largeselection

Active Member
Joined
Aug 4, 2008
Messages
358
Not sure if anyone can help with this. Basically I'm trying to find out how to apply the reverse of the Poisson function in excel. So as of now I have poisson(x value, mean, true-cumulative) and that lets me get the probability for that occurence. Basically I want to know how I can get the minimum/maximum x value based on a given probability.

So if I have a list of data (700 rows) and I want to find out what the minimum starting value should be given a desired average and the fact that I want the lowest value to be at the 0.05% probability. So 0.05% = (x, 35, True) solve for x.

I know I can prob do this with solver, but I am trying to figure out a way to do this formulaicly without having to use the solver (as I may have to use this many times)

Thanks for any insight/links/help as always!
 
A further mod to accommodate large means:

Code:
Function PoissonInv(Prob As Double, Mean As Double) As Variant
  ' shg 2011, 2012, 2014, 2015-0415

  ' For a Poisson process with mean Mean, returns a three-element array:
  '   o The smallest integer N such that POISSON(N, Mean, True) >= Prob
  '   o The CDF for N-1 (which is < Prob)
  '   o The CDF for N (which is >= Prob)

  ' E.g., POISSON(5, 10, TRUE) returns 0.067085962
  ' PoissonInv(0.067085962, 10) returns 5

  ' Returns a descriptive error if Prob <= 0 or Prob >= 1
  ' If Mean >= 100, then uses a normal approximation

  Dim N             As Long     ' number of events
  Dim CDF           As Double   ' cumulative distribution function at N
  Dim CDFOld        As Double   ' CDF at N-1

  ' These two variables are used to simplify the probability mass
  ' function summation CDF = CDF + Exp(-Mean) * Mean ^ N / N!
  
  Dim dExpMean      As Double   ' =Exp(-Mean)
  Dim dK            As Double   ' incremental power & factorial

  If Prob <= 0 Or Prob >= 1 Then
    PoissonInv = "Prob ]0,1["

  ElseIf Mean < 100 Then
    dExpMean = Exp(-Mean)
    dK = 1#
    CDF = dExpMean

    Do While CDF < Prob - 0.000000000000001
      CDFOld = CDF
      N = N + 1
      dK = dK * Mean / N
      CDF = CDF + dExpMean * dK
    Loop

    PoissonInv = Array(N, CDFOld, CDF)

  Else
    ' Plan B, for large means; approximate the Poisson as a normal distribution
    ' http://en.wikipedia.org/wiki/Continuity_correction#Poisson
    Dim iInv        As Long

    With WorksheetFunction
      iInv = .Ceiling(.Norm_Inv(Prob, Mean, Sqr(Mean)) - 0.5, 1)
      PoissonInv = Array(iInv, _
                         .Norm_Dist(iInv - 0.5, Mean, Sqr(Mean), True), _
                         .Norm_Dist(iInv + 0.5, Mean, Sqr(Mean), True))
    End With
  End If
End Function

Is there any way to apply this if you want the inverse of the poisson formula when using false in the excel formula?
 
Upvote 0

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