MEMOIRS OF SHONAN
INstITUrE OP TncHNOLOGY
Vol.30,No.1,1996
The
Prediction
Extreme-Valueof
Future
Order
Statistics
from
Weibull
orDistribution
Using
the
Probability
Paper
TakeshiIsHIKAWA*
Thisarticle provides a method using the probability papers forpoint and intervalpredictions of
futureorder statistics, on the basisof Type IIcensored samples from the Weibulland Extreme-Value
distribution.Firstwe propose two-pointpredictor forthe point prediction problem and the problem of
choosing plottingpositionare studied. Second we give the method to construct the prediction interval
of the future order statistics using the two-point predictor.
1.
IntroductionPoint and intervalpredictionare widely used
in
solving some statistical problemsin
reliabil-ityand other related problems.
The
methodsof constructing these predictors and
intervals
have been extensively studied.
We
shalldis-cuss the prediction for the Weibull and
Ex-treme-Value distributionwhich are
important
distributions
in
reliability problems.
The
Weibull
distribution
denoted
by
F(x)=1-exp[-('li-)X],
o<x,
a)
isconsidered
in
thispaper.
The
variable Z=lnX
follows
the Extrerne-Value distributionG(z)=i-exp[-exp(23g)1,
-oo<z<oo, -[x)<g<oo,
O<6,
{2)
where 6=::llZand
g=lno.
The
Extreme-Value
distribution
has
the advantage thatits
param-eters appear as
location
and scale parameters.
Point
andinterval
prediction procedures areingeneral quite complicated
for
these rnodels.For point prediction one common approach
has
been
to apply the generalizedleast
squaresmethod or some related method to obtain
linearestimators of the location and scale
pa-rameters
g
and 6. Kaminsky andNelson5)
gavethe
best
linear unbiased predictor(BLUP).
*
eswr#lsu
entyN
ilZut 7if1O
fi
13 HeetitKaminsky
et at.6) provided the best linearin-variant predictor
(BLIP).
Balasooriya
andChani)
studied a robustness of the predictorin
the two-parameterWeibull
distributions.
These
approachfor
the most part requiresknowledge
of theexpectations and covariancesof the ordered observations of the
Extreme-Value
orWeibull
distribution,
which are avail-able upto
sample size N=25. Engelhardt andBain2)
have
obtained the predictionintervals
for
the
Weibull process.Lawless8)
provides atechnique
for
obtaining exact predictioninter-vals
for
thefirst
failure
in
afuture
sample ofsize
M
from
a weibull population. Fertiget at.4)provided
Monte
Carlo
estimates of percentilesof the
distribution
of a statisticsS,
that may beused to construct prediction
intervals
tocon-tainthe
future
observation. Furthermore theygave an approximation
for
thedistribution
ofS.
Many
articles have been published incase oftwo sample problems,
but
quite a few incase ofone sample problerns.
A
good review of theprediction
intervals
isgiven by Pate19).
In
this
paper we considerX(oSX(2}$
'''$Xcr)the smallest r of
N
sample observations from apopulation
having
the two-parameterWeibull
cdf given
by
(1).
In
other words we supposethat testing
has
been
terminated
atthe
time
ofthe r-th failure.
We
consider topredict thes-thorder statistics
Xc,)
(r<sSM
onthe
basis
ofX{i),
Xc2),'
'',X(r).Most
of prediction methodsdepend
on extensive computer programs, and require
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meMrNrt\SES
ee
308
eg
1e sample sizes ofinterest
andlor are not widelyavailable.
Graphical
methods are verypower-fultoolsfordata analysis. The compatibility of
the proposed model with the observed
data
may be determined easily
by
agraphicalexam-inationof the fit.When exploration of the
data
is warranted, graphical methods are
both
useful and appropriate.
This paper presents a simple and convenient
point and interval prediction procedures
for
the
Weibull
andExtrme-Value
distributionusing Weibull probability graph paper.
The
location
and scale parameters of theExtreme-Value distribution are estimated by least
square and two point methods.
The
problem
ofchoosing plotting positionare studied.
2.
Least
Square
PredictorWe assume that the underlying
distribution
of
failure
times isa Weibull distribution<1),
The problem then
is
to estimateA
and a, ormore
generally,
to estimate the distributionfunction
Prob(Failure
time$x)=F(x)=1-exp[-(i)a].
(3)
We start the analysis by plotting the sample
data
points onWeibull
probability graphpaper.
This
is
a special(x,P)
coordinate graphpaper
designed
so that the plotof x vs.p=F(x)
will appear as a straight line when F(x) isa
Weibull
distribution
function.
Ifwe rewrite(3)
as1
lnx=lna+Tln[-ln(1-P)](4)
and then set
z=lnx, y=ln[-ln(1-p)],
E=lno,
6=1/a.(3)
is
transformedinto
z=g+by
(s)
the equation of a straight lineon rectangular
(z,y)
graph paper.Weibull
probabilitygraph paper maybe
con-structed from rectangular graph paper
by
lab-elling as x thegridlinecorresponding toz=lnx
and labellingas
1OO
P
the grid linecorrespond-ing
toy=ln[-ln(1-P)]. Thus the piot ofthe
points
(x,p),
where p and x satisfy(3),
onWei-bull probability graph paper
is
equivalent tothe plot of the points
la,y),
where z=g+by, onrectangular graph paper.
We
note that rnostWeibull
probability graph paperhas
its
axisreversed; that
is,
thehorizontal
axis islabelledx and the vertical axis islabelled
P,
Ifwe knew
pi=F(x{i)),
for
each samplefailure
time
xc" then theline
through the plottedpointswould be completely
determined
thedis-tribution
function
F(x>.
We
must be todeter-mine some estimate of
Pi
so that we may plotthepoints
(x(e,pi).
Since
x(nis
thevalue taken onby the
Weibull
order statisticsXc",
we may consider z(i)=lnx(i} as the value taken onby
the
Extrerne-Value
order statisticsZ(i)
and yi=<z(i)-e/6
asthe
value taken onby
the reducedExtreme-Value
order statistics Yli)=(Z{i)-e/6.Thus
we have
lnX(i)=Z(i)=g+6Yli),
lnx<i)=z{i}=g+byi.{6>
The
sample value yidepends
on the unknownparameter6 and
g,
and hence can onlybe
es-timated.
In
thispaper we shall estimatePi asthe
meanvalue of the reduced order statistics
F(X(i)).
That
is
i
Pi=E[F(X(o)]==
N+1
This
is
only one of many possible proceduresfor plotting on probability graph paper
(see
Kimbal17)).
A
plot of thepoints(xo,Pi)
appear inFig.
1.The visually fittedlineis
an estimate ofthe underlying
distribution
offailure
times.The
parameters of thedistribution
may alsobe
read from
the
graph.Rather
thanfit
the lineby eye, itis moreappealing touse some analytic technique.
The
problem
is
tofit
aline
of the typez-g+by
toa given set of points
k(i),yi),
i--
1,
2,
・ ・ ・,nThe
least
squares estirnates ofg
and6
are
ThePnediction
of
Futare Order StatisticsftomWbibuU
or Extreme- VZilue p "・1"--"-e"-tt-n,o".o-o-ee"o".en"is--bO,O1li
i
-s-,-et"l-l-eJ y ±' 1 (3,n)Fig.1. VeibullProbabilityGraph.
(D:
90% prediction interval.@:90%
one-sided lower prediction interval.where r 6Ls=
=
(yi-5jtae
]'=1as=z'-6-Lsy
I=
The
estimated rLtLl
(,ti-p)2
,"];1
yi, z---;2Lzen.Iine
is
then 2=gLs+6Lsy.(7)
Hence,
immediately
we get apredictorofstatis-tics
Z(.)
such thatZLS=gLs+6L$y,.
{8)
We call thispredictor a leastsquare predictor
of Zcs).Therefore we get a predictor ef
X(,)
asfollows .]?LS=exp(2LS).
Hence we can get an approximate
least
square predictor by following graphical
tech-nique,
A
straightline
is
fitted
tothedata
pointby
eye. The 63.2percentileisan estirnate ofg.
The shape parameter6
is
estimated graphicallyas the reciprocal of the slope of the straight
line.The value of predictor of statistics Z(.)is
obtained
by
enteringthe
plotonthe
P
scale atP.
=s/(?V+ 1)going horizontally tothefittedlineand then vertically up tothe
data
scale toreadthe estimate of the Z(.).The value of predictor
of statistics X(,)isobtained by entering
verti-cally
down
tothedata
scale.The statistical model which leads tothe
esti-mates
(7)
assumes that thedata
points
z"}arethe values taken on
by
a set of randomvaria-blesZ(i}which E(Z(i))=g+ayi,Var(ZciD=6Z and
Cov(Z(i),Zm>=O
(itl'),
Ifsuch assumptions aresatisfied then theestirnator
gLs
and 6LsareNII-Electronic Library Service
mamr*g)<#ede
za
3ogeg
1eTable 1. Biasesand MSEs of thePredictors
AT=:15,R=11BLIPBLUPL-STWO S=12 Biasl02 MSEt62 S==13 Biast62 MSEt62 S==14 Biast62 MSEt6Z S=15 Biasi62 MSEt62 -.O168 0 .0824 ,0338 .0341 .1328 =0345 0 .0996 .0761 ,0774 .2042 -,0548 O ,1355 .1388 -.0829 O .2465 .2539 .1126.3016 .1038.4621 .O044,0355 .O066.0829 ,O025,1516-,0291 ,2774
all
linear
estimator forg
and 6. For ourprob-lems
Z(o
areExtrerne-Value
order statistics.Therefore thus assumptions do not hold. The
column
L-S
in
theTable
1 gives thebiast6
andMSE/62 of the
least
square predictor2LS.
Thevalues of the
MSEs
of2LS
have
verylarge
thanones of the predictors
BLIP
andBLUP
of Zts).Therefore
we need another predictor ofZ(s}
using
Weibull
probability graph paper.We
now present a predictor which
is
called twopoint predictor of statistics Zcs).
3.
Two
Point
Predictor
We
considerto
predictof statisticsZ(,)simplyin
a similar way.We
choose any two pointswhich are plotted
in
the
Weibull probabilitygraph paper.
Next,
wedraw
a straightline
through these two points.
We
consider tousethis
linein place ofthe
fittedlineto thedata
points
by
theleast
square method.The
63.2
percentileand thereciprocal of the slope of this
straight
line
are the estimates ofg
and6,
re-spectively. But
in
this case we can get themathematical formulae of the estimates of
g
and
6.
If
we choosethe
two
pointsla{i},yi),
lae,){i)
thenthe estimates of
g
and6
are asfollows,
6(i,1')=(zo-a{i))/()ti-yi),
eri,ID=zot-6(i,j'>yi.
Therfore we get a predictor of statistics
Z(s)
asfollows,
2k(i,1')-g-'(iJ')+6-(i,J')y..
The
bias
B(i,isys
and mean square errorM(i,i
s)62 of2k(i,1')
areB(i,is)6=[(1-c)cti+ccci-as]cS,
M<i・J'・S)62=E[21s(i,j')-Z(s}]2 =[(1-c)2wti+c2w"+w.+2c(1-c)wij -2(1-c)wis-2ctvi,]62+(bias)2 wherec=(),,-y,>/()Li-y,),
qi=E(Zm6-g)
and,,ts,=c..(zolig , z(k3-g).
We
will choose apair
ofpointsizto,)tr)
andlath,)7)
as satisfying the following condition
M<I,Ls)=
minM<i,is).
ISi<iSrThen
we calla(Ll)
the two point predictor ofstatistics Z(,}.Calculating M(i,is> forall i,J',r,s,
N=:5(1)20,
wefind
that the second numberJ
always becomes the lastnumbern Itisof
interest
to note.Table
2
gives the optimulnumber
I
for
sample sizes up toN=20. Itisofinterest
to notefrom
Table
2
that the optimulnumbers I
is
close to the number[ri
1]
where[a]
denetes
thelargest
integer
not exceed aThe column TWO in the Table 1 gives the
bias/6
andMSEf62
of the two pointpredictor
ofZ(,)forAT=15, r=11,s=12(1)15. These values
of the MSEX62 of the two point predictors have
smaller values than those of the
L-S
predictorsand show that these are very close to ones of
the
BLUP
and BLIP.4. IntervalPrediction
We
try to construct the predictioninterval
for
the
statistics Z(,)on a probability paper.We
know
U==F(Z(.))
distributes
asBeta
distribu-tionwith parameters and
N-s+1.
Then
W=N-s+1
U/a
-U)
distributes
asF-distribution
swith
degrees
offreedom
2s
and2(N-s+
1).
Let
1OOa
thpercentileof theBeta
distribution
withparameters a and
b
be
u(a;a,b) and let100ath
71hePV'ediction
of
FutureOrderStatisticsfrom
Tl7laibultor Ebetreme-Value Table 2. 0ptimalnumberIand1Ji=r
IIIIIIIV N5r4s5 1111 6455.66 11111111 7456 5,6,76,77 111 111 122 111 8456 7 5$s6,7,8788 11111 11122 12222 11111 9456 7 8 5Ss6,7,8,9 78,9899 11r1111111222212222221111122 10456789 sgs6Ss7Ss8,9,109,1010111112112222122222 111222 !145678 910 55s6gs7Sssgs91O,11lO,111111111222l1222222l222222211122222 1245678910115Ss6Ss7Ss8Ss9Ss10,11IL121211112222112222221222222211122222 I:Pi-Ci-O,5)tNII:Pir-(i-O.3)t(N+O.4){MedianRank) III:pi=ilaV+1)CMean Rank)
IV:yitai. IIIIIIIV Nrs 1345Ss 111l 56$s 112 1 67$s 122 1 78Ss 1222 89Ss 2222 910Ss 2222 10IL12,13 2222 !112,13 2222 1213 2222 1445$s 1111 56STs 112 1 67Ss !221 78Ss 1222 89$s 2222 9less 2222 1011Ss 2222 1112,13 2232 14 2222 1213,14 2222 1314 2222 154sgs 11 11 56gs 112 1 67Ss 122 1 78Ss 1222 89$s 2222 910$s 2222 1011SsS14 2232 15 2222 1112$s 2232 1213,14 2232 15 2332 1314 2232 15 2322 1415 2222 1645Ss 1111 565s 112 l 67Ss 122 1 78Ss 122 2 89$s 222 2 910$s 2222 1011Ss 223 2 1112Ss 2232 1213,14 2232 l5,16 2332 1314Ss 2332 1415,16 2332 1516 2322
NII-Electronic Library Service
湘南工科大学紀要 第 30 巻 第 1 号
Table 2. (continued }
/=・’r
1:Pi=(i− 0.5)μV
II:pi=(i− 03)1(N 十 〇.4}(Median Rank )
III:♪尸 ゴ
1
々V十 1}(Mean Rank)IV:yi=aゴ.
percentile of the F −distribution with
degrees
offreedom
k
and mbe
F
(α;陀,m ).Therefore
weknow
u (α;s,N
−s十1
)1
N − s十 1 1十 ∫ 」F(α;2
(ハ厂一s十1
),2s} 一 48 一 1唱
「 」 ら . 卜 e O . l V r e Syrarb . lLO . lnOrtOelE 一 工 工7;hePtediction
of
FutungOrderStatisticsfivmWbibull
or Extreme-ValueSince
we can showimmediately
F-i(u)=g+6 1n[-ln
(1
-u)] when u=Fla),Then
we get1
-a ==Flr
{u
(1
- -l;;a, b)SF(Zc,))Su('3;
a, b)1=pT
(g+6
in
ini-u(i
-i-g,a, b)$z(,)sg+6
1n
ln
l
ru(i , a,b)1
where a=s, b= N-s+1.
If
weknow
the values4
and 6 then we get a1OOa percent confidence
(prediction)
interval
ofZ(.).Since
g
and 6 are unknown parameters, weneed toestimate these values. Then we get a
100a percent prediction intervalof Z(.}the
fol-lowing type
[g+by*.g+by**]
where y* and y**are suitably choosen. Now,
1-a=Pr{g+(7y*gZ{.Eg+by"}
=Pv・
{exp(g+dy')SXc,)Sexp(g+6y**)}
.This meas as
follows,
we plotthesampledata
points on Weibull probability graph paper and
fita lineby eye or another suitable method.
The
upper(lower)
limitof the predictor of thestatistics Z{.)isobtained by entering the ploton
the y scale at y*(y**)going horizontallyto the
fittedline and then vertically up to the data
scale to read the estimate of the upper
(lower)
limitof Z(s).The limitvalues of predictor ofthe statistics
X(.)
are obtained by enteringvertical-lydown tothe
data
scale.We adopt the fittedlineby the method used
to get the two point predictor of the statistics
Z(s).Now.
6{L
r>== Z`"rZe ,g-(L
r) =z(.) -6N(L
rtvr・ :Vr-YIThen
Zg,Elfige-
s),5<・'):-Yr-.Yi+,, where T=(Zcr)-Zto)/<Z(s)-Zm)・Since O< T< 1,
T
distributes
approximately asBeta
distribution
with parameterP and q wherep
and q are determined by using the momentsof the statistics
T
Let Then E(T);ui,E(T2)=;"2.P=
#2-u12 ' q= #2-pt12 -P'We know
IZ-
Tl(1 -T)distributes
approximate-lyas
F-distribution
withdegrees
offreedom
2P
P
Zcs}-Z(r)and 2q. TherefOre
-a-zc.}-zen
distributes
asF-distribution
with degrees of freedom 2q and2p
approximateiy. Thatis
[Z(sts-uf;f'r)
-ylplq
distributes approximately as
FLdistri-y.-Ylbution
with
degrees
of freedom 2q and 2P.Let tbbe the 100a th percentile of the
statis-tics
Z(sZE;<'r),
we
getta#Yr+
/S'
tvr-Yt)F(a;
2q,
2P)
・we expand
Z(')-Zen
in a Taylar series
Z(s)-Z(n
around the expectations of ordered statistics
in
the standard
Extreme-Value
distribution
andthen approximate itby
Z(r)LZco
;A+B(Ze5-aD+C(Zl5-a.) Zcs)-ZcD +D<Ztf)-a.) whereA=
:l!:i
,B:=:
(.a,'--.ai
'C==
a,lai' D=-(B+C),and
ZIS
are ordered statisticsin
the standardExtreme-Value distribution. Therefore we get
E(T);A,
Var(T);B2wll+C2w.+D2w,,
+2(BCwi,+BDwts+CDw.).
Now
we put approximatelyNII-Electronic Library Service
meml*sFJk#eee
eg
3o
u
m1g
andPi(1-A) op#ln[-ln(1-Pj}], wij';N+2
(1
-pi)(1-pj)ln
(1
-Pi)ln
(1
-Pf) '(i
K-1・). Then we getg=
rl -1k ys'yr .P
pl y.-ylAnd
ta=Yr+lys-Yr)F(a;2q,2P)・Hence
1-
g
=prla,
sg(I,
r)+S(I,
r)×
[y,
+(ys
-yr(ij(-S-;2q・2p)-
i)1}
{}
= Pr{Z,Sg'(I,
r)+6"'(I,r)×
Ps-tys-yr(i
-]F<i -{l";
2q,2pD]
Therefore we can get both the prediction
point and interval of the stati'stics Z{,)as
fol-lows,
i) the prediction point of Z(.}isobtained by
entering the plot on the y scale at y.
going horizontally tothe
fitted
line
andvertically up tothe
datascale
toread thevalue.
ii)
the upper(erlower)
limit
of the predictorof
Z(.)
is
obtainedby
entering the plotonthe y scale at y**=y,+(y,-yr)[F(a12;2q,
2P)-1]
(or
y*=ys-(ys-yr)[1-F(1-at2;
2q,2P)])
going
horizontally
to the fitted
line
and then vertically up to thedata
scale to read.
Then
we can obtain the prediction point andthe limitvalues of the statistics X<.)
by
enteringvertically
down
to
the
data
scale x.We
needonly
100a
th percentile of theF-distribution
with real valued
degrees.
These values aregiven
by
using numericalintegration
andNewton's
method. We may use approximatly100a th percentile of the
Rdistribution
withinteger valued
degrees
offreedom
[2q+O.5]
and
[2P
+O.5].
1
5.
IllustrativeExample
Consider
the Type IIcensored sample fromtheWeibull
distribution,
simulated withA
=2.0and o=
12.38,
with N=20:
1.6003,
4.5727,
5.0263,
5.4089,
6.7246,
7.2051,
8.3590,
8.8687,
9.7873,
10.3860,
10.8011,
10.8933,
1
1.5329,
13.9679,
14.4076,
15.4168,
15.5366,
17.8901,
22.1448,22.4281
Ifwe assume that the
last
N-r=6
(r=14>
ob-servations are censored and we want topredict
the largestobservation. By Table 2,we get the
optimal numberI=3.
Then
wedraw
a straightline
through the two points(ln
5.0263,y3)and(ln
13.9679,
yi4)(Fig.
1).
21Y3=ln
ln
ls =-1.86982,21
yi4==lnln
7
=O.09405. We obtain6(3,14)==O.52,
g(3,14)=2.59,
therefore A=1.92, a=13.3. Now, s=20, y2o=lnln
21
=L1
1334
2(3,14)=3.18,
g(3,14)=24.0.
sincep !; 13.0754,qI6,7865, we get the
percen-tilesof the
FLdistribution
by
the numericalmethods as follows, F{O.05;26.15,13.5)=2.336,
F(O.05;
13.5,
26.15)=2.083.
F(O.10;26.15,13.5)= 1.9343 Thusy**=y,,+tv2o-yi,)[F(O,05;13.5,26.15)-1] = 2.217 and y*=y2o-fy2o-yi4)[1-F(O.95:13.5,26.15)]=O.530. Therefore we get 90 percentile
prediction
interval
of the statisticsZ(2o)=ln
X(2o)
as
[2,89,3.75]
and hence 90 percentilepredic-tion
interval
ofX{2o)
becomes
[18.0,42.8].
If
wewant toget 90 percentileone-sided prediction
interval
of the statisticsX(2o),
sinceY"=Y2o-tv2e-yi4)[1-F(O.90;13.5,26.15)] -O.621 ' we get
[19.0,
oo). -50-NII-Electronic11hePrediction
of
FlettureOrderStatisticsfromWeibult
or Extreme- Vdlue
References
1) U.Balasooriyaand L.K.Chan
{1983),
"The
dictionof Future
Order
Statistics
in
theparameter Weibull Distribution-a Robust
Stduy,"Sankya,45,B,320-329.
2) M,Engelhardtand L.
J,
Bain(1978}.
"PredictionIntervals for the Weibull Process," metrics, 20,167-169,
3) M.Engelhardtand L.
J.
Bain(1982),
"On tion LimitsforSamples from a Weibull ortreme-Value Distribution," Technometrics, 24,
147-150.
4) K.W. Fertig,M.E.Meyer and N.R.Mann (1980), "On
Constructing
PredictionIntervalsforplesfrom a Weibull or Extreme Value
tion,"Technometrics.22,567-573,
5) K,S.Kaminsky and P,I,Nelson
(1975a),
"BestLinearUnbiased Predictionof Order Statistics
inLocationand ScaleFamilies,"
Jeurna]
of theAmerican StatisticalAssociation, 70, 145-150.
6) K. S.Kaminsky, N. R. Mann and P.I.Nelson
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