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(Created page with '====MLE Parameter Estimation==== The parameters of the lognormal distribution can also be estimated using Maximum Likelihood Estimation (MLE). This general log-likelihood functio…')
 
 
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====MLE Parameter Estimation====
====MLE Parameter Estimation====
The parameters of the lognormal distribution can also be estimated using Maximum Likelihood Estimation (MLE). This general log-likelihood function is:
The parameters of the lognormal distribution can also be estimated using maximum likelihood estimation (MLE). This general log-likelihood function is:


<br>
<br>
::<math>\begin{align}
::<math>\begin{align}
   & \ln (L)= & \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{1}{{{\sigma }_{{{T}'}}}{{T}_{i}}}\phi \left( \frac{\ln \left( {{T}_{i}} \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right] \\
   & \ln (L)= \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{1}{{{\sigma }_{{{T}'}}}{{T}_{i}}}\phi \left( \frac{\ln \left( {{T}_{i}} \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right]\text{ }+\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\ln \left[ 1-\Phi \left( \frac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right]+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\ln [\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime })]   
&  & \text{ }+\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\ln \left[ 1-\Phi \left( \frac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right]+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\ln [\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime })]   
\end{align}</math>
\end{align}</math>


<br>
<br>
:where:
where:
 
<br>
<br>
::<math>z_{Li}^{\prime \prime }=\frac{\ln T_{Li}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }}</math>
::<math>z_{Li}^{\prime \prime }=\frac{\ln T_{Li}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }}</math>
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::<math>z_{Ri}^{\prime \prime }=\frac{\ln T_{Ri}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }}</math>
::<math>z_{Ri}^{\prime \prime }=\frac{\ln T_{Ri}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }}</math>
<br>
<br>
:and:
and:
<br>
<br>
<br>
<br>
: <math>{{F}_{e}}</math>  is the number of groups of times-to-failure data points.
:* <math>{{F}_{e}}</math>  is the number of groups of times-to-failure data points.
: <math>{{N}_{i}}</math>  is the number of times-to-failure in the  <math>{{i}^{th}}</math>  time-to-failure data group.
:* <math>{{N}_{i}}</math>  is the number of failure times in the  <math>{{i}^{th}}</math>  time-to-failure data group.
: <math>{\mu }'</math>  is the mean of the natural logarithms of the times-to-failure (unknown a priori, the first of two parameters to be found).
:* <math>{\mu }'</math>  is the mean of the natural logarithms of the failure times (unknown a priori, the first of two parameters to be found).
: <math>{{\sigma }_{{{T}'}}}</math>  is the standard deviation of the natural logarithms of the times-to-failure (unknown a priori, the second of two parameters to be found).
:* <math>{{\sigma }_{{{T}'}}}</math>  is the standard deviation of the natural logarithms of the failure times (unknown a priori, the second of two parameters to be found).
: <math>{{T}_{i}}</math>  is the time of the  <math>{{i}^{th}}</math>  group of time-to-failure data.
:* <math>{{T}_{i}}</math>  is the time of the  <math>{{i}^{th}}</math>  group of time-to-failure data.
: <math>S</math>  is the number of groups of suspension data points.
:* <math>S</math>  is the number of groups of suspension data points.
: <math>N_{i}^{\prime }</math>  is the number of suspensions in  <math>{{i}^{th}}</math>  group of suspension data points.
:* <math>N_{i}^{\prime }</math>  is the number of suspensions in  <math>{{i}^{th}}</math>  group of suspension data points.
: <math>T_{i}^{\prime }</math>  is the time of the  <math>{{i}^{th}}</math>  suspension data group.
:* <math>T_{i}^{\prime }</math>  is the time of the  <math>{{i}^{th}}</math>  suspension data group.
: <math>FI</math>  is the number of interval data groups.
:* <math>FI</math>  is the number of interval data groups.
: <math>N_{i}^{\prime \prime }</math>  is the number of intervals in the i <math>^{th}</math> group of data intervals.
:* <math>N_{i}^{\prime \prime }</math>  is the number of intervals in the <math>i^{th}</math> group of data intervals.
: <math>T_{Li}^{\prime \prime }</math>  is the beginning of the i <math>^{th}</math> interval.
:* <math>T_{Li}^{\prime \prime }</math>  is the beginning of the <math>i^{th}</math> interval.
: <math>T_{Ri}^{\prime \prime }</math>  is the ending of the i <math>^{th}</math> interval.
:* <math>T_{Ri}^{\prime \prime }</math>  is the ending of the <math>i^{th}</math> interval.
The solution will be found by solving for a pair of parameters  <math>\left( {\mu }',{{\sigma }_{{{T}'}}} \right)</math>  so that  <math>\tfrac{\partial \Lambda }{\partial {\mu }'}=0</math>  and  <math>\tfrac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}=0,</math> where:
 
<br>
The solution will be found by solving for a pair of parameters  <math>\left( {\mu }',{{\sigma }_{{{T}'}}} \right)</math>  so that  <math>\tfrac{\partial \Lambda }{\partial {\mu }'}=0</math>  and  <math>\tfrac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}=0</math>, where:
<br>
<br>
::<math>\begin{align}
::<math>\begin{align}
   & \frac{\partial \Lambda }{\partial {\mu }'}= & \frac{1}{\sigma _{{{T}'}}^{2}}\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}(\ln ({{T}_{i}})-{\mu }') \\
   & \frac{\partial \Lambda }{\partial {\mu }'}= \frac{1}{\sigma _{{{T}'}}^{2}}\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}(\ln ({{T}_{i}})-{\mu }')+\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{\varphi (z_{Ri}^{\prime \prime })-\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))} \\  
&  & +\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{\varphi (z_{Ri}^{\prime \prime })-\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))} \\  
  &  &  \\  
  &  &  \\  
  & \frac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}= & \underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\left( \frac{{{\left( \ln ({{T}_{i}})-{\mu }' \right)}^{2}}}{\sigma _{{{T}'}}^{3}}-\frac{1}{{{\sigma }_{{{T}'}}}} \right) \\
  & \frac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}= \underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\left( \frac{{{\left( \ln ({{T}_{i}})-{\mu }' \right)}^{2}}}{\sigma _{{{T}'}}^{3}}-\frac{1}{{{\sigma }_{{{T}'}}}} \right)+\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{z_{Ri}^{\prime \prime }\varphi (z_{Ri}^{\prime \prime })-z_{Li}^{\prime \prime }\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))}   
&  & +\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{z_{Ri}^{\prime \prime }\varphi (z_{Ri}^{\prime \prime })-z_{Li}^{\prime \prime }\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))}   
\end{align}</math>
\end{align}</math>
<br>
<br>
:and:
and:
<br>
<br>
<br>
<br>
::<math>\phi \left( x \right)=\frac{1}{\sqrt{2\pi }}\cdot {{e}^{-\tfrac{1}{2}{{\left( x \right)}^{2}}}}</math>
::<math>\phi \left( x \right)=\frac{1}{\sqrt{2\pi }}\cdot {{e}^{-\tfrac{1}{2}{{\left( x \right)}^{2}}}}</math>
<br>
<br>
::<math>\Phi (x)=\frac{1}{\sqrt{2\pi }}\mathop{}_{-\infty }^{x}{{e}^{-\tfrac{{{t}^{2}}}{2}}}dx</math>
::<math>\Phi (x)=\frac{1}{\sqrt{2\pi }}\int_{-\infty }^{x}{{e}^{-\tfrac{{{t}^{2}}}{2}}}dx</math>
<br>
<br>

Latest revision as of 17:02, 7 March 2012

MLE Parameter Estimation

The parameters of the lognormal distribution can also be estimated using maximum likelihood estimation (MLE). This general log-likelihood function is:


[math]\displaystyle{ \begin{align} & \ln (L)= \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{1}{{{\sigma }_{{{T}'}}}{{T}_{i}}}\phi \left( \frac{\ln \left( {{T}_{i}} \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right]\text{ }+\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\ln \left[ 1-\Phi \left( \frac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right) \right]+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\ln [\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime })] \end{align} }[/math]


where:


[math]\displaystyle{ z_{Li}^{\prime \prime }=\frac{\ln T_{Li}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }} }[/math]


[math]\displaystyle{ z_{Ri}^{\prime \prime }=\frac{\ln T_{Ri}^{\prime \prime }-{\mu }'}{\sigma _{T}^{\prime }} }[/math]


and:

  • [math]\displaystyle{ {{F}_{e}} }[/math] is the number of groups of times-to-failure data points.
  • [math]\displaystyle{ {{N}_{i}} }[/math] is the number of failure times in the [math]\displaystyle{ {{i}^{th}} }[/math] time-to-failure data group.
  • [math]\displaystyle{ {\mu }' }[/math] is the mean of the natural logarithms of the failure times (unknown a priori, the first of two parameters to be found).
  • [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math] is the standard deviation of the natural logarithms of the failure times (unknown a priori, the second of two parameters to be found).
  • [math]\displaystyle{ {{T}_{i}} }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] group of time-to-failure data.
  • [math]\displaystyle{ S }[/math] is the number of groups of suspension data points.
  • [math]\displaystyle{ N_{i}^{\prime } }[/math] is the number of suspensions in [math]\displaystyle{ {{i}^{th}} }[/math] group of suspension data points.
  • [math]\displaystyle{ T_{i}^{\prime } }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] suspension data group.
  • [math]\displaystyle{ FI }[/math] is the number of interval data groups.
  • [math]\displaystyle{ N_{i}^{\prime \prime } }[/math] is the number of intervals in the [math]\displaystyle{ i^{th} }[/math] group of data intervals.
  • [math]\displaystyle{ T_{Li}^{\prime \prime } }[/math] is the beginning of the [math]\displaystyle{ i^{th} }[/math] interval.
  • [math]\displaystyle{ T_{Ri}^{\prime \prime } }[/math] is the ending of the [math]\displaystyle{ i^{th} }[/math] interval.


The solution will be found by solving for a pair of parameters [math]\displaystyle{ \left( {\mu }',{{\sigma }_{{{T}'}}} \right) }[/math] so that [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial {\mu }'}=0 }[/math] and [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}=0 }[/math], where:

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial {\mu }'}= \frac{1}{\sigma _{{{T}'}}^{2}}\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}(\ln ({{T}_{i}})-{\mu }')+\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{\varphi (z_{Ri}^{\prime \prime })-\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))} \\ & & \\ & \frac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}= \underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\left( \frac{{{\left( \ln ({{T}_{i}})-{\mu }' \right)}^{2}}}{\sigma _{{{T}'}}^{3}}-\frac{1}{{{\sigma }_{{{T}'}}}} \right)+\frac{1}{{{\sigma }_{{{T}'}}}}\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\frac{\left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)\phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}{1-\Phi \left( \tfrac{\ln \left( T_{i}^{\prime } \right)-{\mu }'}{{{\sigma }_{{{T}'}}}} \right)}\overset{FI}{\mathop{\underset{i=1}{\mathop{-\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{z_{Ri}^{\prime \prime }\varphi (z_{Ri}^{\prime \prime })-z_{Li}^{\prime \prime }\varphi (z_{Li}^{\prime \prime })}{\sigma _{T}^{\prime }(\Phi (z_{Ri}^{\prime \prime })-\Phi (z_{Li}^{\prime \prime }))} \end{align} }[/math]


and:

[math]\displaystyle{ \phi \left( x \right)=\frac{1}{\sqrt{2\pi }}\cdot {{e}^{-\tfrac{1}{2}{{\left( x \right)}^{2}}}} }[/math]


[math]\displaystyle{ \Phi (x)=\frac{1}{\sqrt{2\pi }}\int_{-\infty }^{x}{{e}^{-\tfrac{{{t}^{2}}}{2}}}dx }[/math]