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Exact prediction intervals for exponential lifetime based on random sample size
K. S. Sultan a; A. H. Abd Ellah b
a
Department of Statistics & Operations Research, College of Science, King Saud University, Riyadh, Saudi
Arabia b Department of Mathematics, Teachers College, Riyadh, Saudi Arabia

Online Publication Date: 01 January 2006

To cite this Article Sultan, K. S. and Ellah, A. H. Abd(2006)'Exact prediction intervals for exponential lifetime based on random sample
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 International Journal of Computer Mathematics
Vol. 83, No. 12, December 2006, 867–878

Exact prediction intervals for exponential lifetime based on

random sample size
K. S. SULTAN*† and A. H. ABD ELLAH‡
†Department of Statistics & Operations Research, College of Science, King Saud University,
PO Box 2455, Riyadh 11451, Saudi Arabia
Downloaded By: [University of Connecticut] At: 16:15 14 September 2009

‡Department of Mathematics, Teachers College, Riyadh 11491, PO Box 4341, Saudi Arabia

(Received 22 November 2005; revised version received 6 October 2006; accepted 30 October 2006 )

In this paper, we generalize the work by Lawless (1971) and Lingappaiah (1973) for predicting future
order statistics from exponential lifetime when the sample size is a random variable. First, we derive
the distributions of some pivotal quantities that can be used to predict future order statistics from
exponential lifetime when the sample size is Poisson and binomial distributed. Next, we calculate
the percentage points (factors) of the predictive distributions and use them to construct predictive
confidence intervals for the future order statistics. To show the usefulness of our results, we present
some simulation experiments. Finally, we apply our techniques to some real data sets in life testing.

Keywords: Order statistics; Random sample size; Predictive interval; Probability coverage; Average
width

1. Introduction

A frequent problem in the field of life testing is to predict the future lifetime of items under
experiment. Prediction problems have been discussed by many authors, for example Aitchison
and Dunsmore [1], Dunsmore [2], Hahn and Meeker [3], Likes [4], Patel [5], Arnold et al. [6],
Geisser [7] and Nagaraja [8].
Lawless [9] have used the first r order statistics X1:n , X2:n , . . . , Xr:n from exponential
lifetime to predict the sth order statistic Xs:n when the sample size n is fixed, while Lingappaiah
[10] have discussed the same problem based on different statistic. The statistics proposed by
Lawless [9] and Lingappaiah [10] are given, respectively, by

Xs:n − Xr:n
Statistic-1: W = , (see [9]), (1)
Sr
Xs:n − Xr:n
Statistic-2: U = , (see [10]), (2)
Xr:n

*Corresponding author. Email: ksultan@ksu.du.sa

International Journal of Computer Mathematics

ISSN 0020-7160 print/ISSN 1029-0265 online © 2006 Taylor & Francis
http://www.tandf.co.uk/journals
DOI: 10.1080/00207160601117222
 868 K. S. Sultan and A. H. Abd Ellah

where

r
Sr = xi:n + (n − r)xr:n . (3)
i=1

The prediction problem associated with the exponential lifetime appears in many live testing
applications with probability density function (pdf) given by

f (x) = θ e−xθ , θ > 0, x > 0. (4)

Many authors have constructed prediction intervals for future order statistics from exponential
lifetime, see for example Geisser [7] and Soliman and Abd Ellah [11]. Balakrishnan and Lin
[12] have developed exact prediction intervals for failure times from one-parameter and two-
parameter exponential distributions based on doubly Type-II censored samples. Balakrishnan
Downloaded By: [University of Connecticut] At: 16:15 14 September 2009

and Lin [13] have developed exact prediction intervals for failure times of the items censored
at the last observation from one-parameter and two-parameter exponential distributions based
on general progressively Type-II censored samples.
All the earlier work in this direction has been carried out under the assumption that the
sample size is fixed. The aim of this paper is to develop prediction intervals for the sth order
statistic by using the first r order statistics under the assumptions that the sample size is
a random variable. Lingappaiah [14] has discussed Bayesian prediction in exponential life
testing when the sample size is random. Soliman [15, 16] has discussed Bayesian prediction
for Pareto lifetime with random sample size in both one- and two-sample cases.
After constructing the prediction intervals for the future exponential lifetime (order statis-
tics) when the sample size is Poisson distributed in section 2, we consider the same problem
when the sample size is binomial distributed in section 3. In order to show the usefulness of
our technique presented in this paper, we calculate in section 4, the probability coverage and
the average width for the developed confidence intervals through Monte Carlo simulations.
Finally, in section 5, we discuss some real applications in life testing.

2. Poisson distributed sample size P(n, λ)

In this section we use Statistic-1 and Statistic-2 given in (1) and (2), respectively, to predict
the future order statistics from the exponential lifetime model in (4) when the sample size is
a random variable and is Poisson distributed

e−λ λn
P (n; λ) = , n = 0, 1, 2, . . . , λ > 0. (5)
n!
Let  denote the statistic used for predicting the future lifetime Xs:n when the first r order
lifetimes are available and the sample size is distributed as in (5). The pdf of  may written
as (for more details, see Raghunandanan and Patil [17] and Buhrman [18]).

 ∞
1
f (ω) = P (n; λ)f (ω | n), (6)
Pr (n ≥ s) n=s

where f (ω | n) is the pdf of  when the sample size is fixed (see Lawless [9] and Lingappaiah
[10]). It is easy to show that f (ω) = f (ω | n) when n is fixed.
The following two theorems state the distributions of Statistic-1 and Statistic-2 given in
(1) and (2), respectively, when the sample size n is a random variable distributed as P (n; λ).
 Prediction intervals for exponential lifetime 869

THEOREM 2.1 Let X1:n , X2:n , . . . , Xr:n be the first r order statistics from the exponential
distribution given in (4) and assume that the sample size n is a random variable and is Poisson
distributed P (n; λ), as given in (5). Then Statistic-1 given in (1) has the density function
 
s−r −1
 (−1) λ (m + s − r)!
i m
∞ s−r−1
i
fW (w) = C1 , w > 0, (7)
m=0 i=0
m!(m + s)![1 + (m + i + 1)w]r+1

where
rλm e−λ
C1 =   . (8)
(s − r − 1)! 1 − s−1 n −λ
n=0 λ e /n!
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Proof See Appendix A. 

From Theorem 2.1, the cumulative distribution function (cdf) FW (w) of Statistic-1 is
obtained as
 
s−r −1
∞ s−r−1 (−1) i m
λ (m + s − r)!
C1   i
FW (w) = 1 − , (9)
r m=0 i=0 m!(m + s)!(m + i + 1)[1 + (m + i + 1)w]r

where C1 is give in (8).

The (1 − α)100% predictive confidence interval for the future order statistic Xs:n in (1)
when the sample size is distributed as P (n; λ) is given by

Pr(xr:n < Xs:n < xr:n + wSr ) = 1 − α, (10)

where Sr is given in (3) and w represents the (1 − α) percentage point of FW (·) given in (9)
that can be obtained by solving the nonlinear equation

FW (w) = 1 − α. (11)

THEOREM 2.2 Let X1:n , X2:n , . . . , Xr:n be the first r order statistics from the exponential
distribution given in (4) and assume that the sample size n is random variable distributed as
Poisson P (n; λ) given in (5). Then Statistic-2 given in (2) has its density function as
  
s−r −1 r −1
∞ s−r−1
  r−1 (−1)i+j λn
j i
fU (u) = C2 , (12)
n=s j =0 i=0
n!(n − s)![u(n − s + i + 1) + (n − r + j + 1)]2

where
e−λ
C2 =   . (13)
(r − 1)!(s − r − 1)! 1 − s−1
n=0 (λ n e−λ )/n!

Proof Similar to proof of Theorem 2.1. 

 870 K. S. Sultan and A. H. Abd Ellah

From Theorem 2, the cdf of Statistic-2 is obtained as

  
i+j ns−r −1 r −1
∞ s−r−1
  r−1 (−1) λ
j i
FU (u) = C2
n=s j =0 i=0
n!(n − s)!(n − s + j + 1)

1 1
× − , (14)
n − r + i + 1 (n − r + i + 1) + (n − s + j + 1)u

where C2 is give in (13).

Again the (1 − α)100% predictive confidence interval for the future order statistic Xs:n in
(2) when the sample size is distributed as P (n; λ) is given by
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Pr(xr:n < Xs:n < (1 + u)xr:n ) = 1 − α, (15)

where u represents the (1 − α) percentage point of FU (·) given in (14) that can be obtained
by solving the nonlinear equation

FU (u) = 1 − α. (16)

3. Binomial distributed sample size B(n, M, p)

By following the same steps as in the previous section, we use Statistic-1 and Statistic-2 given
in (1) and (2), respectively, to predict the future order statistics from the exponential lifetime
model in (4) when the sample size is binomial distributed B(n; M, p). We may consider
M here to be the sample size of a large population and our experiment is conducted on a
sub-population having random sample size n.
 
M n
B(n; M, p) = p (1 − p)M−n , n = 0, 1, 2, . . . , M, (17)
n

where M represents the sample size of the large population.

Once again, assume  denotes the statistic used for predicting the future lifetime Xs:n when
the first r order lifetimes are available and the sample size is distributed according (17), then
the pdf of  may be written as (for more details, see Raghunandanan and Patil [17] and
Buhrman [18])

1  M
g (ω) = B(n; M, p)f (ω | n), (18)
Pr (n ≥ s) n=s

where f (ω | n) is the pdf of  when the sample size is fixed (see Lawless [9] and Lingappaiah
[10]). It is easy to show that g (ω) = f (ω | n) when n is fixed.
The distributions of Statistic-1 and Statistic-2 when n ∼ B(n; M, p) are given in the
following two theorems.

THEOREM 3.1 Let X1:n , X2:n , . . . , Xr:n be the first r order statistics from the exponential
distribution given in (4) and assume the sample size n is a random variable and is binomial
 Prediction intervals for exponential lifetime 871

distributed B(n; M, p), as given in (3.1). Then Statistic-1 given in (1) has density function
  
m M−m−s m − s s−r −1
 (−1) (1 − p) p
i
 s−r−1
M−s
m i
gW (w) = K1 , w > 0, (19)
m=0 i=0
[1 + (M − m − s + i + 1)w] r+1

where  
m−2
rps M(M − 1)
r − 1, s − r − 1
K1 =    . (20)
s−1 m n
(s − r − 1)! 1 − n=0 p (1 − p)M−n
n
Proof Similar to proof of Theorem 2.1. 
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From Theorem 3.1, the cdf of Statistic-1 is obtained as

  
m−s s−r −1
(1 − p)m p M−m−s (−1)i
K1  
M−s s−r−1
m i
GW (w) = 1 − , (21)
r m=0 i=0 (M − m − s + i + 1)[1 + (M − m − s + i + 1)w]r

where K1 is give in (20).

The (1 − α)100% predictive confidence interval for the future order statistic Xs:n in (1)
when the sample size is distributed as B(n; M, p) is given by
Pr(xr:n < Xs:n < xr:n + wSr ) = 1 − α, (22)
where Sr is given in (3) and w represents the (1 − α) percentage point of GW (·) given in (21),
which can be obtained by solving the nonlinear equation
GW (w) = 1 − α. (23)

THEOREM 3.2 Let X1:n , X2:n , . . . , Xr:n be the first r order statistics from the exponential
distribution given in (4) and assume the sample size n is a random variable and is binomial
distributed B(n; M, p), as given in (17). Then Statistic-2 given in (2) has density function
   
i+j m+s M−m−s M − s s−r −1 r −1
 s−r−1
M−s   r−1 (−1) p q
m+s j i
gU (u) = K2 , (24)
m=0 j =0 i=0
m![u(m + 1 + i) + (m + s − r + j + 1)] 2

where

s−1  
 M
K2−1 = (r − 1)!(s − r − 1)! 1 − p q n M−n
. (25)
n=0
n

Proof Similar to proof of Theorem 2.1. 

From Theorem 3.2, the cdf of Statistic-2 is obtained as

   
i+j m+s M−m−s M − s s−r −1 r −1
 s−r−1
M−s   r−1 (−1) p q
m+s j i
GU (u) = K2
m=0 j =0 i=0
m!(m + s − r + j + 1)

1 1
× − , (26)
m+1+i (m + 1 + i) + (m + s − r + j + 1)u
where K2 is give in (25).
 872 K. S. Sultan and A. H. Abd Ellah

The (1 − α)100% predictive confidence interval for the future order statistic Xs:n in (2)
when the sample size distributed as B(n; M, p) is given by

Pr(xr:n < Xs:n < (1 + u)xr:n ) = 1 − α, (27)

where u represents the (1 − α) percentage point of GU (·) given in (26), which can be obtained
by solving the nonlinear equation

GU (u) = 1 − α. (28)

Remark 1 The pdfs of Statistic-1 and Statistic-2 given in (7), (12), (19) and (24) reduce to
those of Lawless [9] and Lingappaiah [10] when the sample size is fixed.
Downloaded By: [University of Connecticut] At: 16:15 14 September 2009

4. Simulation experiments

The percentage points of the distributions of Statistic-1 and Statistic-2 when the sample size
n is distributed as P (n; λ) and b(n; M, p) were calculated. The routine DZREAL from the
IMSL were used for solving the nonlinear equations with n distributed as: (i) Possion P (n; λ)

Table 1. Probability coverage based on Statistic-1.

Fixed sample size n ∼ P (n; λ) n ∼ B(n; p, 15)

r s 90% 95% λ 90% 95% p 90% 95%

5 6 0.9005 0.9501 1 0.9910 0.9974 0.25 0.9847 0.9951

2 0.9923 0.9979 0.50 0.9064 0.9660
3 0.9905 0.9983 0.75 0.7944 0.8784
7 0.9017 0.9538 1 0.9910 0.9963 0.25 0.9873 0.9952
2 0.9908 0.9963 0.50 0.9470 0.9816
3 0.9927 0.9966 0.75 0.8375 0.9179
8 0.9014 0.9496 1 0.9854 0.9944 0.25 0.9803 0.9925
2 0.9846 0.9944 0.50 0.9474 0.9802
3 0.9848 0.9951 0.75 0.8530 0.9265
9 0.8987 0.9499 1 0.9617 0.9843 0.25 0.9541 0.9821
2 0.9615 0.9845 0.50 0.9212 0.9645
3 0.9594 0.9842 0.75 0.8272 0.9149
10 0.8988 0.9506 1 0.8726 0.9381 0.25 0.8648 0.9330
2 0.8708 0.9334 0.50 0.8193 0.8980
3 0.8673 0.9319 0.75 0.7124 0.8441
7 8 0.8982 0.9517 1 0.9729 0.9925 0.25 0.9870 0.9972
2 0.9864 0.9960 0.50 0.9451 0.9861
3 0.9538 0.9884 0.75 0.8167 0.9010
9 0.9010 0.9511 1 0.9605 0.9817 0.25 0.9742 0.9903
2 0.9715 0.9881 0.50 0.9379 0.9765
3 0.9356 0.9734 0.75 0.8296 0.9132
10 0.8986 0.9498 1 0.8562 0.9277 0.25 0.8881 0.9416
2 0.8825 0.9406 0.50 0.8398 0.9123
3 0.8193 0.9074 0.75 0.7069 0.8305
9 10 0.8984 0.9511 1 0.6914 0.8272 0.25 0.7628 0.8689
2 0.8695 0.9314 0.50 0.7120 0.8433
3 0.6314 0.7909 0.75 0.5144 0.6772
 Prediction intervals for exponential lifetime 873

with λ = 1, 2, 3; and (ii) binomial B(n; M; p) with M = 15 and p = 0.25, 0.50, 0.75. Tables
for different choices of r, s and α are available from the authors upon request.
In order to examine the efficiency of our technique when the sample size is a random
variable, the probability coverages and average width of the predictive confidence intervals
are calculated based on 10 000 simulations in tables 1, 2, 3 and 4. From tables 1 and 2, we see
that the probability coverages are quite close to the corresponding confidence levels including
90% and 95%. From tables 3 and 4, we see that in each case the average width decreases
as both λ and p increase. Also, the average width increases as r increases and s decreases.
Completeness and comparison data, the probability coverages and the average width in the
case of fixed sample size are also given in tables 1, 2, 3 and 4. In conclusion, we can say that
our new technique presented in this paper for the case of random sample size is satisfactory,
as is also the technique when the sample size is fixed.
By making use of percentage points, we simulate some numerical examples of random
Downloaded By: [University of Connecticut] At: 16:15 14 September 2009

sample size from the exponential lifetime when the sample size distributed as P (n; 2) and
B(n; 15, 0.5) as follows.

Example 4.1 By using the IMSL routines, the truncated Poisson P (n; 2) generator gives the
sample size n = 11. Next, we generate 11 order statistics from exponential with mean 1 as
follows:

0.107, 0.107, 0.569, 0.929, 1.061, 1.240, 1.546, 1.626, 1.778, 1.951, 2.413.

Table 2. Probability coverage based on Statistic-2.

Fixed sample size n ∼ P (n; λ) n ∼ B(n; p, 15)

r s 90% 95% λ 90% 95% p 90% 95%

5 6 0.8998 0.9500 1 0.8992 0.9459 0.25 0.8751 0.9359

2 0.8860 0.9408 0.50 0.8134 0.8863
3 0.8716 0.9356 0.75 0.7014 0.7894
7 0.9026 0.2527 1 0.9392 0.9665 0.25 0.9270 0.9641
2 0.9274 0.9690 0.50 0.8848 0.9392
3 0.9206 0.9629 0.75 0.7686 0.8505
8 0.9007 0.9516 1 0.9395 .9719 0.25 0.9338 0.9683
2 0.9372 0.9717 0.50 0.9077 0.9516
3 0.9284 0.9703 0.75 0.8052 0.8851
9 0.8992 0.9507 1 0.9300 0.9694 0.25 0.9245 0.9661
2 0.9269 0.9655 0.50 0.9013 0.9533
3 0.9168 0.9609 0.75 0.8014 0.8902
10 0.8989 0.9493 1 0.8651 0.9283 0.25 0.8614 0.9236
2 0.8603 0.9261 0.50 0.8376 0.9127
3 0.8471 0.9221 0.75 0.7433 0.8482
7 8 0.8995 0.2521 1 0.8886 0.9418 0.25 0.8773 0.9343
2 0.8764 0.9370 0.50 0.8270 0.8948
3 0.8632 0.9295 0.75 0.7106 0.7978
9 0.9023 0.9511 1 0.9022 0.9554 0.25 0.8936 0.9476
2 0.8986 0.9508 0.50 0.8575 0.9320
3 0.8915 0.9446 0.75 0.7564 0.8451
10 0.8956 0.9521 1 0.8537 0.9137 0.25 0.8452 0.9088
2 0.8343 0.9083 0.50 0.8094 0.8903
3 0.8356 0.9013 0.75 0.7084 0.8131
9 10 0.8979 0.9518 1 0.7878 0.8745 0.25 0.7804 0.8690
2 0.7839 0.8657 0.50 0.7557 0.8435
3 0.7711 0.8585 0.75 0.6511 0.7564
 874 K. S. Sultan and A. H. Abd Ellah

Table 3. Average width based on Statistic-1.

Fixed sample size n ∼ P (n; λ) n ∼ B(n; p, 15)

r s 90% 95% λ 90% 95% p 90% 95%

5 6 0.5828 0.8170 1 2.7377 3.8718 0.25 2.3604 3.4057

2 2.5511 3.6452 0.50 1.3380 2.0357
3 2.3420 3.3834 0.75 0.5158 0.7462
7 1.1692 1.5622 1 3.7619 5.0900 0.25 3.4422 4.7067
2 3.5784 4.8710 0.50 2.4092 3.4050
3 3.3643 4.6115 0.75 1.0466 1.4600
8 1.9284 2.5281 1 4.4212 5.8767 0.25 4.1794 5.5803
2 4.2524 5.6732 0.50 3.2972 4.4971
3 4.0508 5.4299 0.75 1.6979 2.3422
9 3.0726 3.9942 1 4.9140 6.4611 0.25 4.7442 6.2576
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2 4.7595 6.2798 0.50 4.0357 5.3920

3 4.5722 6.0571 0.75 2.4821 3.3838
10 5.4438 7.0957 1 5.3064 6.9309 0.25 5.2022 6.8025
2 5.1681 6.7673 0.50 4.6535 6.1365
3 4.9965 6.5599 0.75 3.3403 4.4824
7 8 0.9037 1.2393 1 4.5901 3.5746 0.25 2.4228 3.3764
2 2.4525 3.4141 0.50 1.7994 2.6102
3 2.3071 3.4214 0.75 0.7657 1.1273
9 1.9934 2.6005 1 3.4978 4.6129 0.25 3.3757 4.2722
2 3.3575 4.4505 0.50 2.8209 3.8151
3 3.2104 4.2820 0.75 1.5621 2.1871
10 4.1852 5.3952 1 4.0714 5.2655 0.25 3.9999 5.1861
2 3.9379 5.1114 0.50 3.5624 4.6756
3 3.7991 4.9527 0.75 2.4205 3.2712
9 10 2.6072 3.5311 1 2.5135 3.4249 0.25 2.4510 3.3533
2 2.4057 3.3006 0.50 2.1176 2.9614
3 2.3072 3.1894 0.75 1.2815 1.8860

The first six of the above order statistics are used together with the percentage points
of Statistic-2 that were calculated from (16), then the predictive confidence interval (15) is
constructed for r = 6 and s = 7, 8, 9, 10 in table 5, from which we see that both the upper
and lower 1 − α bounds of the predictive intervals are greater than x6:11 = 1.24. Also, the
bounds increase as the significant level increases as well as s increases. Further, we notice that
the generated order statistics starting from the 7th all belong to the corresponding estimated
predictive confidence intervals.

Example 4.2 By using the IMSL routines, the truncated binomial generator B(n; 15, 0.25)
gives the sample size n = 11. Again, we generate 11 order statistics from the exponential:

0.017, 0.173, 0.183, 0.223, 0.382, 0.391, 0.499, 0.581, 0.687, 2.165, 2.632.

Once again, these were obtained by making use the first six of the above order statistics
together with the calculated percentage points of Statistic-2 by solving the nonlinear equation
(28). Then predictive confidence interval for the future order statistics when r = 6 and s =
7, 8, 9, 10 are estimated according to (27) as given in table 6.
Again, from table 6 we see that both the upper and lower (1 − α) bounds of the predictive
confidence intervals are greater than x6:11 = 0.391. Also, these bounds increase as the signifi-
cance level increases, while s also increases. Notice that the generated order statistics starting
from the 7th all belong to the corresponding estimated predictive confidence intervals.
 Prediction intervals for exponential lifetime 875

Table 4. Average width based on Statistic-2.

Fixed sample size n ∼ P (n; λ) n ∼ B(n; p, 15)

r s 90% 95% λ 90% 95% p 90% 95%

5 6 0.5867 0.8242 1 2.7591 3.9113 0.25 2.2901 3.2705

2 2.4874 3.5410 0.50 1.2345 1.7789
3 2.2474 3.2132 0.75 0.5045 0.7114
7 1.1785 1.5770 1 4.9471 6.7056 0.25 4.2609 5.7990
2 4.5140 6.1361 0.50 2.5129 3.4517
3 4.1343 5.6366 0.75 1.0049 1.3555
8 1.9443 2.5526 1 7.1201 9.4708 0.25 6.2753 8.3688
2 6.5439 8.7236 0.50 3.9562 5.3154
3 6.0430 8.0745 0.75 1.6233 2.1601
9 3.0986 4.0343 1 9.3354 12.2843 0.25 8.3609 11.0195
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2 8.6235 11.3675 0.50 5.5364 7.3379

3 8.0100 10.5785 0.75 2.4161 3.1977
10 5.4903 7.1635 1 11.6039 15.1607 0.25 10.5173 13.7527
2 10.7598 14.0779 0.50 7.2204 9.4795
3 10.0382 13.1552 0.75 3.4033 4.4831
7 8 0.9161 1.2604 1 2.6210 3.6360 0.25 2.4146 3.3659
2 2.4618 3.4287 0.50 1.6791 2.3740
3 2.2404 3.1339 0.75 0.7295 1.0208
9 2.0253 2.6510 1 4.5105 5.9662 0.25 4.2491 5.6344
2 4.2751 5.6708 0.50 3.1706 4.2441
3 3.9307 5.2297 0.75 1.5000 2.0091
10 4.2552 5.5036 1 6.3174 8.1877 0.25 6.0354 7.8318
2 6.0199 7.8189 0.50 4.7088 6.1486
3 5.5690 7.2503 0.75 2.4524 3.2236
9 10 2.6963 3.6835 1 2.5820 3.5396 0.25 2.4781 3.4046
2 2.4406 3.3584 0.50 2.0765 2.8832
3 2.2593 3.1211 0.75 1.2042 1.6923

Table 5. Predictive confidence interval.

r s 1% 2.5% 5% 10% 90% 95% 97.5% 99%

6 7 1.2468 1.2572 1.2749 1.3124 3.2993 4.1343 5.0849 6.5390

6 8 1.3291 1.3871 1.4591 1.5754 4.8862 6.1256 7.5171 9.6254
6 9 1.4837 1.5936 1.7187 1.9077 6.4412 8.0685 9.8854 12.6276
6 10 1.6798 1.8403 2.0168 2.2756 8.0145 10.0296 12.2706 15.6433

Table 6. Predictive confidence interval.

r s 1% 2.5% 5% 10% 90% 95% 97.5% 99%

6 7 0.3928 0.3960 0.4013 0.4127 1.0220 1.2798 1.5738 2.0242

6 8 0.4185 0.4366 0.4590 0.4952 1.5292 1.9171 2.3527 3.0126
6 9 0.4680 0.5028 0.5424 0.6022 2.0340 2.5475 3.1210 3.9861
6 10 0.5318 0.5833 0.6398 0.7226 2.5492 3.1889 3.9005 4.9715

5. Applications

In this section, we apply our predictive technique to some real data that follow the exponential
distribution as listed below.
 876 K. S. Sultan and A. H. Abd Ellah

Table 7. Predictive confidence intervals.

1−α Sample size Statistic-1 Statistic-2

Fixed, n = 10 (173.10 , 435.70) (173.10 , 435.00)

95% P (n; 1) (185.60 , 1655.90) (176.30 , 749.50)
B(n; 15, 0.25) (180.90 , 1402.90) (175.30 , 678.30)
Fixed (170.60 , 684.90) (170.60 , 684.80)
99% P (n; 1) (173.00 , 3879.50) (171.20 , 1311.10)
B(n; 15, 0.25) (172.10 , 2674.50) (171.00 , 1184.80)

Table 8. Predictive confidence intervals.

s 1−α Sample size Statistic-1 Statistic-2

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Fixed, n = 10 (72.39 , 282.77) (71.87 , 244.22)

10 95% P (n; 1) (72.18 , 276.81) (71.77 , 239.74)
B(n; 15, 0.25) (72.39 , 282.65) (71.87 , 244.22)
Fixed (74.96 , 350.48) (73.85 , 301.85)
10 99% P (n; 1) (74.54 , 343.46) (73.66 , 296.52)
B(n; 15, 0.25) (74.96 , 350.43) (73.85 , 301.85)

(i) Consider the data given in Lawless [9], in which the test is terminated after four failures,
they are 30, 90, 120 and 170 hours. By using these four times and applying our pre-
dictive confidence intervals given in sections 2 and 3, we may able to predict the 95%
and 99% predictive confidence intervals for the fifth failure when the sample size n is
distributed as P (n; 1) and B(n; 15, 0.25). Then predictive confidence intervals when the
sample size is fixed are also calculated, as given in table 7. From table 7 we see that the
lower bound of the predictive intervals for the same significance level are quite close.
Also, both Statistic-1 and Statistic-2 give almost the same results for both fixed and ran-
dom sample sizes. In addition, the interval width increases as the level of prediction
increases.
(ii) The following data given by Proschan [19] are times between successive failure of
air conditioning equipment in a Boeing 720 airplane, arranged in increasing order of
magnitude. The first nine of the data points are 12, 21, 26, 29, 29, 48, 57, 59 and
70. Upon using the percentage points of Statistic-1 and Statistic-2 given in sections 2
and 3, we predict 95% and 99% confidence intervals for the 10th observation given in
table 8.

From table 8 we see that the predictive confidence intervals are quite close for the same
significance level and their widths increase as the prediction level increases. We also notice
that Statistic-1 gives intervals more widely spaced than the intervals based on Statistic-2.
For more applications, see Lawless [20] and Nelson [21].

Acknowledgements

The authors would like to thank the referees for their helpful comments, which improved the
presentation of the paper.
 Prediction intervals for exponential lifetime 877

Appendix A: Proof of Theorem 2.1

The joint pdf of the rth and sth, (r < s) order statistics when the sample size n follows Poisson
pmf with mean λ can be written from (6) as
∞
 λn e−λ
1
fX,Y (x, y) = [F (x)]r−1 [F (y) − F (x)]s−r−1
Pr (n ≥ s)(r − 1)!(s − r − 1)! n=s (n − s)!

× [1 − F (y)]n−s f (x)f (y), X = Xr:n , Y = Xs:n . (A1)

From (4) and (A1), we have
∞
λs e−λ λm
fX,Y (x, y) = [1 − e−θ x ]r−1 [e−θ x − e−θy ]s−r−1
Pr (n ≥ s)(r − 1)!(s − r − 1)! m=0 m!
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× [e−θy ]m θ e−θx θ e−θy . (A2)

By using the transform V = Y − X in (A2), we derive the joint pdf of X and V as
∞
λs e−λ λm
fX,V (x, v) = [1 − e−θ x ]r−1
Pr(n ≥ s)(r − 1)!(s − r − 1)! m=0 m!
 
−θx −θ(x+v) s−r−1 −θ (x+v) m −θ x
 
−θ (x+v)  dy 
× [e −e ] [e ] θe θ e  dv  . (A3)

Hence the marginal pdf of V = Y − X is given by

∞

λs e−λ λm (m + s − r)! −θ v−θ mv
fV (v) = θe [1 − e−θ v ]s−r−1 . (A4)
Pr (n ≥ s)(s − r − 1)! m=0 m!(m + s)!

The pdf of the denominator of (1), [T = Sr = ri=1 xi:n + (n − r)xr:n ] is given by
θ r t r−1 −θ t
fT (t) = e , (A5)
(r − 1)!
since V = Y − X and T = Sr are independent, then
∞

λs e−λ θ r+1 t r−1 e−θ(v+t) λm (m + s − r)! −θ mv
fV ,T (v, t) = e [1 − e−θ v ]s−r−1 .
Pr (n ≥ s)(s − r − 1)!(r − 1)! m=0 m!(m + s)!
(A6)
Again by using the transform W = V /T in (A6), we derive the joint pdf of W and T as
∞
λs e−λ θ r+1 λm (m + s − r)!
fW,T (w, t) =
Pr (n ≥ s)(s − r − 1)!(r − 1)! m=0 m!(m + s)!

× t r e−θ(1+w+mw)t [1 − e−θ wt ]s−r−1

∞
λs e−λ θ r+1 λm (m + s − r)!
=
Pr(n ≥ s)(s − r − 1)!(r − 1)! m=0 m!(m + s)!


s−r−1  
s − r − 1 −θ iwt
× t r e−θ(1+w+mw)t (−1)i e . (A7)
i=0
i
By integrating (A7) over T , we have the pdf of Statistic-1 given in (1), and hence Theorem 2.1
is proved. 
 878 K. S. Sultan and A. H. Abd Ellah

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