Weibull distribution

In probability theory and statistics, the Weibull distribution

/ˈwaɪbʊl/ is a continuous probability distribution. It models a
Weibull (2-parameter)
broad range of random variables, largely in the nature of a Probability density function
time to failure or time between events. Examples are
maximum one-day rainfalls and the time a user spends on a
web page.

The distribution is named after Swedish mathematician

Waloddi Weibull, who described it in detail in 1939,[2]
although it was first identified by Maurice René Fréchet and
first applied by Rosin & Rammler (1933) to describe a
particle size distribution.

Definition

Standard parameterization

The probability density function of a Weibull random variable

is[3][4]
Cumulative distribution function

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 [5]).

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:[6]
Parameters scale
A value of indicates that the failure rate
shape
decreases over time (like in case of the Lindy effect,
which however corresponds to Pareto Support
distributions[7] rather than Weibull distributions). PDF
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
CDF
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 Mean
decreasing function of the proportion of adopters; Median
 A value of indicates that the failure rate is Mode
constant over time. This might suggest random
external events are causing mortality, or failure. The
Weibull distribution reduces to an exponential Variance
distribution;
A value of indicates that the failure rate
increases with time. This happens if there is an Skewness
"aging" process, or parts that are more likely to fail
as time goes on. In the context of the diffusion of
Ex. (see text)
innovations, this means positive word of mouth: the
hazard function is a monotonically increasing kurtosis
function of the proportion of adopters. The function Entropy
is first convex, then concave with an inflexion point
MGF
at .

In the field of materials science, the shape parameter k of a CF

distribution of strengths is known as the Weibull modulus. In
the context of diffusion of innovations, the Weibull
Kullback– see below
distribution is a "pure" imitation/rejection model.
Leibler
divergence
Alternative parameterizations CVaR (ES)

First alternative where is

Applications in medical statistics and econometrics often the upper incomplete gamma
adopt a different parameterization.[8][9] The shape parameter function.[1]
k is the same as above, while the scale parameter is .
In this case, for x ≥ 0, the probability density function is

the cumulative distribution function is

the hazard function is

and the mean is

Second alternative

A second alternative parameterization can also be found.[10][11] The shape parameter k is the same as in the standard
case, while the scale parameter λ is replaced with a rate parameter β = 1/λ. Then, for x ≥ 0, the probability density
function is

the cumulative distribution function is

and the hazard function is

In all three parameterizations, the hazard is decreasing for k < 1, increasing for k > 1 and constant for k = 1, in which
case the Weibull distribution reduces to an exponential distribution.

Properties

Density function

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. A generalization of the Weibull distribution is the
hyperbolastic distribution of type III.

Cumulative distribution function

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

The Mean time between failures MTBF is

Moments

The moment generating function of the logarithm of a Weibull distributed random variable is given by[12]

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 , which may also be written as

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

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.[13] 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.

Reparametrization tricks

Fix some . Let be nonnegative, and not all zero, and let be independent samples of
, then[14]

Shannon entropy

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

Maximum likelihood

The maximum likelihood estimator for the parameter given is

The maximum likelihood estimator for is the solution for k of the following equation[15]

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[15]

Also given that condition, the maximum likelihood estimator for is

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

Kullback–Leibler divergence

The Kullback–Leibler divergence between two Weibulll distributions is given by[16]

Weibull plot
The fit of a Weibull distribution to data can be visually assessed using a
Weibull plot.[17] 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:

Weibull plot

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.[18]

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.

Applications
The Weibull distribution is used

In survival analysis
 In reliability engineering and failure analysis
In electrical engineering to represent overvoltage occurring in
an electrical system
In industrial engineering to represent manufacturing and
delivery times
In extreme value theory
In weather forecasting and the wind power industry to describe
wind speed distributions, as the natural distribution often
matches the Weibull shape[21]
In communications systems engineering Fitted cumulative Weibull distribution to
In radar systems to model the dispersion of the received maximum one-day rainfalls using
signals level produced by some types of clutters CumFreq, see also distribution fitting[19]
To model fading channels in wireless communications, as
the Weibull fading model seems to exhibit good fit to
experimental fading channel measurements
In information retrieval to model dwell times on web pages.[22]
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)[23]
In hydrology the Weibull distribution is applied to extreme
events such as annual maximum one-day rainfalls and river
Fitted curves for oil production time
discharges.
series data [20]
In decline curve analysis to model oil production rate curve of
shale oil wells.[20]
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.[24] In this context it predicts fewer fine particles than the log-normal
distribution and it is generally most accurate for narrow particle size distributions.[25] 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.[26]
In calculating the rate of radiation-induced single event effects onboard spacecraft, a four-parameter
Weibull distribution is used to fit experimentally measured device cross section probability data to a
particle linear energy transfer spectrum.[27] The Weibull fit was originally used because of a belief
that particle energy levels align to a statistical distribution, but this belief was later proven false and
the Weibull fit continues to be used because of its many adjustable parameters, rather than a
demonstrated physical basis.[28]

Related distributions
A Weibull distribution is a generalized gamma distribution with both shape parameters equal to k.

The translated Weibull distribution (or 3-parameter Weibull) contains an additional parameter.[12] 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. value sets an initial failure-free time
before the regular Weibull process begins. 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.[12]

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[29] 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.[30] 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.[31]

If then (Exponential distribution)

For the same values of k, the Gamma distribution takes on similar shapes, but the Weibull distribution
is more platykurtic.
 From the viewpoint of the Stable count distribution, can be regarded as Lévy's stability parameter. A
Weibull distribution can be decomposed to an integral of kernel density where the kernel is either a
Laplace distribution or a Rayleigh distribution :

where is the Stable count distribution and is the Stable vol distribution.

See also
Fisher–Tippett–Gnedenko theorem
Logistic distribution
Rosin–Rammler distribution for particle size analysis
Rayleigh distribution
Stable count distribution

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External links
"Weibull distribution" (https://www.encyclopediaofmath.org/index.php?title=Weibull_distribution),
Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Mathpages – Weibull analysis (http://www.mathpages.com/home/kmath122/kmath122.htm)
The Weibull Distribution (http://reliawiki.org/index.php/The_Weibull_Distribution)
Reliability Analysis with Weibull (http://www.crgraph.com/Weibull.pdf)
Interactive graphic: Univariate Distribution Relationships (http://www.math.wm.edu/~leemis/chart/UD
R/UDR.html)
Online Weibull Probability Plotting (http://www.reliafy.com/)

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