34

STATISTICS OVERVIEW
This section overviews some methods used to determine the parameters of pdfs or
directly the R(t), F(t) and (t) from the given data. Both point estimation and con-
dence interval estimation are discussed. A condence interval provides a range of values
within which the distribution parameter is included with a specied condence. These
methods to be overviewed are:
Curve Fitting
Moment Estimation
Maximum Likelihood Estimator
Maximum Entropy Estimator
Empirical methods
In curve tting the parameters of the chosen distribution are selected to t the data, usu-
ally using the least-squares method. In the curve tting of data using few data points,
median rank tables obtained from Order Statistics are generally used. Since we do not
know the true rank of each failure (i.e. percent population failing before), these tables
help to assign probability values top failure times. Median rank tables are constructed so
that half of the time the probability is high and half of the time the probability is low. It is
assumed that the errors would cancel each other in the long run.
Example 1
Ten identical devices are tested until failure at times t
n
= 1.7, 3.5, 5.0, 6.5, 8.0, 9.6, 11.0,
13.0, 18.0, 22.0 (100) h (n 1, . . . , 10). Assuming that failures are random, nd the reli-
ability function and MTTF for the device and 95% condence interval for the MTTF.
Solution
n 1 2 3 4 5 6 7 8 9 10
t
n
(h) 170 350 500 650 800 960 1100 1300 1800 2200
F(t
n
) 0.066 0.162 0.258 0.355 0.451 0.548 0.644 0.741 0.837 0.933
Since failures are random,
F(t) 1 e
t
> t ln

1
1 F(t)
1
1
]
ln

1
R(t)
1
1
]
d(t).
Let
AA
T
[170 350 500 650 800 960 1100 1300 1800 2200]
35
and
dd
T
[d(t
1
). . . . d(t
10
)]
[0. 0683 0. 1767 0. 2984 0. 4385 0. 5997 0. 7941 1. 0328 1. 3509 1. 8140 2. 7031].
Then AA dd and can be estimated from the least-squares tting

AA
T
AA
_
,
1
AA
T
dd 0. 0010 h
1
.
In general, least-squares tting ts a set of data pairs (y
n
, t
n
) (n 1. . . N) to a specied
functional form y(t) such that
N
n1

[y
n
y(t
n
)]
2
is minimum. The above expression for ts natural log of 1/[1 F(t
n
)] or 1/R(t
n
) to a
straight line passing through the origin. The least-squares tting could be also performed
using the matlab function polyfit in which case the line may not pass through the origin
and have a different slope.
0 500 1000 1500 2000 2500
0
0.5
1
1.5
2
2.5
3
t(hours)
l
n
[
1
/
R
(
t
)
]
** Data
__ Leastsquares fitting with matlab polyfit (=0.0013/h __ Leastsquares fitting with matlab polyfit (=0.0013/h)
Leastsquares fitting with the expression in the notes (=0.0010/h)
36
0 500 1000 1500 2000 2500
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
t(hours)
R
(
t
)
__ =0.0013/h
=0.0010/h
Using 0. 0010 h
1
, the reliability function for the device is
R(t) e
0.0010t
where t is hours. The MTTF is
MTTF
1

1000 hours
Whenever tables are not available median ranks can be estimated from
(n 0. 3)/(N + 0. 4) where n is the failure order and N is the sample size.
A 100(1- alpha ) percent condence interval for the MTTF obtained from the exponential
distribution based on complete data is
2T

2
/2,2r)
MTTF
2T

2
1/2,2r
where T is the total test time, r is the number of failures and
2
/2,2(r+1)
and
2
1/2,2r
are
found from Chi-square distribution tables. For this problem,
0. 05 T
10
i1

t
n
9830 hour r 10
>
2
0.025,22)
36. 8
0.975,20
9. 59
> 267 MTTF 1025 hour
37
For moment estimation, the two most commonly used estimators for two-parameter
distributions f (t) of the stochastic variable t are the mean and variance estimators:
mean

t
1
N
N
n1

t
n
variance
2

1
N 1
N
n1

(t
n

t )
2
.
Example 2
For the failure times of Example 1, estimate the parameters and of the Weibull distri-
bution using moment estimators.
Solution
From the data given,

t
1
10
10
n1

t
n
983 h
and

2

1
10
10
n1

(t
n
983)
2
4. 114 10
5
h
2
For the Weibull distribution

dt t

_
,
1
e
(t/

(1 + 1/ ) 983

2

dt (t

t )
2

_
,
1
e
(t/

2
{(1 + 2/ ) [(1 + 2/ )]
2
} 4. 114 10
5
Numerical solution of these equations yields 1. 58 and

1095 h. If f (t) has more

than two parameters, higher moment estimators are needed.
The maximum likelihood estimator obtains the M parameters
m
, (m 1, . . . , M)
of the pdf f (t,
1
,
2
, . . . ,
M
) from

m
ln L 0 , (m 1, . . . , M) and,
38
where L is the likelihood function dened as
L
N
n1

f (t
n,

1
,
2
, . . . ,
M
).
Example 3
Derive the maximum likelihood estimators for the lognormal distribution
Solution
f (t)
1
2t
exp

ln
2
(t/)
2
2
1
1
]
ln L N

1
2
ln 2 + ln
1
1
]

N
n1

[ln t
n
+
ln
2
(t
n
/)
2
2
]

ln L 0 >
2

1
N
N
n1

ln
2
(t
n
/)

ln L 0 > ln
1
N
N
n1

ln t
n
Example 4
Estimate and for the data given in Example 1, if the failure times satisfy the lognor-
mal distribution.
Solution
ln
1
N
N
n1

ln t
n

1
10
[ln(170) + ln(350) + ln(500) + ln(650) + ln(800)
+ ln(960) + ln(1100) + ln(1300) + ln(1800) + ln(2200)] 6. 66 > 780. 691

1
N
N
n1

ln
2
(t
n
/)
1
10
[ln
2
(0. 218) + ln
2
(0. 448) + ln
2
(0. 641) + ln
2
(0. 769) + ln
2
(1. 025)
+ ln
2
(1. 230) + ln
2
(1. 409) + ln
2
(1. 665) + ln
2
(2. 306) + ln
2
(2. 818)] 0. 539 > 0. 734274
The maximum entropy estimator differs from the maximum likelihood estimator mainly
due to the weighting of the chosen distribution in the function to be maximized. For this
39
purpose, we rst dene the entropy function
H
N
n1

f (t
n
) ln[ f (t
n
)]
where f (t
n
) is the chosen distribution and rewrite f (t
n
) as
f (t
n
) exp[
0

1
T
1
(t
n
)
2
T
2
(t
n
)
M
T
M
(t
n
)]
where
m
(m 0, 1, . . . , M) are functions of the parameters to be estimated and T
m
(t
n
)
(n 0, 1, . . . , N) are functions of time. Then the estimates are obtained from

1
N
N
n1

T
m
(t
n
) m 1, . . . , M
Example 5
Derive the maximum entropy estimators for the gamma distribution
Solution
f (t)
(t)
r1
(r)
e
t
e
ln() + (r 1) ln() + (r 1) ln(t) ln[(r)] t
>
0
ln[(r)] r ln()
1

2
1 r
T
1
(t) t T
2
(t) ln(t)
>

0

[ln[(r)] r ln()]
r

1
N
N
n1

t
n

1


0
(1 r)


0
r
{ln[(r)] r ln()} (r) ln()
1
N
N
n1

ln(t
n
)
where
(x)
d(x)
dx
1
(x)
is called the digamma function.
Empirical methods are also referred to as non-parametric methods or distribution-free
methods because R(t), F(t) and (t) are obtained directly from the data without assum-
ing a functional form. They are used when no parametric distribution ts the data.
40
Ungrouped Complete Data
Let N n be the number of units surviving out of a population of N at time t
n
. A possi-
ble set of estimates for the reliability function and the Cdf are, respectively,

R(t
n
)
N n
N
1
n
N
and

F(t
n
) 1

R(t
n
)
n
N
. (I)
Such a choice of estimates predicts

R(t
N
) 0 which is not realistic. Tw o other possible
choices are

F(t
n
)
n
N + 1
and

R(t
n
) 1

F(t
n
)
N + 1 n
N + 1
(II)
and

F(t
n
)
n 0. 3
N + 0. 4
and

R(t
n
) 1

F(t
n
)
N + 0. 1 n
N + 0. 4
. (III)
The pdf can be obtained from

f (t
n
)

R(t
n+1
)

R(t
n
)
t
n+1
t
n
and the failure rate can be obtained from

(t
n
)

f (t
n
)

R(t
n
)
.
Such choices are called plotting positions because they yield the ordinate values in plot-
ting

R(t
n
),

F(t
n
) or

f (t
n
).
Example 5
For the failure times t
n
given below, plot

f (t
n
) and

R(t
n
) for the plotting position options
I, II and III.
n 1 2 3 4 5 6 7 8 9 10
t
n
(h) 170 350 500 650 800 960 1100 1300 1800 2200
41
Solution
0 500 1000 1500 2000 2500
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x 10
3
Time (hours)
f
(
t
)
f(tn)=n/N
f(tn)=n/(N+1)
f(tn)=(n0.3)/(N+0.4)
with quadratic fittings
0 200 400 600 800 1000 1200 1400 1600 1800 2000
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Time (hours)
R
(
t
)
F(tn)=n/N
F(tn)=n/(N+1)
F(tn)=(n0.3)/(N+0.4)
For large N, the difference between different options is negligible.
42
Grouped Complete Data
If for N number of units at the start of the test, the failure data are reported in terms of the
number n
k
of units surviving prior to failures at ordered times t
k
(k 0, 1, . . . , K) instead
of individual failure times, the data are referred to as grouped data. Then for t
k1
t < t
k
(k 1, 2, . . . , K)

R(t)
n
k
N
(I)

F(t) 1

R(t) 1
n
k
N

f (t)

R(t
k
)

R(t
k1
)
t
k
t
n1

n
k1
n
k
(t
k
t
k1
)N
,

(t
k
)

f (t
k
)

R
(t
n
)
n
k1
n
k
(t
k
t
k1
)n
k
.
Example 6
Plot

f (t
k
) and R(t
k
) for the data of Example 5 for grouping in time intervals t
k1
t < t
k
with t
k
= 0, 200 , 400, 700, 1000, 1500, 2500.
Solution
t
k
(hours) n
k
200 8
400 7
700 5
1000 3
1500 1
2500 0
43
0 500 1000 1500 2000 2500
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x 10
3
Time (hours)
f
(
t
)
Grouped Data
f(tn)=n/N
f(tn)=n/(N+1)
f(tn)=(n0.3)/(N+0.4)
with quadratic fittings
Ungrouped Censored Data
Sometimes it is necessary to remove points from test data due to wearout, systematic
errors etc. The removal process is called sensoring. One way to account for sensoring is
to use the Lewis product limit estimator:

R(t
k
)
n
k
+ 1
N + 1
>

R(t
k
)
n
k
+ 1
n
k1
+ 1

R(t
k1
).
Here n
k
is again the number of units surviving prior to failures at ordered times t
k
. The
interpretation of the quantity
n
k
+ 1
n
k1
+ 1
is that it is the conditional probability that the unit
will survive from t
k1
to t
k
, giv en that it has survived until t
k1
.
Another product limit estimator is the Kaplan-Meier estimator:

R(t
k
)

'

1 for t
0
0
uncensored k

1
1
n
k
+ 1
_
,
otherwise.
Again,

f (t)

R(t
k
)

R(t
k1
)
t
k
t
k1
(t
k1
t < t
k
for k uncensored).
44
Example 7
Plot

f (t
k
) and

R(t
k
) for the data of Example 5 for sensoring at times t = 350, 800 and
1300 h using the Lewis and Kaplan-Meier product limit estimators.
k 1 2 3 4 5 6 7 8 9 10
t
k
(h) 170 350
+
500 650 800
+
960 1100 1300
+
1800 2200
Solution
Using the Lewis estimator
k t
k

R(t
k
)
0 0 1
1 170 10/11 = 0.9091
2 350
+
3 500 (8/9)*0.9091 = 0.8081
4 650 (7/8)*0.8081 = 0.7071
5 800
+
6 960 (5/6)*0.7071 = 0.5892
7 1100 (4/5)*0.5892 = 0.4714
8 1300
+
9 1800 (2/3)*0.4714 = 0.3143
10 2200 (1/2)*0.3143 = 0.1572
Using the Kaplan-Meier estimator
k t
k

R(t
k
)
0 0 1
1 170 1-1/10 = 0.9000
2 350
+
3 500 (1-1/8)*0.9000 = 0.7875
4 650 (1-1/7)*0.7875 = 0.6750
5 800
+
6 960 (1-1/5)*0.6750 = 0.5400
7 1100 (1-1/4)*0.5400 = 0.4050
8 1300
+
9 1800 (1-1/2)*0.4050 = 0.2025
10 2200 (1-1/1)*0.3143 = 0
45
0 500 1000 1500 2000 2500
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x 10
3
Time (hours)
f
(
t
)
Lewis
KaplanMeier
f(tn)=(n0.3)/(N+0.4)
with quadratic fittings