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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.

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
Kullback-Leibler divergencesee below

DefinitionEdit

Standard parameterizationEdit

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:[3]

  • A value of   indicates that the failure rate decreases over time (Lindy effect). 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 convex, then concave 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 parameterizationsEdit

In medical statistics a different parameterization is used.[4] 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  .

PropertiesEdit

Density functionEdit

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. 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 = 1 the density has a finite negative slope at x = 0. 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 functionEdit

The cumulative distribution function for the Weibull distribution is

 

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

If x = λ then F(x; k; λ) = 1 − e−1 ≈ 0.632 for all values of k. Vice versa: at F(x; k; λ) = 0.632 the value of x ≈ λ.

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

 

MomentsEdit

The moment generating function of the logarithm of a Weibull distributed random variable is given by[5]

 

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 functionEdit

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.[6] 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 entropyEdit

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 estimationEdit

Maximum likelihoodEdit

The maximum likelihood estimator for the   parameter given   is

 

The maximum likelihood estimator for   is the solution for k of the following equation[citation needed]

 

This equation defining   only implicitly, 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[7]

 

Also given that condition, the maximum likelihood estimator for   is[citation needed]

 

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

Weibull plotEdit

The fit of data to a Weibull distribution can be visually assessed using a Weibull plot.[8] 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.[9]

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.

Kullback–Leibler divergenceEdit

  [10]

ApplicationsEdit

The Weibull distribution is used[citation needed]

 
Fitted cumulative Weibull distribution to maximum one-day rainfalls using CumFreq, see also distribution fitting [13]
  • In general insurance to model the size of reinsurance claims, and the cumulative development of asbestosis losses
  • In forecasting technological change (also known as the Sharif-Islam model)[15]
  • In hydrology the Weibull distribution is applied to extreme events such as annual maximum one-day rainfalls and river discharges.
  • In describing the size of particles generated by grinding, milling and crushing operations, the 2-Parameter Weibull distribution is used, and in these applications it is sometimes known as the Rosin-Rammler distribution.[citation needed] In this context it predicts fewer fine particles than the Log-normal distribution and it is generally most accurate for narrow particle size distributions.[citation needed] The interpretation of the cumulative distribution function is that   is the mass fraction of particles with diameter smaller than  , where   is the mean particle size and   is a measure of the spread of particle sizes.
  • In describing random point clouds (such as the positions of particles in an ideal gas): the probability to find the nearest-neighbor particle at a distance   from a given particle is given by a Weibull distribution with   and   equal to the density of the particles.[16]

Related distributionsEdit

  • The translated Weibull distribution (or 3-parameter Weibull) contains an additional parameter.[5] 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.[5]
  • 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[17] 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.[18] 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
    •   is the particle size
    •   is the 80th percentile of the particle size distribution
    •   is a 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.[19]
  • If   then   (Exponential distribution)

See alsoEdit

ReferencesEdit

  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. ^ "Rayleigh Distribution - MATLAB & Simulink - MathWorks Australia". www.mathworks.com.au.
  3. ^ Jiang, R.; Murthy, D.N.P. (2011). "A study of Weibull shape parameter: Properties and significance". Reliability Engineering & System Safety. 96 (12): 1619–26. doi:10.1016/j.ress.2011.09.003.
  4. ^ Collett, David (2015). Modelling survival data in medical research (3rd ed.). Boca Raton: Chapman and Hall / CRC. ISBN 978-1439856789.
  5. ^ a b c Johnson, Kotz & Balakrishnan 1994
  6. ^ See (Cheng, Tellambura & Beaulieu 2004) for the case when k is an integer, and (Sagias & Karagiannidis 2005) for the rational case.
  7. ^ Sornette, D. (2004). Critical Phenomena in Natural Science: Chaos, Fractals, Self-organization, and Disorder..
  8. ^ "1.3.3.30. Weibull Plot". www.itl.nist.gov.
  9. ^ Wayne Nelson (2004) Applied Life Data Analysis. Wiley-Blackwell ISBN 0-471-64462-5
  10. ^ Bauckhage, Christian (2013). "Computing the Kullback-Leibler Divergence between two Weibull Distributions". arXiv:1310.3713 [cs.IT].
  11. ^ www.statsoft.com. "Survival/Failure Time Analysis". www.statsoft.com.
  12. ^ "Wind Speed Distribution Weibull - REUK.co.uk". www.reuk.co.uk.
  13. ^ "CumFreq, Distribution fitting of probability, free software, cumulative frequency".
  14. ^ Liu, Chao; White, Ryen W.; Dumais, Susan (2010-07-19). Understanding web browsing behaviors through Weibull analysis of dwell time. ACM. pp. 379–386. doi:10.1145/1835449.1835513. ISBN 9781450301534.
  15. ^ Sharif, M.Nawaz; Islam, M.Nazrul (1980). "The Weibull distribution as a general model for forecasting technological change". Technological Forecasting and Social Change. 18 (3): 247–56. doi:10.1016/0040-1625(80)90026-8.
  16. ^ Chandrashekar, S. (1943). "Stochastic Problems in Physics and Astronomy". Reviews of Modern Physics. 15 (1). p. 86.
  17. ^ "System evolution and reliability of systems". Sysev (Belgium). 2010-01-01.
  18. ^ Montgomery, Douglas (2012-06-19). Introduction to statistical quality control. [S.l.]: John Wiley. p. 95. ISBN 9781118146811.
  19. ^ Chatfield, C.; Goodhardt, G.J. (1973). "A Consumer Purchasing Model with Erlang Interpurchase Times". Journal of the American Statistical Association. 68 (344): 828–835. doi:10.1080/01621459.1973.10481432.

BibliographyEdit

External linksEdit