Template:Gumbel confidence bounds

Confidence Bounds

This section presents the method used by the application to estimate the different types of confidence bounds for data that follow the Gumbel distribution. The complete derivations were presented in detail (for a general function) in chapter Confidence Bounds. Only Fisher Matrix confidence bounds are available for the Gumbel distribution.

Bounds on the Parameters

The lower and upper bounds on the mean, [math]\displaystyle{ \widehat{\mu } }[/math] , are estimated from:

[math]\displaystyle{ \begin{align} & {{\mu }_{U}}= & \widehat{\mu }+{{K}_{\alpha }}\sqrt{Var(\widehat{\mu })}\text{ (upper bound)} \\ & {{\mu }_{L}}= & \widehat{\mu }-{{K}_{\alpha }}\sqrt{Var(\widehat{\mu })}\text{ (lower bound)} \end{align} }[/math]

Since the standard deviation, [math]\displaystyle{ \widehat{\sigma } }[/math] , must be positive, then [math]\displaystyle{ \ln (\widehat{\sigma }) }[/math] is treated as normally distributed, and the bounds are estimated from:

[math]\displaystyle{ \begin{align} & {{\sigma }_{U}}= & \widehat{\sigma }\cdot {{e}^{\tfrac{{{K}_{\alpha }}\sqrt{Var(\widehat{\sigma })}}{{{\widehat{\sigma }}_{T}}}}}\text{ (upper bound)} \\ & {{\sigma }_{L}}= & \frac{\widehat{\sigma }}{{{e}^{\tfrac{{{K}_{\alpha }}\sqrt{Var(\widehat{\sigma })}}{\widehat{\sigma }}}}}\text{ (lower bound)} \end{align} }[/math]

where [math]\displaystyle{ {{K}_{\alpha }} }[/math] is defined by:

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

If [math]\displaystyle{ \delta }[/math] is the confidence level, then [math]\displaystyle{ \alpha =\tfrac{1-\delta }{2} }[/math] for the two-sided bounds, and [math]\displaystyle{ \alpha =1-\delta }[/math] for the one-sided bounds.

The variances and covariances of [math]\displaystyle{ \widehat{\mu } }[/math] and [math]\displaystyle{ \widehat{\sigma } }[/math] are estimated from the Fisher matrix as follows:

[math]\displaystyle{ \left( \begin{matrix} \widehat{Var}\left( \widehat{\mu } \right) & \widehat{Cov}\left( \widehat{\mu },\widehat{\sigma } \right) \\ \widehat{Cov}\left( \widehat{\mu },\widehat{\sigma } \right) & \widehat{Var}\left( \widehat{\sigma } \right) \\ \end{matrix} \right)=\left( \begin{matrix} -\tfrac{{{\partial }^{2}}\Lambda }{\partial {{\mu }^{2}}} & -\tfrac{{{\partial }^{2}}\Lambda }{\partial \mu \partial \sigma } \\ {} & {} \\ -\tfrac{{{\partial }^{2}}\Lambda }{\partial \mu \partial \sigma } & -\tfrac{{{\partial }^{2}}\Lambda }{\partial {{\sigma }^{2}}} \\ \end{matrix} \right)_{\mu =\widehat{\mu },\sigma =\widehat{\sigma }}^{-1} }[/math]

[math]\displaystyle{ \Lambda }[/math] is the log-likelihood function of the Gumbel distribution, described in chapter Parameter Estimation and Appendix: Distribution Log-Likelihood Equations.

Bounds on Reliability

The reliability of the Gumbel distribution is given by:

[math]\displaystyle{ \widehat{R}(t;\hat{\mu },\hat{\sigma })={{e}^{-{{e}^{{\hat{z}}}}}} }[/math]

where:

[math]\displaystyle{ \widehat{z}=\frac{t-\widehat{\mu }}{\widehat{\sigma }} }[/math]

The bounds on [math]\displaystyle{ z }[/math] are estimated from:

[math]\displaystyle{ \begin{align} & {{z}_{U}}= & \widehat{z}+{{K}_{\alpha }}\sqrt{Var(\widehat{z})} \\ & {{z}_{L}}= & \widehat{z}-{{K}_{\alpha }}\sqrt{Var(\widehat{z})} \end{align} }[/math]

where:

[math]\displaystyle{ Var(\widehat{z})={{\left( \frac{\partial z}{\partial \mu } \right)}^{2}}Var(\widehat{\mu })+{{\left( \frac{\partial z}{\partial \sigma } \right)}^{2}}Var(\widehat{\sigma })+2\left( \frac{\partial z}{\partial \mu } \right)\left( \frac{\partial z}{\partial \sigma } \right)Cov\left( \widehat{\mu },\widehat{\sigma } \right) }[/math]

or:

[math]\displaystyle{ Var(\widehat{z})=\frac{1}{{{\widehat{\sigma }}^{2}}}\left[ Var(\widehat{\mu })+{{\widehat{z}}^{2}}Var(\widehat{\sigma })+2\cdot \widehat{z}\cdot Cov\left( \widehat{\mu },\widehat{\sigma } \right) \right] }[/math]

The upper and lower bounds on reliability are:

[math]\displaystyle{ \begin{align} & {{R}_{U}}= & {{e}^{-{{e}^{{{z}_{L}}}}}}\text{ (upper bound)} \\ & {{R}_{L}}= & {{e}^{-{{e}^{{{z}_{U}}}}}}\text{ (lower bound)} \end{align} }[/math]

Bounds on Time

The bounds around time for a given Gumbel percentile (unreliability) are estimated by first solving the reliability equation with respect to time, as follows:

[math]\displaystyle{ \widehat{T}(\widehat{\mu },\widehat{\sigma })=\widehat{\mu }+\widehat{\sigma }z }[/math]

where:

[math]\displaystyle{ z=\ln (-\ln (R)) }[/math]

[math]\displaystyle{ Var(\widehat{T})={{(\frac{\partial T}{\partial \mu })}^{2}}Var(\widehat{\mu })+2(\frac{\partial T}{\partial \mu })(\frac{\partial T}{\partial \sigma })Cov(\widehat{\mu },\widehat{\sigma })+{{(\frac{\partial T}{\partial \sigma })}^{2}}Var(\widehat{\sigma }) }[/math]

or:

[math]\displaystyle{ Var(\widehat{T})=Var(\widehat{\mu })+2\widehat{z}Cov(\widehat{\mu },\widehat{\sigma })+{{\widehat{z}}^{2}}Var(\widehat{\sigma }) }[/math]

The upper and lower bounds are then found by:

[math]\displaystyle{ \begin{align} & {{T}_{U}}= & \hat{T}+{{K}_{\alpha }}\sqrt{Var(\hat{T})}\text{ (Upper bound)} \\ & {{T}_{L}}= & \hat{T}-{{K}_{\alpha }}\sqrt{Var(\hat{T})}\text{ (Lower bound)} \end{align} }[/math]