TSP (k = 0.5) 50.83 4.96 (42.84, 61.21) 2.5
Classical U-GBP (k = 0.5) 50.82 4.91 (42.89, 61.18) 2.54
Classical U-BETA (k = 0.75) 48.93 4.46 (41.95, 59.43) 3.14
Classical U-TSP (k = 0.75) 49.87 4.32 (43.16, 59.75) 2.95
Classical U-GBP (k = 0.75) 49.81 4.22 (43.24, 59.63) 3.06
Classical U-BETA (k = 1) 47.65 3.41 (42.01, 55.10) 2.93
Classical U-P (k = 1) 48.91 3.4 (43.56, 56.63) 3.04
Classical U-GBP (k = 1) 48.79 3.21 (43.64, 55.89) 2.97

Fig. 7. (A) Distribution of the total project time using the Classical U-BETA mixture distribution: (a) k = 0.25, (b) k = 0.5, (c) k = 0.75, (d) k = 1. (B) Distribution of the total
project time using the Classical U-TSP mixture distribution: (a) k = 0.25, (b) k = 0.5, (c) k = 0.75, (d) k = 1. (C) Distribution of the total project time using the Classical U-GBP
mixture distribution: (a) k = 0.25, (b) k = 0.5, (c) k = 0.75, (d) k = 1.
 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451 449

improved the direct elicitation, since from two quantiles it is pos- without the presence of the uniform distribution. The difference
sible to obtain the parameter k, which measures the degree of mix- between these distributions is small and it increases as k decreases.
ture, (the greater k the higher the purity of the TSP) and the Note that the empirical distribution (obtained by simulation) has a
parameter n, which is associated with the concentration and kurto- higher kurtosis coefficient when k = 0.25 for the U-GBP distribution
sis of the distribution (Kotz and Seier, 2007). and k = 1 for the U-TSP distribution. For k = 0.5, the U-GBP and U-
Alternatively, it is easy to elicitate n using (30) if p 6 ap 6 h or BETA distributions have the same kurtosis. If k = 0.75, the classical
(31) if h 6 aq 6 q, when you have already got k from one of the U-BETA distribution has the highest kurtosis.
methods proposed by Hahn (2008): In Table 2, we can see that the value of x (time to complete the
 project) which makes PðX 6 xÞ ¼ 0:95 is shorter when we are
1ap
Ln 1  k p working with the classical U-TSP or U-GBP distributions than when
n¼1þ a ; ð30Þ we are working with the classical U-BETA distribution with any
Lnð hp Þ kind of mixture. Note that the minimum and maximum values of
x, written in bold in Table 2, are always correspond to the U-TSP
and
and U-GBP distributions. However, when n varies, the time to com-
 1q

11a plete the project becomes shorter using the U-TSP or the U-GBP
Ln 1  k q
distribution. For instance, when k = 1 the time to complete the pro-
n¼1þ 1a
: ð31Þ ject with n = 10 is 49.21, which is shorter than the 53.86 obtained
Lnð 1hq Þ
from the U-BETA distribution. The explanation of this fact is shown
Eqs. (30) and (31) only have solution if k > 1  app and k > 1  1a
1q
q
,
respectively.
Table 2
Value of x which makes PðX 6 xÞ ¼ 0:95 for k = 0.25, 0.5, 0.75 and 1, for classical U-
3.2. Elicitation of the Uniform-Generalized Biparabolic mixture
BETA, classical U-TSP and classical U-GBP distributions obtained by Monte Carlo
distribution simulations.

U-BETA U-TSF U-GBP

In the case of the U-GBP distribution, as with the U-TSP one, the
procedure introduced by Van Dorp et al. (2006) is used. It can be n=5 n = 10 n = 3.02344 n=5 n = 10 n = 2.74669
shown that proposition (26) is also verified in this case. A = 0.25 60.88 60.9 60.82 60.97 60.87 60.77 60.96
From (22) we can elicitate the parameter k: A = 0.5 59.67 59.57 59.44 59.94 59.58 59.46 59.87
A = 0.75 57.66 57.46 57.15 58.22 57.36 57.24 58.04
8
> ðap pÞð1þ3nÞ k=1 53.86 52.35 49.21 55.31 51.91 49.22 54.7
< ap
ðap Þn 1
ðap Þn ð1þnÞ13n ;
> p 6 ap 6 h;
h h The minimum and maximum values of x for every value of are shown in bold.
k¼ ð32Þ
>
>
1a ðnq Þ
a n
a q ð1þ3nÞ
 ; h 6 aq 6 q:
:
ðaq 1Þ 1hq 1 ð hq Þ ð1þnÞ13n

As an example, we consider the quantiles (p; ap) = (0.001; 0.003) and

(q; aq) = (0.9997; 0.999) and h = 0.4. In the case of the U-GBP distri-
bution, by substituting the value of ap and aq in (32) we shall obtain
a function depending on n. The analytical solution is quite cumber-
some. We have therefore obtained the solution in a graphical way.
The solution is n = 0.6115 and k ¼ 0:7225. By using the same exam-
ple, we can obtain the solution in the case of the U-TSP distribution
only by substituting the values of ap and aq in (28). In this case the
solution becomes and n = 1.5006 and k ¼ 0:7297. Fig. 6 shows both
graphical solutions.

4. Empirical application

We now analyze the performance of the U-TSP and the U-GBP

distributions by using the example used by Hahn (2008) and com-
paring the results. This application, originally from Moder et al.
(1983), consists of 29 activities in a real-world electronic module
development project having multiple paths. Monte Carlo simula-
tions have been applied to obtain the distribution of the total pro-
ject time for the classical U-TSP, U-GBP and U-BETA distributions
using the same values of k applied by Hahn (2008) (note that the
mixture parameter was originally called h). The stochastic charac-
teristics are provided in Table 1. The results obtained using the
classical U-TSP and U-GBP distributions are quite similar to the
classical U-BETA results. Note that the estimation of the mean is al-
ways higher using the classical U-TSP and U-GBP distributions. The
intervals are slightly deviated to the right in the case of the U-TSP
distribution. In both cases, increasing the presence of the uniform
distribution makes the intervals greater.
Fig. 8. (A) Representation of the classical U-BETA, classical U-TSP and classical U-
Plots of the distribution of the total project time appear in Fig. 7. GBP cumulative distribution function for k = 0.75. (B) Representation of the U-BETA,
We see that the variance is always higher using the classical U- U-TSP and U-GBP cumulative distribution function for k = 0.75 and different values
BETA distribution than using the classical U-TSP and U-GBP, even of n.
450 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451
Fig. 9. The 95% percentile of the time needed to complete the project by using the classical U-BETA, U-TSP and U-GBP distributions. (A) k = 0.25; (B) k = 0.5; (C) k = 0.75; (D)
k = 1.
in Fig. 8A where we can see that the cdf by using the classical U-
TSP and U-GBP distributions is always below the cdf of the beta
distribution for any kind of mixture. However, by letting n vary
the cdf of the U-TSP and U-GBP distributions can give a cross-
representation of the U-BETA cdf (see Fig. 8B).
To highlight this situation, the 95% percentile of the time
needed to complete the project is represented in Fig. 9 for different
values of k. In the case of the U-BETA distribution the percentile is
constant, while in the case of the U-TSP and U-GBP distributions,
the percentile depends on the value of n. Note that the parameter
n is related to the peakedness. As it is shown, by using small values
of n, the distributions U-TSP and U-GBP estimate (with a 95% prob-
ability) a time to complete the project that is longer than the U-
BETA distribution. However, by using values of n higher than
approximately five, the U-TSP and U-GBP distributions estimate a
time to complete the project that is shorter than the U-BETA distri-
bution. The differences for k = 0.5 and k = 0.75 are 4 and 7 days,
respectively, or similarly, a variation of 7% and 12% respectively.
This is to support the importance of the parameter n and the joint
elicitation of n and k by using percentiles.
5. Conclusions
The mixtures of the Uniform distribution with the Two Sided
Power distribution (U-TSP) and the Uniform distribution with the
Generalized Biparabolic distribution (U-GBP) have been introduced
in this paper as an alternative to the Uniform-Beta distribution pre-
sented by Hahn (2008).
First, we compare the mixture presented by Hahn (2008) with
the mixture between the uniform and classical TSP (n = 0.302344)
distribution and the uniform and classical GBP (n = 2.74669) distri-
bution. Focussing on the kurtosis coefficient, Figs. 3B and 4B show
that the kurtosis coefficients of the classical U-TSP and classical
U-GBP distributions are higher than the one in the classical U-BETA
distribution for 0.25 < h < 0.75 for all values of k and for k < 0:25 for
all values of h. Therefore, we can conclude that the U-BETA distribu-
tion only presents a higher kurtosis in the asymmetric cases. Taking
into account that the most likely value (m) given by the expert used
for centering with respect to the values a and b, we can conclude
that in the most of the cases the classical U-TSP and the classical
U-GBP distributions will have higher kurtosis than the classical U-
BETA, and, as a consequence, these distributions will be more suit-
able for modeling heavy tails phenomena.
On the other hand, the cdf of the U-TSP and U-GBP distributions
present more possibilites by allowing n to vary, as is shown in
Fig. 8B where the cdf of the U-TSP and U-GBP distributions cross
the cdf of the U-BETA distribution. The clear consequence of this
is that, with an adequate elicitacion, or, what amounts to the same,
a good expert, the elicitation procedure introduced here allows us
to increase the accuracy of the estimation.
A new elicitation procedure is proposed as an alternative to the
one proposed by Hahn (2008) which does not follow the usual
methodology applied in PERT and only takes into account the clas-
sical beta (k = 4 or k = 6) and only offers the elicitation for a, m and
b parameters. The U-TSP and the U-GBP distributions have a closed
expression for the cumulative distribution function so they can be
directly elicitated from quantiles, and to allow different values for
the parameter n that can be easily elicitated. It was shown that this
parameter n has a great importance in the estimation of the time
needed to complete the project which is essential in PERT method-
ology. In addition, by increasing n, the value of kurtosis increases
and the variance decreases. Therefore we can say that we obtain
more accuracy and a greater likelihood of more extreme tail-area
events.
There are at least two areas in which this research can be ex-
tended: first, the development of new distributions with more
parameters that can be applied in PERT methodology and, at the
same time, complete the relative scarcity of bounded distribution
in literature; second, to find more applications of these
 M.M. López Martín et al. / European Journal of Operational Research 220 (2012) 443–451 451

distributions fitting extreme tail-area events which are present in a Kotz, S., Seier, E., 2007. Kurtosis orderings for two sided power distribution.
Brazilian Journal Probability and Statistics 28 (1), 61–68.
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atmospheric science among others. distributions on a bounded domain utilizing expert judgment estimates. IIE
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