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== Parameter Estimation  ==
The parameter of the exponential distribution can be estimated graphically on probability plotting paper or analytically using either least squares or maximum likelihood. (Parameter estimation methods are presented in detail in [[Appendix B: Parameter Estimation|Appendix B]].)


==== Probability Plotting  ====
One method of calculating the parameter of the exponential distribution is by using probability plotting. To better illustrate this procedure, consider the following example.<br>
{{:Probability_Plotting_Example}}
==== MLE Parameter Estimation  ====
The parameter of the exponential distribution can also be estimated using the maximum likelihood estimation (MLE) method. This log-likelihood function is: <br>
::<math>\ln (L)=\Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \lambda {{e}^{-\lambda {{T}_{i}}}} \right]-\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }\lambda T_{i}^{\prime }+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\ln [R_{Li}^{\prime \prime }-R_{Ri}^{\prime \prime }]</math>
:where:
<br>
::<math>R_{Li}^{\prime \prime }={{e}^{-\lambda T_{Li}^{\prime \prime }}}</math>
<br>
::<math>R_{Ri}^{\prime \prime }={{e}^{-\lambda T_{Ri}^{\prime \prime }}}</math> <br>
<br>
:and:
<br>
:*<span class="texhtml">''F''<sub>''e''</sub></span> is the number of groups of times-to-failure data points.
:*<span class="texhtml">''N''<sub>''i''</sub></span> is the number of times-to-failure in the <span class="texhtml">''i''<sup>''th''</sup></span> time-to-failure data group.
:*<span class="texhtml">λ</span> is the failure rate parameter (unknown a priori, the only parameter to be found).
:*<span class="texhtml">''T''<sub>''i''</sub></span> is the time of the <span class="texhtml">''i''<sup>''th''</sup></span> group of time-to-failure data.
:*<span class="texhtml">''S''</span> is the number of groups of suspension data points.
:*<math>N_{i}^{\prime }</math> is the number of suspensions in the <span class="texhtml">''i''<sup>''th''</sup></span> group of suspension data points.
:*<math>T_{i}^{\prime }</math> is the time of the <span class="texhtml">''i''<sup>''t'''h '''''</sup></span> suspension data group.
:*<span class="texhtml">''FI''</span> is the number of interval data groups.
:*<math>N_{i}^{\prime \prime }</math> is the number of intervals in the <span class="texhtml">''i''<sup>''th''</sup></span> group of data intervals.
:*<math>T_{Li}^{\prime \prime }</math> is the beginning of the <span class="texhtml">''i''<sup>''th''</sup></span> interval.
:*<math>T_{Ri}^{\prime \prime }</math> is the ending of the <span class="texhtml">''i''<sup>''th''</sup></span> interval.
<br> <br> The solution will be found by solving for a parameter <math>\widehat{\lambda }</math> so that <math>\tfrac{\partial \Lambda }{\partial \lambda }=0</math> where: <br>
::<math>\frac{\partial \Lambda }{\partial \lambda }=\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\left( \frac{1}{\lambda }-{{T}_{i}} \right)-\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }T_{i}^{\prime }-\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{T_{Li}^{\prime \prime }R_{Li}^{\prime \prime }-T_{Ri}^{\prime \prime }R_{Ri}^{\prime \prime }}{R_{Li}^{\prime \prime }-R_{Ri}^{\prime \prime }}</math>
<br>
<br>
'''Example 2'''
<br>
Using the same data as in the probability plotting example (Example 1), and assuming an exponential distribution, estimate the parameter using the MLE method. <br>
<br>
'''Solution'''
<br>
In this example we have non-grouped data without suspensions. Therefore: <br>
::<math>\frac{\partial \Lambda }{\partial \lambda }=\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,\left[ \frac{1}{\lambda }-\left( {{T}_{i}} \right) \right]=\underset{i=1}{\overset{14}{\mathop \sum }}\,\left[ \frac{1}{\lambda }-\left( {{T}_{i}} \right) \right]=0</math>
<br> Substituting the values for <span class="texhtml">''T''</span> we get: <br>
::<math>\begin{align}
  \frac{6}{\lambda }&= 4409,\text{ or:} \\
  \lambda& = 0.00136\text{ failure/hr} 
\end{align}</math>
<br>


= The Weibull Distribution  =
= The Weibull Distribution  =
Line 148: Line 83:


<br>  
<br>  
==Statistical Properties Summary==
==Weibull Distribution Functions==
{{:Weibull Distribution Functions}}
==== The Mean or MTTF  ====
==== The Mean or MTTF  ====



Revision as of 02:28, 7 August 2012

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Chapter 3: Distributions Used in Accelerated Testing


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Chapter 3  
Distributions Used in Accelerated Testing  

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In this chapter, we will briefly present three lifetime distributions commonly used in accelerated life test analysis: the 1-parameter exponential, the 2-parameter Weibull and the lognormal distributions. Readers who are interested in a more rigorous overview (or in different forms of these and other life distributions) can refer to ReliaSoft's Life Data Analysis Reference. For information about the parameter estimation methods, see Appendix B.

The Exponential Distribution

The exponential distribution is a very commonly used distribution in reliability engineering. Due to its simplicity, it has been widely employed, even in cases where it doesn't apply. The exponential distribution is used to describe units that have a constant failure rate. The 1-parameter exponential pdf is given by:


[math]\displaystyle{ \begin{align} & f(T)= \lambda {{e}^{-\lambda T}}=\frac{1}{m}{{e}^{-\tfrac{1}{m}T}} \\ & T\ge 0,\lambda \gt 0,m\gt 0 \end{align} }[/math]


where:

  • λ = constant failure rate, in failures per unit of measurement (e.g. failures per hour, per cycle, etc.).
  • [math]\displaystyle{ \lambda =\tfrac{1}{m} }[/math].
  • m = mean time between failures, or to a failure.
  • T = operating time, life, or age, in hours, cycles, miles, actuations, etc. This distribution requires the estimation of only one parameter, λ , for its application.


Exponential Distribution Functions

The Mean or MTTF

The mean, [math]\displaystyle{ \overline{T},\,\! }[/math] or mean time to failure (MTTF) is given by:

[math]\displaystyle{ \begin{align} \bar{T}= & \int_{\gamma }^{\infty }t\cdot f(t)dt \\ = & \int_{\gamma }^{\infty }t\cdot \lambda \cdot {{e}^{-\lambda t}}dt \\ = & \gamma +\frac{1}{\lambda }=m \end{align}\,\! }[/math]

Note that when [math]\displaystyle{ \gamma =0\,\! }[/math], the MTTF is the inverse of the exponential distribution's constant failure rate. This is only true for the exponential distribution. Most other distributions do not have a constant failure rate. Consequently, the inverse relationship between failure rate and MTTF does not hold for these other distributions.

The Median

The median, [math]\displaystyle{ \breve{T}, \,\! }[/math] is:

[math]\displaystyle{ \breve{T}=\gamma +\frac{1}{\lambda}\cdot 0.693 \,\! }[/math]

The Mode

The mode, [math]\displaystyle{ \tilde{T},\,\! }[/math] is:

[math]\displaystyle{ \tilde{T}=\gamma \,\! }[/math]

The Standard Deviation

The standard deviation, [math]\displaystyle{ {\sigma }_{T}\,\! }[/math], is:

[math]\displaystyle{ {\sigma}_{T}=\frac{1}{\lambda }=m\,\! }[/math]

The Exponential Reliability Function

The equation for the 2-parameter exponential cumulative density function, or cdf, is given by:

[math]\displaystyle{ \begin{align} F(t)=Q(t)=1-{{e}^{-\lambda (t-\gamma )}} \end{align}\,\! }[/math]

Recalling that the reliability function of a distribution is simply one minus the cdf, the reliability function of the 2-parameter exponential distribution is given by:

[math]\displaystyle{ R(t)=1-Q(t)=1-\int_{0}^{t-\gamma }f(x)dx\,\! }[/math]


[math]\displaystyle{ R(t)=1-\int_{0}^{t-\gamma }\lambda {{e}^{-\lambda x}}dx={{e}^{-\lambda (t-\gamma )}}\,\! }[/math]

The 1-parameter exponential reliability function is given by:

[math]\displaystyle{ R(t)={{e}^{-\lambda t}}={{e}^{-\tfrac{t}{m}}}\,\! }[/math]

The Exponential Conditional Reliability Function

The exponential conditional reliability equation gives the reliability for a mission of [math]\displaystyle{ t\,\! }[/math] duration, having already successfully accumulated [math]\displaystyle{ T\,\! }[/math] hours of operation up to the start of this new mission. The exponential conditional reliability function is:

[math]\displaystyle{ R(t|T)=\frac{R(T+t)}{R(T)}=\frac{{{e}^{-\lambda (T+t-\gamma )}}}{{{e}^{-\lambda (T-\gamma )}}}={{e}^{-\lambda t}}\,\! }[/math]

which says that the reliability for a mission of [math]\displaystyle{ t\,\! }[/math] duration undertaken after the component or equipment has already accumulated [math]\displaystyle{ T\,\! }[/math] hours of operation from age zero is only a function of the mission duration, and not a function of the age at the beginning of the mission. This is referred to as the memoryless property.

The Exponential Reliable Life Function

The reliable life, or the mission duration for a desired reliability goal, [math]\displaystyle{ {{t}_{R}}\,\! }[/math], for the 1-parameter exponential distribution is:

[math]\displaystyle{ R({{t}_{R}})={{e}^{-\lambda ({{t}_{R}}-\gamma )}}\,\! }[/math]
[math]\displaystyle{ \begin{align} \ln[R({{t}_{R}})]=-\lambda({{t}_{R}}-\gamma ) \end{align}\,\! }[/math]

or:

[math]\displaystyle{ {{t}_{R}}=\gamma -\frac{\ln [R({{t}_{R}})]}{\lambda }\,\! }[/math]

The Exponential Failure Rate Function

The exponential failure rate function is:

[math]\displaystyle{ \lambda (t)=\frac{f(t)}{R(t)}=\frac{\lambda {{e}^{-\lambda (t-\gamma )}}}{{{e}^{-\lambda (t-\gamma )}}}=\lambda =\text{constant}\,\! }[/math]

Once again, note that the constant failure rate is a characteristic of the exponential distribution, and special cases of other distributions only. Most other distributions have failure rates that are functions of time.


Characteristics

The characteristics of the 1-parameter exponential distribution can be exemplified by examining its parameter, lambda (λ) and the effect lambda has on the pdf, reliability and failure rate functions.

Effects of λ on the pdf



  • The scale parameter is [math]\displaystyle{ \tfrac{1}{\lambda } }[/math] .
  • As λ is decreased in value, the distribution is stretched out to the right, and as λ is increased, the distribution is pushed toward the origin.
  • This distribution has no shape parameter, as it has only one shape (i.e., the exponential). Its only parameter is the failure rate, λ .
  • The distribution starts at T = 0 at the level of f(T = 0) = λ. It decreases thereafter exponentially and monotonically as T increases, and it is convex.
  • As [math]\displaystyle{ T\to \infty }[/math] , [math]\displaystyle{ f(T)\to 0 }[/math].
  • This pdf can be thought of as a special case of the Weibull pdf with β = 1.


ALTA4reliabilityvstimeplot.png


Effects of λ on the Reliability Function

  • The 1-parameter exponential reliability function starts at the value of 1 at T = 0 . It decreases thereafter monotonically and is convex.
  • As [math]\displaystyle{ T\to \infty }[/math] , [math]\displaystyle{ R(T\to \infty )\to 0 }[/math].

Effects of λ on the Failure Rate Function

The failure rate function for the exponential distribution is constant and equal to the parameter λ .


ALTA4FRvsTP.png




The Weibull Distribution

The Weibull distribution is one of the most commonly used distributions in reliability engineering because of the many shapes it attains for various values of β (slope). It can therefore model a great variety of data and life characteristics [18].

The 2-parameter Weibull pdf is given by:


[math]\displaystyle{ f(T)=\frac{\beta }{\eta }{{\left( \frac{T}{\eta } \right)}^{\beta -1}}{{e}^{-{{\left( \tfrac{T}{\eta } \right)}^{\beta }}}} }[/math]


where:


[math]\displaystyle{ f(T)\ge 0,\text{ }T\ge 0,\text{ }\beta \gt 0,\text{ }\eta \gt 0\text{ } }[/math]


and:


  • η = scale parameter.
  • β = shape parameter (or slope).


Weibull Distribution Functions

The Mean or MTTF

The mean, [math]\displaystyle{ \overline{T} \,\! }[/math], (also called MTTF) of the Weibull pdf is given by:

[math]\displaystyle{ \overline{T}=\gamma +\eta \cdot \Gamma \left( {\frac{1}{\beta }}+1\right) \,\! }[/math]

where

[math]\displaystyle{ \Gamma \left( {\frac{1}{\beta }}+1\right) \,\! }[/math]

is the gamma function evaluated at the value of:

[math]\displaystyle{ \left( { \frac{1}{\beta }}+1\right) \,\! }[/math]

The gamma function is defined as:

[math]\displaystyle{ \Gamma (n)=\int_{0}^{\infty }e^{-x}x^{n-1}dx \,\! }[/math]

For the 2-parameter case, this can be reduced to:

[math]\displaystyle{ \overline{T}=\eta \cdot \Gamma \left( {\frac{1}{\beta }}+1\right) \,\! }[/math]

Note that some practitioners erroneously assume that [math]\displaystyle{ \eta \,\! }[/math] is equal to the MTTF, [math]\displaystyle{ \overline{T}\,\! }[/math]. This is only true for the case of: [math]\displaystyle{ \beta=1 \,\! }[/math] or:

[math]\displaystyle{ \begin{align} \overline{T} &= \eta \cdot \Gamma \left( {\frac{1}{1}}+1\right) \\ &= \eta \cdot \Gamma \left( {\frac{1}{1}}+1\right) \\ &= \eta \cdot \Gamma \left( {2}\right) \\ &= \eta \cdot 1\\ &= \eta \end{align} \,\! }[/math]

The Median

The median, [math]\displaystyle{ \breve{T}\,\! }[/math], of the Weibull distribution is given by:

[math]\displaystyle{ \breve{T}=\gamma +\eta \left( \ln 2\right) ^{\frac{1}{\beta }} \,\! }[/math]

The Mode

The mode, [math]\displaystyle{ \tilde{T} \,\! }[/math], is given by:

[math]\displaystyle{ \tilde{T}=\gamma +\eta \left( 1-\frac{1}{\beta }\right) ^{\frac{1}{\beta }} \,\! }[/math]

The Standard Deviation

The standard deviation, [math]\displaystyle{ \sigma _{T}\,\! }[/math], is given by:

[math]\displaystyle{ \sigma _{T}=\eta \cdot \sqrt{\Gamma \left( {\frac{2}{\beta }}+1\right) -\Gamma \left( {\frac{1}{ \beta }}+1\right) ^{2}} \,\! }[/math]

The Weibull Reliability Function

The equation for the 3-parameter Weibull cumulative density function, cdf, is given by:

[math]\displaystyle{ F(t)=1-e^{-\left( \frac{t-\gamma }{\eta }\right) ^{\beta }} \,\! }[/math]

This is also referred to as unreliability and designated as [math]\displaystyle{ Q(t) \,\! }[/math] by some authors.

Recalling that the reliability function of a distribution is simply one minus the cdf, the reliability function for the 3-parameter Weibull distribution is then given by:

[math]\displaystyle{ R(t)=e^{-\left( { \frac{t-\gamma }{\eta }}\right) ^{\beta }} \,\! }[/math]

The Weibull Conditional Reliability Function

The 3-parameter Weibull conditional reliability function is given by:

[math]\displaystyle{ R(t|T)={ \frac{R(T+t)}{R(T)}}={\frac{e^{-\left( {\frac{T+t-\gamma }{\eta }}\right) ^{\beta }}}{e^{-\left( {\frac{T-\gamma }{\eta }}\right) ^{\beta }}}} \,\! }[/math]

or:

[math]\displaystyle{ R(t|T)=e^{-\left[ \left( {\frac{T+t-\gamma }{\eta }}\right) ^{\beta }-\left( {\frac{T-\gamma }{\eta }}\right) ^{\beta }\right] } \,\! }[/math]

These give the reliability for a new mission of [math]\displaystyle{ t \,\! }[/math] duration, having already accumulated [math]\displaystyle{ T \,\! }[/math] time of operation up to the start of this new mission, and the units are checked out to assure that they will start the next mission successfully. It is called conditional because you can calculate the reliability of a new mission based on the fact that the unit or units already accumulated hours of operation successfully.

The Weibull Reliable Life

The reliable life, [math]\displaystyle{ T_{R}\,\! }[/math], of a unit for a specified reliability, [math]\displaystyle{ R\,\! }[/math], starting the mission at age zero, is given by:

[math]\displaystyle{ T_{R}=\gamma +\eta \cdot \left\{ -\ln ( R ) \right\} ^{ \frac{1}{\beta }} \,\! }[/math]

This is the life for which the unit/item will be functioning successfully with a reliability of [math]\displaystyle{ R\,\! }[/math]. If [math]\displaystyle{ R = 0.50\,\! }[/math], then [math]\displaystyle{ T_{R}=\breve{T} \,\! }[/math], the median life, or the life by which half of the units will survive.

The Weibull Failure Rate Function

The Weibull failure rate function, [math]\displaystyle{ \lambda(t) \,\! }[/math], is given by:

[math]\displaystyle{ \lambda \left( t\right) = \frac{f\left( t\right) }{R\left( t\right) }=\frac{\beta }{\eta }\left( \frac{ t-\gamma }{\eta }\right) ^{\beta -1} \,\! }[/math]

The Mean or MTTF

The mean, [math]\displaystyle{ \overline{T} }[/math], of the 2-parameter Weibull pdf is given by:


[math]\displaystyle{ \overline{T}=\eta \cdot \Gamma \left( \frac{1}{\beta }+1 \right) }[/math]


where [math]\displaystyle{ \Gamma \left( \tfrac{1}{\beta }+1 \right) }[/math] is the gamma function evaluated at the value of [math]\displaystyle{ \left( \tfrac{1}{\beta }+1 \right) }[/math] .


The Median

The median, [math]\displaystyle{ \breve{T} }[/math], of the 2-parameter Weibull is given by:


[math]\displaystyle{ \breve{T}=\eta {{\left( \ln 2 \right)}^{\tfrac{1}{\beta }}} }[/math]



The Mode

The mode, [math]\displaystyle{ \tilde{T} }[/math], of the 2-parameter Weibull is given by:


[math]\displaystyle{ \tilde{T}=\eta {{\left( 1-\frac{1}{\beta } \right)}^{\tfrac{1}{\beta }}} }[/math]



The Standard Deviation

The standard deviation, σT, of the 2-parameter Weibull is given by:


[math]\displaystyle{ {{\sigma }_{T}}=\eta \cdot \sqrt{\Gamma \left( \frac{2}{\beta }+1 \right)-\Gamma {{\left( \frac{1}{\beta }+1 \right)}^{2}}} }[/math]



The cdf and the Reliability Function

The cdf of the 2-parameter Weibull distribution is given by:

[math]\displaystyle{ F(T)=1-{{e}^{-{{\left( \tfrac{T}{\eta } \right)}^{\beta }}}} }[/math]


The Weibull reliability function is given by:

[math]\displaystyle{ \begin{align} R(T)&= & 1-F(t) = \ {{e}^{-{{\left( \tfrac{T}{\eta } \right)}^{\beta }}}} \end{align} }[/math]



The Conditional Reliability Function

The Weibull conditional reliability function is given by:


[math]\displaystyle{ R(T,t)=\frac{R(T+t)}{R(T)}=\frac{{{e}^{-{{\left( \tfrac{T+t}{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T}{\eta } \right)}^{\beta }}}}} }[/math]


or:

[math]\displaystyle{ R(T,t)={{e}^{-\left[ {{\left( \tfrac{T+t}{\eta } \right)}^{\beta }}-{{\left( \tfrac{T}{\eta } \right)}^{\beta }} \right]}} }[/math]


The above equation gives the reliability for a new mission of [math]\displaystyle{ t }[/math] duration, having already accumulated [math]\displaystyle{ T }[/math] hours of operation up to the start of this new mission, and the units are checked out to assure that they will start the next mission successfully. (It is called conditional because you can calculate the reliability of a new mission based on the fact that the unit(s) already accumulated [math]\displaystyle{ T }[/math] hours of operation successfully.)



The Reliable Life

For the 2-parameter Weibull distribution, the reliable life, [math]\displaystyle{ {{T}_{R}} }[/math] , of a unit for a specified reliability, starting the mission at age zero, is given by:


[math]\displaystyle{ {{T}_{R}}=\eta \cdot {{\left\{ -\ln \left[ R\left( {{T}_{R}} \right) \right] \right\}}^{\tfrac{1}{\beta }}} }[/math]


This is the life for which the unit will function successfully with a reliability of [math]\displaystyle{ R({{T}_{R}}) }[/math] . If [math]\displaystyle{ R({{T}_{R}})=0.50 }[/math] then [math]\displaystyle{ {{T}_{R}}=\breve{T} }[/math], the median life, or the life by which half of the units will survive.



The Failure Rate Function

The 2-parameter Weibull failure rate function, λ(T), is given by:


[math]\displaystyle{ \lambda \left( T \right)=\frac{f\left( T \right)}{R\left( T \right)}=\frac{\beta }{\eta }{{\left( \frac{T}{\eta } \right)}^{\beta -1}} }[/math]


Characteristics

The characteristics of the 2-parameter Weibull distribution can be exemplified by examining the two parameters, beta, [math]\displaystyle{ \beta , }[/math] and eta, [math]\displaystyle{ \eta , }[/math] and the effect they have on the [math]\displaystyle{ pdf, }[/math] reliability and failure rate functions.

Looking at β

Beta (β) is called the shape parameter or slope of the Weibull distribution. Changing the value of β forces a change in the shape of the pdf as shown in the next figure. In addition, when the cdf is plotted on Weibull probability paper, a change in beta is a change in the slope of the distribution on Weibull probability paper.


Effects of β on the pdf


ALTA4.3.png


  • For 0 < β < 1 , the failure rate decreases with time and:
  • As [math]\displaystyle{ T\to 0, }[/math] [math]\displaystyle{ f(T)\to \infty }[/math].
  • As [math]\displaystyle{ T\to \infty }[/math] , [math]\displaystyle{ f(T)\to 0 }[/math].
  • f(T) decreases monotonically and is convex as T increases.
  • The mode is non-existent.
  • For β = 1, it becomes the exponential distribution, as a special case,


or:


[math]\displaystyle{ f(T)=\frac{1}{\eta }{{e}^{-\tfrac{T}{\eta }}};\text{ }\eta \gt 0,T\ge 0 }[/math]


where [math]\displaystyle{ \tfrac{1}{\eta }=\lambda = }[/math] chance, useful life, or failure rate.


  • For β > 1f(T), the Weibull distribution assumes wear-out type shapes (i.e., the failure rate increases with time) and:
  • f(T) = 0 at T = 0 .
  • f(T) increases as [math]\displaystyle{ T\to \tilde{T} }[/math] (mode) and decreases thereafter.
  • For β = 2 it becomes the Rayleigh distribution as a special case. For β < 2.6, the Weibull pdf is positively skewed (has a right tail). For 2.6 < β < 3.7, its coefficient of skewness approaches zero (no tail). Consequently, it may approximate the normal pdf, and for β > 3.7 it is negatively skewed (left tail).
  • The parameter β is a pure number (i.e., it is dimensionless).


Effects of β on the Reliability Function and the cdf


ALTA4.4.png


ALTA4.5.png


  • R(T) decreases sharply and monotonically for 0 < β < 1. It is convex and decreases less sharply for the same β.
  • For β = 1 and the same η, R(T) decreases monotonically but less sharply than for 0 < β < 1, and it is convex.
  • For β > 1, R(T) decreases as T increases but less sharply than before. As wear-out sets in, it decreases sharply and goes through an inflection point.


Effects of β on the Failure Rate Function


ALTA4.6.png


  • The Weibull failure rate for 0 < β < 1 is unbounded at T = 0. The failure rate, λ(T), decreases thereafter monotonically and is convex, approaching the value of zero as [math]\displaystyle{ T\to \infty }[/math] or [math]\displaystyle{ \lambda (\infty )=0 }[/math]. This behavior makes it suitable for representing the failure rate of units exhibiting early-type failures, for which the failure rate decreases with age. When such behavior is encountered, one or more of the following conclusions can be drawn:
  • Burn-in testing and/or environmental stress screening are not well implemented.
  • There are problems in the production line.
  • There is inadequate quality control.
  • There are packaging and transit problems.
  • For β = 1, λ(T) yields a constant value of [math]\displaystyle{ \tfrac{1}{\eta } }[/math] , or:
[math]\displaystyle{ \lambda (T)=\lambda =\frac{1}{\eta } }[/math]

This makes it suitable for representing the failure rate of chance-type failures and the useful life period failure rate of units.

  • For β > 1, λ(T) increases as T increases and becomes suitable for representing the failure rate of units exhibiting wear-out type failures. For 1 < β < 2, the λ(T) curve is concave. Consequently, the failure rate increases at a decreasing rate as T increases.
  • For β = 2, or for the Rayleigh distribution case, the failure rate function is given by:
[math]\displaystyle{ \lambda (T)=\frac{2}{\eta }\left( \frac{T}{\eta } \right) }[/math]


Hence there emerges a straight line relationship between λ(T) and T, starting at a value of λ(T) = 0 at T = 0 and increasing thereafter with a slope of [math]\displaystyle{ \tfrac{2}{{{\eta }^{2}}} }[/math] . Consequently, the failure rate increases at a constant rate as T increases. Furthermore, if η = 1 the slope becomes equal to 2, and λ(T) becomes a straight line which passes through the origin with a slope of 2.

  • When β > 2 the λ(T) curve is convex, with its slope increasing as T increases. Consequently, the failure rate increases at an increasing rate as T increases, indicating wear-out life.


Looking at η

Eta (η) is called the scale parameter of the Weibull distribution. The parameter η has the same units as T, such as hours, miles, cycles, actuations, etc.


ALTA4.7.png


  • A change in the scale parameter η has the same effect on the distribution as a change of the abscissa scale.
  • If η is increased while β is kept the same, the distribution gets stretched out to the right and its height decreases, while maintaining its shape and location.
  • If η is decreased while β is kept the same, the distribution gets pushed in toward the left (i.e. toward its beginning, or 0) and its height increases.


Parameter Estimation

The estimates of the parameters of the Weibull distribution can be found graphically on probability plotting paper, or analytically using either least squares or maximum likelihood. (Parameter estimation methods are presented in detail in Appendix B.)

Probability Plotting

One method of calculating the parameters of the Weibull distribution is by using probability plotting. To better illustrate this procedure, consider the following example [18].

Example 3

Let's assume six identical units are being reliability tested at the same application and operation stress levels. All of these units fail during the test after operating the following times (in hours), Ti : 93, 34, 16, 120, 53 and 75. The steps for using probability plotting to determine the parameters of the Weibull pdf are as follows:

  • Rank the failure times in ascending order as shown next.
Failureordernumber.png
  • Obtain their median rank plotting positions. The failure, with their corresponding median ranks, are shown next.
Median rank.png
  • On a Weibull probability paper, plot the times and their corresponding ranks. The next figure displays an example of a Weibull probability paper.


ALTA4.8.png


  • Draw the best possible straight line through the plotted points.
  • Obtain the slope of this line by drawing a line, parallel to the one just obtained, through the slope indicator. This value is the estimate of the shape parameter [math]\displaystyle{ \widehat{\beta } }[/math]. In this case [math]\displaystyle{ \widehat{\beta }=1.4 }[/math].
  • At the Q(t) = 63.2% ordinate point, draw a straight horizontal line until this line intersects the fitted straight line. Draw a vertical line through this intersection until it crosses the abscissa. The value at the intersection of the abscissa is the estimate of [math]\displaystyle{ \widehat{\eta } }[/math] . For this case [math]\displaystyle{ \widehat{\eta }=76 }[/math] hours. (This is always at 63.2% since [math]\displaystyle{ Q(T)=1-{{e}^{-{{(\tfrac{\eta }{\eta })}^{\beta }}}}=1-{{e}^{-1}}=0.632=63.2% }[/math].)


ALTA4.9.png


Now any reliability value for any mission time t can be obtained. For example, the reliability for a mission of 15 hours (or any other time) can now be obtained either from the plot or analytically.

To obtain the value from the plot, draw a vertical line from the abscissa, at t = 15 hours, to the fitted line. Draw a horizontal line from this intersection to the ordinate and read Q(t), in this case Q(t = 15) = 9.8%. Thus, R(t = 15) = 1 − Q(t) = 90.2%. This can also be obtained analytically from the Weibull reliability function since both of the parameters are known.

[math]\displaystyle{ R(t=15)={{e}^{-{{\left( \tfrac{15}{\eta } \right)}^{\beta }}}}={{e}^{-{{\left( \tfrac{15}{76} \right)}^{1.4}}}}=90.2% }[/math]


MLE Parameter Estimation

The parameters of the 2-parameter Weibull distribution can also be estimated using maximum likelihood estimation (MLE). This log-likelihood function is composed of :


[math]\displaystyle{ \begin{align} & \ln (L)= & \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{\beta }{\eta }{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta -1}}{{e}^{-{{\left( \tfrac{{{T}_{i}}}{\eta } \right)}^{\beta }}}} \right]-\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }}\overset{FI}{\mathop{+\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\ln [R_{Li}^{\prime \prime }-R_{Ri}^{\prime \prime }] \end{align} }[/math]


where:


[math]\displaystyle{ R_{Li}^{\prime \prime }={{e}^{-{{(\tfrac{T_{Li}^{\prime \prime }}{\eta })}^{\beta }}}} }[/math]


[math]\displaystyle{ R_{Ri}^{\prime \prime }={{e}^{-{{(\tfrac{T_{Ri}^{\prime \prime }}{\eta })}^{\beta }}}} }[/math]


  • [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 times-to-failure in the [math]\displaystyle{ {{i}^{th}} }[/math] time-to-failure data group.
  • [math]\displaystyle{ \beta }[/math] is the Weibull shape parameter (unknown a priori, the first of two parameters to be found).
  • [math]\displaystyle{ \eta }[/math] is the Weibull scale parameter (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 is found by solving for a pair of parameters [math]\displaystyle{ \left( \widehat{\beta },\widehat{\eta } \right) }[/math] so that [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \beta }=0 }[/math] and [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \eta }=0 }[/math]. (Other methods can also be used, such as direct maximization of the likelihood function, without having to compute the derivatives.)

[math]\displaystyle{ \begin{align} &\frac{\partial \Lambda }{\partial \beta }= \frac{1}{\beta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}\ln \left( \frac{{{T}_{i}}}{\eta } \right) -\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }}\ln \left( \frac{{{T}_{i}}}{\eta } \right)-\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }}\ln \left( \frac{T_{i}^{\prime }}{\eta } \right)+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{-{{(\tfrac{T_{Li}^{\prime \prime }}{\eta })}^{\beta }}\ln (\tfrac{T_{Li}^{\prime \prime }}{\eta })R_{Li}^{\prime \prime }+{{(\tfrac{T_{Ri}^{\prime \prime }}{\eta })}^{\beta }}\ln (\tfrac{T_{Ri}^{\prime \prime }}{\eta })R_{Ri}^{\prime \prime }}{R_{Li}^{\prime \prime }-R_{Ri}^{\prime \prime }} \\ &\frac{\partial \Lambda }{\partial \eta }= \frac{-\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\frac{\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }}+\frac{\beta }{\eta }\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }}+\overset{FI}{\mathop{\underset{i=1}{\mathop{\underset{}{\overset{}{\mathop \sum }}\,}}\,}}\,N_{i}^{\prime \prime }\frac{\beta }{\eta }\frac{{{(\tfrac{T_{Li}^{\prime \prime }}{\eta })}^{\beta }}R_{Li}^{\prime \prime }-{{(\tfrac{T_{Ri}^{\prime \prime }}{\eta })}^{\beta }}R_{Ri}^{\prime \prime }}{R_{Li}^{\prime \prime }-R_{Ri}^{\prime \prime }} \end{align} }[/math].



Example 4 Using the same data as in the probability plotting example (Example 3), and assuming a 2-parameter Weibull distribution, estimate the parameter using the MLE method.

Solution
In this case we have non-grouped data with no suspensions, therefore the above equations become:


[math]\displaystyle{ \frac{\partial \Lambda }{\partial \beta }=\frac{6}{\beta }+\underset{i=1}{\overset{6}{\mathop{\sum }}}\,\ln \left( \frac{{{T}_{i}}}{\eta } \right)-\underset{i=1}{\overset{6}{\mathop{\sum }}}\,{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }}\ln \left( \frac{{{T}_{i}}}{\eta } \right)=0 }[/math]


and:


[math]\displaystyle{ \frac{\partial \Lambda }{\partial \eta }=\frac{-\beta }{\eta }\cdot 6+\frac{\beta }{\eta }\underset{i=1}{\overset{6}{\mathop \sum }}\,{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }}=0 }[/math]


Solving the above equations simultaneously we get:


[math]\displaystyle{ \begin{matrix} \widehat{\beta }=1.933 \\ \widehat{\eta }=73.526 \\ \end{matrix} }[/math]


The Lognormal Distribution

The lognormal distribution is commonly used for general reliability analysis, cycles-to-failure in fatigue, material strengths and loading variables in probabilistic design. A random variable is lognormally distributed if the logarithm of the random variable is normally distributed. Since the logarithms of a lognormally distributed random variable are normally distributed, the lognormal distribution is given by:


[math]\displaystyle{ f({T}')=\frac{1}{{{\sigma }_{{{T}'}}}\sqrt{2\pi }}{{e}^{-\tfrac{1}{2}{{\left( \tfrac{{T}'-\bar{{T}'}}{{{\sigma }_{{{T}'}}}} \right)}^{2}}}} }[/math]


where:

  • T' = ln T, and where the Ts are the failure times.
  • [math]\displaystyle{ \bar{{T}'}= }[/math] mean of the natural logarithms of the times to failure.
  • σT' = standard deviation of the natural logarithms of the failure times.


The lognormal pdf can be obtained, realizing that for equal probabilities under the normal and lognormal pdf s incremental areas should also be equal, or:


[math]\displaystyle{ \begin{align} f(T)dT = f(T')dT' \end{align} }[/math]


Taking the derivative yields:


[math]\displaystyle{ d{T}'=\frac{dT}{T} }[/math]


Substitution yields:


[math]\displaystyle{ \begin{align} f(T)= \frac{f({T}')}{T}= \frac{1}{T\cdot {{\sigma }_{{{T}'}}}\sqrt{2\pi }}{{e}^{-\tfrac{1}{2}{{\left( \tfrac{{T}'-\bar{{T}'}}{{{\sigma }_{{{T}'}}}} \right)}^{2}}}} \end{align} }[/math]


where:

[math]\displaystyle{ f(T)\ge 0,T\gt 0,-\infty \lt \bar{{T}'}\lt \infty ,{{\sigma }_{{{T}'}}}\gt 0 }[/math]


Statistical Properties Summary

The Mean or MTTF

  • The mean of the lognormal distribution, [math]\displaystyle{ \bar{T} }[/math], is given by:


[math]\displaystyle{ \bar{T}={{e}^{\bar{{T}'}+\tfrac{1}{2}\sigma _{{{T}'}}^{2}}} }[/math]


  • The mean of the natural logarithms of the failure times, [math]\displaystyle{ {{\bar{T}}^{^{\prime }}} }[/math], in terms of [math]\displaystyle{ \bar{T} }[/math] and [math]\displaystyle{ {{\sigma }_{T}} }[/math] is given by:


[math]\displaystyle{ {{\bar{T}}^{\prime }}=\ln \left( {\bar{T}} \right)-\frac{1}{2}\ln \left( \frac{\sigma _{T}^{2}}{{{{\bar{T}}}^{2}}}+1 \right) }[/math]



The Standard Deviation

  • The standard deviation of the lognormal distribution, [math]\displaystyle{ {{\sigma }_{T}} }[/math], is given by:


[math]\displaystyle{ {{\sigma }_{T}}=\sqrt{\left( {{e}^{2\bar{{T}'}+\sigma _{{{T}'}}^{2}}} \right)\left( {{e}^{\sigma _{{{T}'}}^{2}}}-1 \right)} }[/math]


  • The standard deviation of the natural logarithms of the times-to-failure, [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math], in terms of [math]\displaystyle{ \bar{T} }[/math] and [math]\displaystyle{ {{\sigma }_{T}} }[/math] is given by:


[math]\displaystyle{ {{\sigma }_{{{T}'}}}=\sqrt{\ln \left( \frac{\sigma _{T}^{2}}{{{{\bar{T}}}^{2}}}+1 \right)} }[/math]



The Median

  • The median of the lognormal distribution is given by:


[math]\displaystyle{ \breve{T}={{e}^{{{\bar{T}}^{\prime }}}} }[/math]



The Mode

  • The mode of the lognormal distribution is given by:


[math]\displaystyle{ \tilde{T}={{e}^{{{\bar{T}}^{\prime }}-\sigma _{{{T}'}}^{2}}} }[/math]



Reliability Function

For the lognormal distribution, the reliability for a mission of time [math]\displaystyle{ T }[/math], starting at age 0, is given by:


[math]\displaystyle{ R(T)=\int_{T}^{\infty }f(t)dt }[/math]

or:

[math]\displaystyle{ R(T)=\int_{{{T}^{^{\prime }}}}^{\infty }\frac{1}{{{\sigma }_{{{T}'}}}\sqrt{2\pi }}{{e}^{-\tfrac{1}{2}{{\left( \tfrac{t-\overline{{{T}'}}}{{{\sigma }_{{{T}'}}}} \right)}^{2}}}}dt }[/math]


There is no closed form solution for the lognormal reliability function. Solutions can be obtained via the use of standard normal tables.



Lognormal Failure Rate

The lognormal failure rate is given by:

[math]\displaystyle{ \lambda (T)=\frac{f(T)}{R(T)}=\frac{\tfrac{1}{{T}'{{\sigma }_{{{T}'}}}\sqrt{2\pi }}{{e}^{-\tfrac{1}{2}{{(\tfrac{{T}'-\overline{{{T}'}}}{{{\sigma }_{{{T}'}}}})}^{2}}}}}{\mathop{}_{{{T}'}}^{\infty }\tfrac{1}{{{\sigma }_{{{T}'}}}\sqrt{2\pi }}{{e}^{-\tfrac{1}{2}{{(\tfrac{t-\overline{{{T}'}}}{{{\sigma }_{{{T}'}}}})}^{2}}}}dt} }[/math]

Characteristics

  • The lognormal distribution is a distribution skewed to the right.
  • The [math]\displaystyle{ pdf }[/math] starts at zero, increases to its mode, and decreases thereafter.


Pdf of the lognormal distribution.



The characteristics of the lognormal distribution can be exemplified by examining the two parameters, the log-mean [math]\displaystyle{ ({{\overline{T}}^{\prime }}) }[/math] and the log-std ([math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math]), and the effect they have on the [math]\displaystyle{ pdf }[/math].
Looking at the Log-Mean [math]\displaystyle{ ({{\overline{T}}^{\prime }}) }[/math]

  • The parameter, [math]\displaystyle{ \bar{{T}'} }[/math], or the log-mean life, or the [math]\displaystyle{ MTT{F}' }[/math] in terms of the logarithm of the [math]\displaystyle{ {T}'s }[/math] is also the scale parameter and a unitless number.
  • For the same [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math] the [math]\displaystyle{ pdf }[/math] 's skewness increases as [math]\displaystyle{ \bar{{T}'} }[/math] increases.



Pdf of the lognormal distribution with different log-mean values.



Looking at the Log-STD [math]\displaystyle{ ({{\sigma }_{{{T}'}}}) }[/math]

  • The parameter [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math], or the standard deviation of the [math]\displaystyle{ {T}'s }[/math] in terms of their logarithm or of their [math]\displaystyle{ {T}' }[/math], is also the shape parameter, and not the scale parameter as in the normal [math]\displaystyle{ pdf }[/math]. It is a unitless number and assumes only positive values.
  • The degree of skewness increases as [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math] increases, for a given [math]\displaystyle{ \bar{{T}'} }[/math].
  • For [math]\displaystyle{ {{\sigma }_{{{T}'}}} }[/math] values significantly greater than 1, the [math]\displaystyle{ pdf }[/math] rises very sharply in the beginning (i.e., for very small values of [math]\displaystyle{ T }[/math] near zero), and essentially follows the ordinate axis, peaks out early, and then decreases sharply like an exponential [math]\displaystyle{ pdf }[/math] or a Weibull [math]\displaystyle{ pdf }[/math] with [math]\displaystyle{ 0\lt \beta \lt 1 }[/math].


Pdf of the lognormal distribution with different log-std values.


Parameter Estimation

The estimate of the parameters of the lognormal distribution can be found graphically on probability plotting paper or analytically using either least squares or maximum likelihood. (Parameter estimation methods are presented in detail in Appendix B.)

Probability Plotting

One method of calculating the parameter of the lognormal distribution is by using probability plotting. To better illustrate this procedure, consider the following example.

Example 5

Let's assume six identical units are being reliability tested at the same application and operation stress levels. All of these units fail during the test after operating the following times (in hours), Ti : 144, 385, 747, 1,144, 1,576 and 2,616. The steps for determining the parameters of the lognormal pdf representing the data, using probability plotting, are as follows:

  • Rank the failure times in ascending order as shown next.
[math]\displaystyle{ \begin{matrix} \text{Failure} & \text{Failure Order Number} \\ \text{Time (Hr)} & \text{out of a Sample Size of 6} \\ \text{144} & \text{1} \\ \text{385} & \text{2} \\ \text{747} & \text{3} \\ \text{1,144} & \text{4} \\ \text{1,576} & \text{5} \\ \text{2,616} & \text{6} \\ \end{matrix} }[/math]


  • Obtain their median rank plotting positions. The failure times, with their corresponding median ranks, are shown next:


[math]\displaystyle{ \begin{matrix} \text{Failure} & \text{Median} \\ \text{Time (Hr)} & \text{Rank, }% \\ \text{144} & \text{10}\text{.91} \\ \text{385} & \text{26}\text{.44} \\ \text{747} & \text{42}\text{.14} \\ \text{1,144} & \text{57}\text{.86} \\ \text{1,576} & \text{73}\text{.56} \\ \text{2,616} & \text{89}\text{.09} \\ \end{matrix} }[/math]


  • On a lognormal probability paper, plot the times and their corresponding rank value. The next figure displays an example of a lognormal probability paper. The paper is simply a log-log paper.


ALTA4.10.png


  • Draw the best possible straight line that goes through the t = 0 and R(t) = 100% point and through these points.
  • At the Q(t) = 50% ordinate point, draw a straight horizontal line until this line intersects the fitted straight line. Draw a vertical line through this intersection until it crosses the abscissa. The value at the intersection of the abscissa is the estimate of the median. For this case, [math]\displaystyle{ \breve{T}=760 }[/math] hours which means that [math]\displaystyle{ {{\bar{T}}^{\prime }}=\ln(\breve{T})=6.633 }[/math].



ALTA4.11.png



  • The standard deviation, σT', can be found using the following equation:


[math]\displaystyle{ \begin{align} {{\sigma }_{{{T}'}}}= & \frac{\ln \left[ T(Q=97.7%) \right]-\ln \left[ T(Q=2.3%) \right]}{4} \\ = & \frac{\ln (5100)-\ln (120)}{4} \\ = & 0.937376 \end{align} }[/math]


Now any reliability value for any mission time t can be obtained. For example, the reliability for a mission of 200 hours, or any other time, can now be obtained either from the plot or analytically.
To obtain the value from the plot, draw a vertical line from the abscissa, at t = 200 hours, to the fitted line. Draw a horizontal line from this intersection to the ordinate and read Q(t) . In this case, R(t = 200) = 1 − Q(t = 200) = 92% . This can also be obtained analytically, from the lognormal reliability function. However, standard normal tables (or the Quick Statistical Reference in ALTA) must be used.

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]




Example 6

Using the same data as in the probability plotting example (Example 5) and assuming a lognormal distribution, estimate the parameters using the MLE method.
Solution
In this example we have non-grouped data without suspensions. Thus, the partials reduce to:


[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial {\mu }'}= & \frac{1}{\sigma _{{{T}'}}^{2}}\cdot \underset{i=1}{\overset{14}{\mathop \sum }}\,\ln ({{T}_{i}})-{\mu }'=0 \\ & \frac{\partial \Lambda }{\partial {{\sigma }_{{{T}'}}}}= & \underset{i=1}{\overset{14}{\mathop \sum }}\,\left( \frac{\ln ({{T}_{i}})-{\mu }'}{\sigma _{{{T}'}}^{3}}-\frac{1}{{{\sigma }_{{{T}'}}}} \right)=0 \end{align} }[/math]


Substituting the values of Ti and solving the above system simultaneously, we get:


[math]\displaystyle{ \begin{align} & {{\sigma }_{{{T}'}}}= & 0.9537 \\ & {\mu }'= & 6.6356 \end{align} }[/math]


The mean and standard deviation of the times-to-failure can be estimated by:


[math]\displaystyle{ \overline{T}=\mu =1,200.31\text{ }hr }[/math]


and:


[math]\displaystyle{ \begin{align} & {{\sigma }_{T}}= 1,461.78\text{ }hr \end{align} }[/math]