Weibull distribution

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Weibull (2-Parameter)
Probability density function
Probability distribution function
Cumulative distribution function
Cumulative distribution function
Parameters scale
shape
Support
PDF
CDF
Mean
Median
Mode
Variance
Skewness
Ex. kurtosis (see text)
Entropy
MGF
CF

In probability theory and statistics, the Weibull distribution /ˈvbʊl/ is a continuous probability distribution. It is named after Swedish mathematician Waloddi Weibull, who described it in detail in 1951, although it was first identified by Fréchet (1927) and first applied by Rosin & Rammler (1933) to describe a particle size distribution.

Definition[edit]

Standard parameterization[edit]

The probability density function of a Weibull random variable is:[1]

where k > 0 is the shape parameter and λ > 0 is the scale parameter of the distribution. Its complementary cumulative distribution function is a stretched exponential function. The Weibull distribution is related to a number of other probability distributions; in particular, it interpolates between the exponential distribution (k = 1) and the Rayleigh distribution (k = 2 and [2]).

If the quantity X is a "time-to-failure", the Weibull distribution gives a distribution for which the failure rate is proportional to a power of time. The shape parameter, k, is that power plus one, and so this parameter can be interpreted directly as follows:

  • A value of indicates that the failure rate decreases over time. This happens if there is significant "infant mortality", or defective items failing early and the failure rate decreasing over time as the defective items are weeded out of the population. In the context of the diffusion of innovations, this means negative word of mouth: the hazard function is a monotonically decreasing function of the proportion of adopters;
  • A value of indicates that the failure rate is constant over time. This might suggest random external events are causing mortality, or failure. The Weibull distribution reduces to an exponential distribution;
  • A value of indicates that the failure rate increases with time. This happens if there is an "aging" process, or parts that are more likely to fail as time goes on. In the context of the diffusion of innovations, this means positive word of mouth: the hazard function is a monotonically increasing function of the proportion of adopters. The function is first concave, then convex with an inflexion point at .

In the field of materials science, the shape parameter k of a distribution of strengths is known as the Weibull modulus. In the context of diffusion of innovations, the Weibull distribution is a "pure" imitation/rejection model.

Alternative parameterizations[edit]

In medical statistics a different parameterization is used.[3] The shape parameter k is the same as above and the scale parameter is . For x ≥ 0 the hazard function is

and the probability density function is

The mean is

A third parameterization is sometimes used. In this the shape parameter k is the same as above and the scale parameter is .

Properties[edit]

Density function[edit]

The form of the density function of the Weibull distribution changes drastically with the value of k. For 0 < k < 1, the density function tends to ∞ as x approaches zero from above and is strictly decreasing. For k = 1, the density function tends to 1/λ as x approaches zero from above and is strictly decreasing. For k > 1, the density function tends to zero as x approaches zero from above, increases until its mode and decreases after it. It is interesting to note that the density function has infinite negative slope at x = 0 if 0 < k < 1, infinite positive slope at x = 0 if 1 < k < 2 and null slope at x = 0 if k > 2. For k = 2 the density has a finite positive slope at x = 0. As k goes to infinity, the Weibull distribution converges to a Dirac delta distribution centered at x = λ. Moreover, the skewness and coefficient of variation depend only on the shape parameter.

Cumulative distribution function[edit]

The cumulative distribution function for the Weibull distribution is

for x ≥ 0, and F(x; k; λ) = 0 for x < 0.

The quantile (inverse cumulative distribution) function for the Weibull distribution is

for 0 ≤ p < 1.

The failure rate h (or hazard function) is given by

Moments[edit]

The moment generating function of the logarithm of a Weibull distributed random variable is given by[4]

where Γ is the gamma function. Similarly, the characteristic function of log X is given by

In particular, the nth raw moment of X is given by

The mean and variance of a Weibull random variable can be expressed as

and

The skewness is given by

where the mean is denoted by μ and the standard deviation is denoted by σ.

The excess kurtosis is given by

where . The kurtosis excess may also be written as:

Moment generating function[edit]

A variety of expressions are available for the moment generating function of X itself. As a power series, since the raw moments are already known, one has

Alternatively, one can attempt to deal directly with the integral

If the parameter k is assumed to be a rational number, expressed as k = p/q where p and q are integers, then this integral can be evaluated analytically.[5] With t replaced by −t, one finds

where G is the Meijer G-function.

The characteristic function has also been obtained by Muraleedharan et al. (2007). The characteristic function and moment generating function of 3-parameter Weibull distribution have also been derived by Muraleedharan & Soares (2014) by a direct approach.

Shannon entropy[edit]

The information entropy is given by

where is the Euler–Mascheroni constant. The Weibull distribution is the maximum entropy distribution for a non-negative real random variate with a fixed expected value of xk equal to λk and a fixed expected value of ln(xk ) equal to ln(λk ) -.

Parameter estimation[edit]

Maximum likelihood[edit]

The maximum likelihood estimator for the parameter given is,

The maximum likelihood estimator for is,

This being an implicit function, one must generally solve for by numerical means.

When are the largest observed samples from a dataset of more than samples, then the maximum likelihood estimator for the parameter given is,[6]

Also given that condition, the maximum likelihood estimator for is,

Again, this being an implicit function, one must generally solve for by numerical means.

Weibull plot[edit]

The fit of data to a Weibull distribution can be visually assessed using a Weibull Plot.[7] The Weibull Plot is a plot of the empirical cumulative distribution function of data on special axes in a type of Q-Q plot. The axes are versus . The reason for this change of variables is the cumulative distribution function can be linearized:

which can be seen to be in the standard form of a straight line. Therefore if the data came from a Weibull distribution then a straight line is expected on a Weibull plot.

There are various approaches to obtaining the empirical distribution function from data: one method is to obtain the vertical coordinate for each point using where is the rank of the data point and is the number of data points.[8]

Linear regression can also be used to numerically assess goodness of fit and estimate the parameters of the Weibull distribution. The gradient informs one directly about the shape parameter and the scale parameter can also be inferred.

The Weibull distribution is used[citation needed]

Related distributions[edit]

  • The translated Weibull distribution (or 3-parameter Weibull) contains an additional parameter.[4] It has the probability density function

    for and for , where is the shape parameter, is the scale parameter and is the location parameter of the distribution. When , this reduces to the 2-parameter distribution.
  • The Weibull distribution can be characterized as the distribution of a random variable such that the random variable

    is the standard exponential distribution with intensity 1.[4]
  • This implies that the Weibull distribution can also be characterized in terms of a uniform distribution: if is uniformly distributed on , then the random variable is Weibull distributed with parameters and . (Note that here is equivalent to just above.) This leads to an easily implemented numerical scheme for simulating a Weibull distribution.
  • The Weibull distribution interpolates between the exponential distribution with intensity when and a Rayleigh distribution of mode when .
  • The Weibull distribution (usually sufficient in reliability engineering) is a special case of the three parameter exponentiated Weibull distribution where the additional exponent equals 1. The exponentiated Weibull distribution accommodates unimodal, bathtub shaped[12] and monotone failure rates.
  • The Weibull distribution is a special case of the generalized extreme value distribution. It was in this connection that the distribution was first identified by Maurice Fréchet in 1927.[13] The closely related Fréchet distribution, named for this work, has the probability density function

  • The distribution of a random variable that is defined as the minimum of several random variables, each having a different Weibull distribution, is a poly-Weibull distribution.
  • The Weibull distribution was first applied by Rosin & Rammler (1933) to describe particle size distributions. It is widely used in mineral processing to describe particle size distributions in comminution processes. In this context the cumulative distribution is given by

    where
    • : Particle size
    • : 80th percentile of the particle size distribution
    • : Parameter describing the spread of the distribution
  • Because of its availability in spreadsheets, it is also used where the underlying behavior is actually better modeled by an Erlang distribution.[14]

See also[edit]

References[edit]

  1. ^ Papoulis, Athanasios Papoulis; Pillai, S. Unnikrishna (2002). Probability, Random Variables, and Stochastic Processes (4th ed.). Boston: McGraw-Hill. ISBN 0-07-366011-6. 
  2. ^ http://www.mathworks.com.au/help/stats/rayleigh-distribution.html
  3. ^ Collett, David (2015). Modelling survival data in medical research (3rd ed.). Boca Raton: Chapman and Hall / CRC. ISBN 1439856788. 
  4. ^ a b c Johnson, Kotz & Balakrishnan 1994
  5. ^ See (Cheng, Tellambura & Beaulieu 2004) for the case when k is an integer, and (Sagias & Karagiannidis 2005) for the rational case.
  6. ^ Sornette, D. (2004). Critical Phenomena in Natural Science: Chaos, Fractals, Self-organization, and Disorder. .
  7. ^ The Weibull plot
  8. ^ Wayne Nelson (2004) Applied Life Data Analysis. Wiley-Blackwell ISBN 0-471-64462-5
  9. ^ Survival/Failure Time Analysis
  10. ^ Wind Speed Distribution Weibull
  11. ^ "The Weibull distribution as a general model for forecasting technological change". Technological Forecasting and Social Change. 18: 247–256. doi:10.1016/0040-1625(80)90026-8. Retrieved 2013-09-05. 
  12. ^ "System evolution and reliability of systems". Sysev (Belgium). 2010-01-01. 
  13. ^ Montgomery, Douglas. Introduction to statistical quality control. [S.l.]: John Wiley. p. 95. ISBN 9781118146811. 
  14. ^ Chatfield, C.; Goodhardt, G.J. (1973). "A Consumer Purchasing Model with Erlang Interpurchase Times". Journal of the American Statistical Association. 68: 828–835. doi:10.1080/01621459.1973.10481432. 

Bibliography[edit]

External links[edit]