CH4

Guideline for Offshore Structural Reliability Analysis - General Page No.
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Report No. 95-2018 Chapter 4
Skjong,R, E.B.Gregersen, E.Cramer, A.Croker, .Hagen, G.Korneliussen, S.Lacasse, I.Lotsberg, F.Nadim,K.O.Ronold (1995)
Guideline for Offshore Structural Reliability Analysis-General, DNV:95-2018
JANUARY 3, 1995
4. UNCERTAINTY MODELLING 76
4.1 Steps in Uncertainty Modelling 76
4.2 Types of Uncertainties 76
4.2.1 Aleatory Uncertainty 76
4.2.2 Epistemic Uncertainty 76
4.3 Types of Distributions 78
4.3.1 Univariate Discrete Distributions 78
4.3.2 Univariate Continuous Distributions 79
4.3.2.1 Non-Parametric Models 79
4.3.2.2 Parametric Models 81
4.3.2.3 Extreme by Power N 84
4.3.3 Joint Description of Variables 84
4.3.3.1 Multidimensional Models 84
4.3.3.2 Sequence of Conditional Distributions 85
4.3.3.3 Nataf Correlation Model 85
4.4 Choice of Distribution Model 86
4.4.1 General 86
4.4.2 Well Known Stochastic Experiments 90
4.4.3 Probability Paper 90
4.4.4 Skewness and Kurtosis 90
4.4.5 TTT plot 91
4.5 Methods for Estimation of Distribution Parameters 92
4.5.1 Plot of Data on Probability Paper (Graphic Procedure) 92
4.5.2 Least-Squares Fit Methods 92
4.5.3 Maximum Likelihood Method 94
4.5.4 Method of Moments 95
4.5.5 Bayes-estimation 95
4.5.6 The Bootstrap Estimate of Standard Error 96
4.6 Verification of Fitted Distributions 98
4.6.1 Subjective Judgement 98
4.6.2
2
test 98
4.6.3 Kolmogorov-Smirnov Test 99
REFERENCES 100
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76
4. Uncertainty Modelling
4.1 Steps in Uncertainty Modelling
In general, the steps to be taken in order to model the uncertainty of the stochastic variables
entering the probabilistic model(s) are:
collect data
evaluate the dataset(s)
- types of uncertainties
- independent or dependent stochastic variables?
- independent observations?
- combination of uncertainties
choose probability distribution(s) to represent the data
- evaluate the underlying generating mechanisms
- parametric or nonparametric model?
- if parametric, which family of distributions?
estimate the distribution parameters (only parametric models)
- what accuracy is needed in which parts of the distribution?
verify the selected distribution models
4.2 Types of Uncertainties
Reliability analysis requires that all relevant uncertainties in the analysis procedure be taken into
account. Uncertainties associated with an engineering problem, due to the different sources, can
be divided into two groups: aleatory (natural) uncertainty and epistemic (knowledge) uncertainty.
This grouping of uncertainty sources is usually adequate. However, one shall be aware that other
types of uncertainties may be present, such as human gross errors which are not covered here.
The information about uncertainties should be introduced in reliability analyses in the form of
random (stochastic) variables.
4.2.1 Aleatory Uncertainty
Aleatory uncertainty is a natural randomness of a quantity, also known as intrinsic or inherent
uncertainty, e.g., soil natural variability from point to point, or the variability in wave and wind
loading over time. Aleatory uncertainty cannot be reduced or eliminated.
4.2.2 Epistemic Uncertainty
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77
Epistemic (knowledge) uncertainty represents errors which can be reduced by collecting more
information about a considered quantity and improving the methods of measuring it. This
uncertainty may be classified into:
Measurement Uncertainty Uncertainty due to imperfection of an instrument used to register
a quantity.
Measurement uncertainty may be described in terms of accuracy, see Bitner-Gregersen and
Hagen (1990). To characterise the accuracy of a measurement process it is necessary to indicate
both its systematic error (bias) and its precision (random error). Measurement uncertainty is
usually given by a manufacturer of an instrument. It can also be evaluated by a laboratory test or
full scale test.
If a considered quantity is not obtained directly from the measurements, but some estimation
process is interposed, e.g., the significant wave height, then the measurement uncertainty must be
combined with the estimation or model uncertainty, by appropriate means.
Statistical Uncertainty Uncertainty due to limited information such as a limited number
of observations of a quantity.
Statistical uncertainty may be referred to as estimation uncertainty. It is present not only because
the distribution parameters are estimated from a limited set of data, but it is also affected by the
type of estimation technique applied for evaluation of the distribution parameters. Statistical
uncertainty can be determined by employing simulation techniques or by use of the maximum
likelihood method as asymptotic results are available with this method.
Model Uncertainty Uncertainty due to imperfections and idealisations made in
physical model formulations for load and resistance as well as in
choices of probability distribution types for representation of
uncertainties.
Model uncertainties in a physical model for representation of load and/or resistance quantities
can be described by random factors, each defined as the ratio between the true quantity and the
quantity as predicted by the model. A mean value not equal to 1.0 expresses a bias in the model.
The standard deviation expresses the variability of the predictions by the model. An adequate
assessment of a model uncertainty factor may be available from sets of laboratory or field
measurements and predictions. Subjective choices of the distribution of a model uncertainty
factor will, however, often be necessary. The importance of a model uncertainty may vary from
case to case and can be studied by interpretation of parametric sensitivities.
Combination of uncertainties
Several sources of uncertainty may exist for a stochastic variable. If the various sources are
independent, the standard deviation of the total uncertainty may be calculated as

total i
i
=

2
1 2 /
(4. 1)
where
i
is the standard deviation of uncertainty source i.
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78
4.3 Types of Distributions
4.3.1 Univariate Discrete Distributions
If a random variable can only have an enumerable number of values it is called discrete and its
distribution is called discrete distribution. Some of the most important theoretical models are:
Binomial
Poisson
Negative Binomial
Hypergeometric
A number of other distributions exist, among these are combinations or truncated versions of the
distributions listed above and discrete versions of continuous distributions. Refer to Johnson and
Kotz (1969) for more details.
If the underlying generating mechanism of the random variable is not known, or satisfactory
estimates for the point probabilities of the possible realisations exists, the data (estimates of the
point probabilities) may be used directly.
Binomial Distribution
If N independent trials are made, and in each there is a probability p that the outcome E will
occur, then the number of trials in which E occurs may be represented as a Binomial distribution
with parameters N, p.
In a situation where the assumptions of independence and constant probability is not strictly
correct the model may still give a sufficient accurate representation.
Poisson Distribution
In addition to having N independent trials and constancy of the probability p from trial to trial, as
for the binomial distribution, it is assumed that N is large and p is small. The number of trials in
which the event of interest occurs may then be represented as a Poisson distribution with
parameter = Np. The distribution may be suitable when modelling the number of occurrences
of an event within a time interval or in a limited part of space.
Negative Binomial Distribution
The Negative Binomial distribution is frequently used as a substitute for the Poisson distribution
when it is doubtful whether the strict requirements, particularly independence, will be satisfied.
Among specific fields where negative binomial distributions have provided useful
representations are accident statistics, birth-and-death processes and psychological data.
One simple model leading to the Negative Binomial distribution is that representing the number
of independent trials necessary to obtain m occurrences of an event which has constant
probability p of occurring in each trial.
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79
Hypergeometric Distribution
There are two natural ways in which a Hypergeometric distribution arises naturally:
1. An urn contains N balls, X are white and (N-X) are black. n balls are drawn from the urn
without replacing any of the balls. The number of white balls among the n balls will then
have a Hypergeometric distribution with parameters n,X,N.
2. Consider two independent random samples of sizes n
1
and n
2
drawn from a population in
which a measured character has a continuous distribution. The number of observed values in
the second sample exceeding at least (n1-m+1) of the values in the first sample will have a
Hypergeometric distribution.
4.3.2 Univariate Continuous Distributions
A random variable X is continuous and has a continuous distribution if:
(i) F(x) is continuous
(ii)
d
dx
F x f x ( ) ( ) = exists for all x except for a finite number of values
(iii) f(x) is piecewise continuous
Under these assumptions the domain of X may consist of one or more finite or infinite intervals.
4.3.2.1 Non-Parametric Models
Assume n observations being realisations of n stochastic variables X
1
,...,X
n
with some
simultaneous distribution function. If the functional form of this simultaneous distribution is not
known, the model is called non-parametric.
Empirical Distribution
The empirical cumulative distribution is defined as:
F x
observations x
n
X
( )
#
=

(4. 2)
where n is the total number of observations.
Splined Distribution
A splined distribution interpolates or approximates data on some cumulative distribution
function. Arge and Dlen (1989) describes a spline model using linear combinations of B-splines
and constrained least squares approximation. B-splines are piecewise polynomials with local
support. For details see Arge and Dlen (1989), de Boor (1978) and Shumacher (1982). Various
constraints are forced on the spline function to ensure the properties of a distribution function. If
the density is forced to be unimodal, i.e., to have only one maximum, the spline function must be
three times continuously differentiable implying polynomials of order k = 5. If there is no
demand of unimodality order k = 4 is sufficient.
The distribution function F x
X
( ) is represented by a linear combination of B-splines:
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80
F x c B
X i
i
n
i k
( )
,
=
=
1
(4. 3)
The density spline function is found from:
f x c B k
c c
t t
X i
i
n
i k i
i i
i k i
( ) , ( )
'
,
'
= =

2
1
1
1
1 c (4. 4)
t = (t
1
,t
2
,...,t
n+k
) is the knotvector which generates the B-splines.
Some general constraints are forced on the spline function to ensure the properties of a
distribution. Lower and upper bounds, a and b, must be specified:
F a F b
X X
( ) , ( ) = = 0 1 (4. 5)
f x a x b
X
( ) , > < < 0 (4. 6)
Additional constraints may be included to ensure:
unimodal density
at most one inflection point on each side of the top point
vanishing or equal density at the endpoints
Figure 4. 1 shows an empirical distribution (histogram scaled to have area equal to 1) and two
splined distributions fitted to the empirical. The solid line represents a spline fit forced to be
unimodal and have at most 1 inflection points on each side of the top point. The dashed line
represents a spline fit which is only forced to have vanishing end points.
Figure 4. 1 Nonparametric Distributions
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81
4.3.2.2 Parametric Models
Assume n observations being realisations of n stochastic variables X
1
,...,X
n
with some
simultaneous distribution function. Based on prior knowledge one may assume some known
functional form of the distribution:
F x x
X X n r
n 1
1 1 ,...,
( ,..., ; ,..., ) (4. 7)
where
1
,...
r
are unknown parameters.
Some of the most commonly used parametric models are briefly described below. Truncated
versions exist for all non-bounded distributions. They should be used when the stochastic
variable for some reason is known to have lower and/or upper limits.
Beta Distribution
The beta distribution is a flexible tool for modelling a distribution of a bounded variable. It is
used, e.g., in economical applications of the reliability methods, for modelling of random phase
and other angular variables over the range (0,2), and for representation of long-term distribution
of spectral width over the range (0,1).
Birnbaum-Saunders Distribution
This distribution has been used as a lifetime distribution in fatigue. It is based on a stochastic
interpretation of the Miner-Palmgrens method.
Chi-square (
2
) Distribution
One important application of the distribution is its use in hypothesis testing. The
2
goodness-of-
fit test examines the goodness of fit of a set of data to a specific probability distribution.
Exponential Distribution
The exponential distribution is an important distribution with widespread use in statistical
procedures. Currently among the most prominent applications are those in the field of life-
testing. The lifetime (or life characteristic) can often be usefully represented by an exponential
random variable, with (usually) a relatively simple associated theory. The time intervals between
events in a Poisson process are exponentially distributed.
F-Distribution
Fisher's F-distribution is a special form of Pearsons Type VI distribution. The most common
application of the F-distribution is in standard tests associated with the analysis of variance, e.g.,
testing equality of variances of two normal populations.
Gamma Distribution
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82
The gamma distribution appears naturally in the theory associated with normally distributed
random variables, as the distribution of the sum of squares of independent unit normal variables
(a
2
distribution).
The use of the gamma distribution to approximate the distribution of quadratic forms
(particularly positive definite forms) in multinormally distributed variables is well-established
and widespread.
In applied work, gamma distributions give useful representations in theory of random counters
and other topics associated with random processes in time, in particular in meteorology.
Generalised Gamma Distribution
The generalised-gamma distribution is based on the ordinary gamma distribution. The
generalisation is obtained by a power transformation, see Appendix A. The convenience of the
generalisation lies mainly in the fact that cumulative and exceedance probabilities may be
calculated by the same routines as the ordinary gamma distribution, and that the moments may be
expressed as analytical functions. The generalised gamma distribution may also be extended to
more variables.
The generalised gamma distribution has some convenient properties with important applications
in long term extreme value and fatigue failure prediction.
Gumbel Distribution
The Gumbel distribution is also called the Type I asymptotic extreme value distribution of largest
values. It is used to model the extreme values of variables which have initial distributions
exponential or of the exponential type. It is applied to representation of extreme environmental
conditions and extreme environmental loads, and is also used in response analysis.
Hermite Transformation Model
The Hermite Transformation Model is applied to data which show weakly non-normal behaviour.
The model is based on the first four statistical moments. It is more flexible and has the ability to
reflect wider ranges of non-linearities than the commonly used Gram-Charlier and Edgeworth
series.
Inverse Gaussian Distribution
Also known as Wald's distribution. It has its origin in studies of Brownian motion and random
walk. Time to travel a fixed distance is Inverse Gaussian, distance travelled in a fixed time is
Gaussian.
Currently this distribution is being used as the distribution of the lifetime for a component, whose
failure rate (event rate, hazard rate) will increase until maximum is reached and then decrease
asymptotically towards a fixed non-zero value as the lifetime approaches infinity. (This is in
contradiction to lognormally distributed lifetimes whose failure rates decrease towards zero for
large lifetimes, and to exponentially distributed lifetimes whose failure rates are constant.)
Lognormal Distribution
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83
The lognormal distribution is a widely applied distribution in practical statistical work.
Application of the distribution is almost always based on empirical observations. In some rare
cases it can be supported by theoretical argument - the lognormal distribution is appropriate if the
variable is the product of a large number of independent quantities.
Normal Distribution
If some variable is the sum of a large number of independent variables, a normal distribution is
appropriate, according to the central limit theorem. The normal distribution is applied to describe
linear physical phenomena (e.g., linear waves, linear response) as well as additive independent
errors.
An important property of the normal distribution and its related distributions (
2
, t ,
lognormal, etc.) is their mathematical convenience.
Oval Distribution
The oval distribution was introduced by Det Norske Veritas Sesam (1994) in order to model
mispositioning of a foundation template.
Rayleigh Distribution
The square root of the sum of squares of two independent standard normal variables is a Rayleigh
variable (i.e., the square root of a
2
-variable with two degrees of freedom). The Rayleigh
distribution thus describes the amplitudes of a linear Gaussian process, since each spectral
component consists of a sine and a cosine term. The Rayleigh distribution is derived based on an
assumption that the considered process is narrow banded. This assumption leads to conservative
results when applying the Rayleigh distribution to broad banded processes.
Student's-t Distribution
The Student's-t distribution is applied to construction of tests and confidence intervals relating to
estimation of the expected values of normal distributions.
Uniform Distribution
The uniform distribution appears in models of several physical phenomena, e.g., approximation
of tidal water variations, directional distribution of swell, and random phase in a Gaussian signal.
If information about some quantity with evident, physical bounds does not exist, the uniform
distribution is often used as a prior distribution of that quantity. (Otherwise the normal
distribution is often used.)
Weibull Distribution
The Weibull distribution is used to fit empirical data, especially long term values. It is applied in
different fields, e.g. oceanography, hydrodynamics, fatigue. The shift parameter
1
, which gives
a three-parameter Weibull distribution as described in Appendix A, gives better possibilities to fit
empirical data than the two-parameter Weibull distribution (with
1
0 = ) and the lognormal
distribution.
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84
4.3.2.3 Extreme by Power N
This distribution is used to define extreme distributions based on information from an underlying
parent distribution.
X
1
,...,X
n
are n independent identical distributed stochastic variables with distribution function
F
X
(x) and density f
X
(x). Define V and U as the maximum and minimum values of the X
j
's:
V X j n
j
j
= = max , ,..., 1 (4. 8)
U X j n
j
j
= = min , ,..., 1 (4. 9)
The distribution of the maximum value may then be obtained from:
F v F v
V X
n
( ) [ ( )] = (4. 10)
f v n F v f v
V X
n
X
( ) [ ( )] ( ) =
1
(4. 11)
and the distribution of the minimum value from:
F u F u
U X
n
( ) [ ( )] = 1 1 (4. 12)
f u n F u f u
U X
n
X
( ) [ ( )] ( ) =

1
1
(4. 13)
When n limiting distributions may be obtained. These distributions are frequently referred
to as three families: Fisher-Tippett Type 1, 2, and 3. For normally distributed variables, the
maximum and minimum values are both Type 1 (Gumbel) distributed. For lognormally
distributed variables, the maximum value is Type 3 (Weibull) distributed. The Type 3 (Weibull)
distribution is otherwise used as a distribution of smallest values, e.g., phenomena produced by a
weakest-link mechanism. The Type 2 (Frechet) distribution is its own maximum distribution, and
so is the Type 1 (Gumbel) distribution.
4.3.3 Joint Description of Variables
A simultaneous description of two or more random variables will often be needed in a reliability
calculation. If the variables are independent, the joint distribution is obtained as the product of
the marginal distributions. In general the involved variables will be mutually dependent.
Subsequently, three approaches modelling the joint distribution are mentioned. The choice
among these will depend on the nature of the correlation and of the available background
information.
4.3.3.1 Multidimensional Models
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85
Multidimensional versions exist for most of the Univariate distributions listed in Sections 4.3.1
and 4.3.2. The marginal distributions of individual variables correspond mostly to such known
distributions or combinations of them. Some of the most important models are:
Multinomial distribution
Multinormal distribution
Multivariate Beta, Gamma, Extreme Value and Exponential distributions
4.3.3.2 Sequence of Conditional Distributions
The explicit analytic form of the joint distribution may be very complicated. If a sufficient
amount of simultaneous data are available, the joint distribution of two random variables may
conveniently be modelled as
f x y f x f y x
XY X x x Y X y y
( , ) ( ; , ) ( | ; , )
|
= (4. 14)
where the mutual dependency is accounted for by modelling the parameters of the conditional
distribution of Y given X as function of x, i.e.:
y y
x = ( ) and
y y
x = ( ).
Example 4.1: Model a two dimensional stochastic variable ( , ) X Y with uniform distribution on a circular disk
with radius R by combining an Oval distributed variable and an Uniform distributed variable:
X Oval Mean Scale R ~ ( , ) = = 0
Y Uniform Lower R x Upper R x ~ ( , ) = =
2 2 2 2
Example 4.2: Model a two dimensional stochastic variable wind (W), characterised by its speed (S) and
direction(D), given windrose data:
D Splined ~ ( ) marginal distribution
S Weibull f d g d ~ ( ( ), ( ), ) = = = 0
For each wind rose direction estimate the Weibull parameters and , for instance by using the
maximum likelihood method described in Section 5.5.4, and generate interpolating or
approximating functions f and g.
Example 4.3: The stochastic variable X have a normal distribution with uncertain mean value (with normal
distribution) and known standard deviation :
X N ~ ( , )
2
~ ( , ) N
2
where and are known.
4.3.3.3 Nataf Correlation Model
In some cases one will only know the marginal distribution of variables and the correlation
coefficient between them. In such cases the Nataf distribution model is a convenient approach.
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86
In general, there is an infinite number of joint distributions that correspond to the same
correlation coefficient between the variables. Therefore, it is not possible to point out one
distribution and state that this is the correct one. The probabilistic model information is generally
incomplete.
To be able to treat models with incomplete information, one has to choose the type of joint
distribution. Der Kiureghian and Liu (1986) suggest the Nataf model, Nataf (1962), and show for
a variety of cases that the model yields good results. The basic idea of the Nataf correlation
model is that if each random variable is mapped onto a standard normal random variable, the
joint distribution is a multivariate normal distribution. Thus, if the distributions of two random
variables are F x i
X i
i
( ), ,.., =1 2 and
V F x i
i X i
i
= =
1
1 2 ( ( )), ,.., (4. 15)
the joint distribution expressed in terms of v-space variables is
F v v v v
v v
dv dv
V V
v v
1 2
1 2
2
1
2
2
2 1 2
2
1 2
1
2 1
1
2
2
1
( , ) exp{ ( )} =
+

(4. 16)
A general procedure for computing
v
from the correlation
x
of X
1
and X
2
and vice versa, has
been developed, Winterstein et al. (1989), using an expansion in Hermite polynomials.
If the x-space variables are Gaussian, the Nataf model corresponds to the multinormal
distribution. If the x-space variables are random lognormal, the Nataf model corresponds to the
multilognormal distribution.
4.4 Choice of Distribution Model
4.4.1 General
In order to describe statistical nature of loads, material properties and geometrical parameters,
distribution functions need to be assigned to these quantities. It is often no theoretical preference
when it comes to deciding on probabilistic models for external action parameters, material
parameters, and geometrical parameters. The actual choices have therefore to be made on an
empirical basis and engineering judgement. There should, if possible, be a logical basis for the
choice of the probabilistic model, and the model should be flexible and have a sufficient number
of adjustable parameters to fit the empirical data.
Future codes of practice may standardise the distribution types to be used in authorised reliability
analyses (refer to Chapters 5, 6, and 7). Section 4.3 lists some distribution functions commonly
used in reliability analysis. A more detailed description of the distributions is given in Appendix
A.
Figure 4. 2 shows three different distributions (Exponential, Lognormal and Weibull) fitted to
POD (Probability Of Detection) data for crack detection, the empirical data are marked with (+).
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87
The distributions were fitted using the least square method described in Section 4.5.2. The choice
of distribution to be used may have large impact on the analysis results.
Figure 4. 2 Three curves fitted to POD data
As far as possible a standard recommended distribution should be used. Such standard
recommendations should be based on some general consensus concerning their adequacy.
If no recommendations are available, the approaches described in the following subsections may
be useful in order to select a proper model. Given a set of possible distributions, one may
estimate the distribution parameters, using the methods described in Section 4.5, and select
model using the verification methods listed in Section 4.6.
Stratified data
Figure 4. 3 shows an example of a stratified dataset (plot of cumulative data). The situation may
occur if the observations covers e.g. more than one physical phenomenon. In this case there
seems to be one statistical behaviour for values less than 10 and another for values greater than
20. Here there were also no observations between 10 and 20. The data may be represented in two
ways:
1. Estimate one distribution for the whole sample (Figure 4. 4). This may lead to poor estimates,
due to difficulties in obtaining parametric models fitting the data. Further, the distribution
may not be well suited for doing reliability calculations with methods other than simulation
methods (e.g. due to multimodality of the density function).
2. Split the sample into two groups and estimate one distribution for each (Figure 4. 5 and
Figure 4. 6). Then use a series system representation to account for the stochastic variable
having outcomes from either group.
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88
Figure 4. 3 Stratified data
Figure 4. 4 Stratified data - one distribution
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89
Figure 4. 5 Stratified data - lower part
Figure 4. 6 Stratified data - upper part
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90
4.4.2 Well Known Stochastic Experiments
At first one should always consider the underlying generating mechanisms in order to possibly
identify a known stochastic experiment or a function of a known stochastic experiment. If this is
the case, model uncertainties due to imperfect choice of probability distribution to represent the
data may be reduced to a minimum. Well known stochastic experiments are typically:
the additive mechanism (Gaussian distribution)
the multiplicative mechanism (lognormal distribution)
Poisson process (Poisson distribution, exponential/gamma distribution)
asymptotic extreme values (extreme value distributions)
4.4.3 Probability Paper
A possible background for an empirical selection of a distribution is to plot the empirical
distribution on a probability paper, e.g. normal or lognormal paper, Weibull paper or Gumbel
paper. Some commonly adopted probability papers are included in Appendix C.
By considering the behaviour of the empirical distribution in an actual probability paper, one
may often recognise a certain similarity to well known probabilistic models.
4.4.4 Skewness and Kurtosis
If a rather large sample is available, reasonable estimates for the coefficient of skewness
s
, and
coefficient of kurtosis
k
are easily estimated (Appendix A). By considering
s
2
versus
k
for
the various probabilistic models, one may establish a graph as shown in Figure 4. 7. It is seen that
the normal and the exponential distributions just correspond to a point each in this coordinate
system, the lognormal distribution corresponds to a single curve, while the beta distribution
corresponds to an area in this diagram. By considering the empirical coefficients in view of such
a figure, one may often select a class of reasonable models or exclude non-reasonable models.
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91
Figure 4. 7
s
2
versus
k
for various probabilistic models, Hahn & Shapiro (1988).
4.4.5 TTT plot
TTT (Total Time on Test) plots relate to the modelling of lifetime distributions, i.e., the
distribution of the time until some defined event occurs. For these distributions it is essential that
the event intensity z t ( ) (also denoted failure rate or hazard rate) is adequately modelled.
z t
f t
F t
( )
( )
( )
=
1
(4. 17)
TTT plots assist in deciding whether the lifetime distribution is IFR (Increasing Failure Rate),
DFR (Decreasing Failure Rate), or a combination of the two. Assume that n sample time points
are arranged in increasing order. The Total Time on Test at time x is defined as:
T x X n i x
j
j
i
( ) ( )
( )
= +
=
1
(4. 18)
where i satisfies:
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92
X x X
i i ( ) ( )

+1
(4. 19)
The TTT plot is now obtained by plotting
i
n
T X
T X
i
n
,
( )
( )
( )
( )
. The diagonal from ( , ) 0 0 to ( , ) 1 1

represents a constant failure rate, corresponding to an exponentially distributed lifetime. The
empirical lifetime distribution is IFR when the plotted points fall above the diagonal and DFR
when the points are located below the diagonal.
4.5 Methods for Estimation of Distribution Parameters
Assume that a specific family of distribution functions f x
X
( ; ) are considered to be appropriate
for a statistical representation of the data set at hand. The estimation of the parameters from a
set of independent, identically distributed observed values X
i
, i=1,..,n, may be carried out in a
number of ways depending on the size of the data set, the accuracy needed and the tools
available. The most commonly used methods for estimation are:
graphic procedure (plot of data on a probability paper)
least-squares fit methods
maximum likelihood method
moment method
Bayes-estimation
The effects of selecting different methods for estimation of the distribution parameters may be
significant.
4.5.1 Plot of Data on Probability Paper (Graphic Procedure)
In some cases it may be convenient, as a first approximation, to estimate distribution parameters
by a graphic procedure. The idea of this method is to graph functions in transformed scales such
that the form of the function and the parameter values may immediately be read from the graph.
The most commonly used probability papers are: Weibull, Gumbel, Frechet, normal, lognormal.
These are shown in Appendix C.
This method can only be used if a plot of the cumulative probability distribution of some random
variable fluctuates closely about a straight line on a probability paper.
4.5.2 Least-Squares Fit Methods
Assume that the observations are organised as a set of quantiles and cumulative probabilities
(x
i
,y
i
), i=1,..,n, possibly with standard deviations
i
assigned to each set. In general, the Least-
Squares fit method for estimating the parameters involves optimising the quadratic objective
function:
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
93
y F x
i X i
i i
n

( ; )
1
2
(4. 20)
where F
X
is the cumulative distribution function. One may, alternatively, also minimise the
squared error in x instead of y , F y x
X i
1
2
( ; ) , where F
X
1
denotes the inverse cumulative
distribution function. However, this alternative approach may not necessarily lead to exactly the
same estimate for as the minimization of the squared error of the cumulative distribution
function.
The terms 1
2
i
in Eq. (4. 20) may be interpreted as weights assigned to each data set. This
makes it possible to put greater weight on large than on small empirical values in order to
improve the extrapolation to long-term extremes. Emphasis on the distribution tail is most
important for the reliability analysis (e.g., lower tail for resistances and upper tail for loads). A
limiting case of this weighting procedure occurs when one single point in the empirical
distribution is considered to be certain. It is then required that the curve of the analytical
distribution contains this point.
If a plot of the data on probability paper (cfr. the previous section) forms an approximately
straight line, the distribution parameters may be found by simple linear regression. That means,
one shall find a line
y x = +
0 1
(4. 21)
which minimises the squared error
[ ]
Q y x
i i
i
n
( , )
0 1 0 1
2
1
=
=
(4. 22)
Solution of the normal equations lead to the following estimators for
0
and
1
:
( )
( )
1
1
2
1
=
=
=
x x y
x x
i j
i
n
i
i
n
(4. 23)

0 1
= y x (4. 24)
where x
x
n
i
i
n
=
=
1
and y
y
n
i
i
n
=
=
1
.
The interpretation of the variables x and y, and the parameters
0
and
1
will be different for the
different probability distributions.
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
94
4.5.3 Maximum Likelihood Method
The maximum likelihood method is the best-known method for estimation of distribution
parameters. For some distributions, the maximum likelihood equations leads back to the moment
equations. In other cases the maximum likelihood equations must be solved by some numerical
iteration method. Thus, a disadvantage of maximum likelihood estimation is that some more
computational effort may be required to obtain the parameters than when using the method of
moments for some distributions.
The principle applied is to maximise the likelihood function:
l f x
X i
i
n
=
=
( ; )
1
(4. 25)
where f
X
is the density function for the chosen distribution type and its parameters. Some
intuitive feeling for the likelihood function may, perhaps, be achieved by realising that this
product of probability densities will tend to be large when both data sample and distribution
function correspond to each other.
In practice, it is often more convenient to work with the logarithm of the likelihood function. To
obtain parameter estimates, the supremum of the likelihood function is sought, by taking the
derivatives of the likelihood function, and finding their zeroes:
ln
, ,..,
l
j r
j
= = 0 1 (4. 26)
Maximum likelihood estimators are given for a number of distributions in Appendix A. Refer to
Kendall and Stuart (1977), Cox and Hinkley (1974) or Johnson and Kotz (1969, 1970a, 1970b,
1972) for more details on the maximum likelihood estimators.
Results are available with the maximum likelihood method, which state that:
(i) The maximum likelihood estimators are asymptotically unbiased
(ii) Asymptotically the covariance matrix of the estimated parameters may be obtained from
the information matrix defined below.
(iii) Asymptotically the estimated parameters are jointly normal.
(iv) The method is asymptotically efficient; i.e., other estimation methods are not more
efficient, in the sense of obtaining a lesser variance for the parameter estimates (under
certain regularity conditions).
Returning to item (ii) above, an element of the information matrix A is given by
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
95
a E
f x
ij
X
i j
=

2
ln ( ; )
(4. 27)
Asymptotically the covariance matrix for the estimated parameters is obtained from the inverse
of the information matrix
C Cov A = =
]
n
n
1
1
(4. 28)
4.5.4 Method of Moments
If the use of the maximum likelihood method becomes troublesome, the method of moments can
be used to evaluate distribution parameters by equating analytical moments (see Appendix A) to
sample moments. We need to consider as many orders of moments as there are unknown
parameters in the distribution formula. The first four moment estimators are (:Mean, :Standard
deviation, :Skewness, :Kurtosis):
=
=
1
1
n
x
i
i
n
(4. 29)
(

)
/
=
1
2
1
1 2
n
x
i
i
n
(4. 30)
(

)
1
3
1
3
n
x
i
i
n
(4. 31)
(

)
1
4
1
4
n
x
i
i
n
(4. 32)
The method of moments should be used with care when the sample size n is small.
4.5.5 Bayes-estimation
In the previous sections the parameters to be estimated has, priorly, been assumed to belong to a
subset of the r-dimensional Euclidian space. However, within no vectors have been
considered to be more likely than others.
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
96
Bayes-estimation assumes that a parameter is a stochastic variable with some known
distribution function f
( ) denoted the prior distribution. This distribution reflects knowledge

about the parameters of the distribution of the considered random variable (or vector) X before
some new independent data are available (usually in the form of an outcome of the vector (X
1
,..,
X
n
) with all X
i
mutually independent and distributed like X).
The simultaneous density for X and are:
f x f x f
X X , |
( , ) ( | ) ( )

= (4. 33)
The posterior distribution is a conditional distribution of the parameters given the prior
information and the sample data:
f x
f x
f x
X
X
X
|
,
( | )
( , )
( )

= (4. 34)
where f x
X
( ) is the marginal density for X:
f x f x d f x f d
X X X
( ) ( , ) ( | ) ( )
, |
= =

(4. 35)
The Bayes estimator
( ) X is defined to be the one that minimise

[ ]
E X
( )
2
. This implies
choosing the mean value of the posterior distribution as the estimator, see Hyland (1986).
[ ]
( ) | X E X = (4. 36)
Example 4.4: Assume X X
n 1
,.., are independent and identically distributed N( , )
2
where
2
is known.
The prior distribution for is N( , )
2
where and
2
are both known. The Bayes estimator
for will then be:
( ,.., )

X X
n
n
X
n
n 1
2
2 2
2
2 2
=
+
+
+

(4. 37)
Example 4.4 illustrates the general property of a Bayes estimator that it can be expressed as a
weighted average of the estimator one would use if no prior information was available ( X) and
the estimator one would use if we only had prior information ().
4.5.6 The Bootstrap Estimate of Standard Error
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
97
Having chosen an estimator for an unknown parameter , the next question to answer is how
accurate the estimate is. The bootstrap is a general methodology for answering this question.
Assume that the observed data y= ( , ,..., ) x x x
n 1 2
consists of independent and identically
distributed observations X X X
n 1 2
, ,..., with unknown distribution F. We have the statistic of
interest,
( y) , to which we wish to assign an estimated standard error. If, for instance, the
statistic of interest is the mean value, then
( )

( , ,..., ) y x x x
n
x
n i
i
n
= =
=
1 2
1
1
Let ( ) F indicate the standard error of
, as a function of the unknown sampling distribution F

{ }
[ ]
( )

(
/
F Var
F
= y)
1 2
(4. 38)
The bootstrap estimate of the standard error is
(

) = F (4. 39)
where
F is the empirical distribution putting probability 1 n on each observed datapoint x

i
. A
Monte Carlo simulation algorithm may be used to estimate
:
(i) Use a random generator to independently draw a large number B of samples (called
bootstrap samples) y y y
* * *
( ), ( ),..., ( ) 1 2 B . Each bootstrap sample y
*
( ) b is generated by
drawing n times with replacement from the originally observed data set y.
(ii) For each bootstrap sample y
*
( ) b evaluate the statistic of interest

* *
( )

( ( )), , ,..., b b b B = = y 1 2 (4. 40)
(iii) Calculate the standard sample deviation of the
( ) b values:
{ }
( )

( )
* *
/

B
b
B
b
B
=

2
1
1 2
1
(4. 41)
where the mean value of the evaluation of the statistic of interest is
( )

( )
*
*
=
=
b
B
b
B
1
(4. 42)
For most situations B in the range of 50 to 200 is adequate.
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
98
The bootstrap is one of several resampling methods for estimation of standard error. For more
details on the bootstrap, the jackknife and other resampling methods, reference is made to Efron
and Tibshirani (1993).
4.6 Verification of Fitted Distributions
The adequacy of a fitted model can be indicated by objective methods or by subjective
judgement. The most commonly adopted objective methods are:

2
test
Kolmogorov-Smirnov test
The actual data often consist of correlated observations. In such cases, the statistics of the test
variable is not known, and objective tests may then only be applicable for relative comparisons
between alternative choices of distributions.
4.6.1 Subjective Judgement
A subjective judgement by visual inspection of a probability plot is often the most convenient
verification approach. Such a verification is carried out by plotting both the empirical and the
fitted distribution function preferably in a probability paper which are constructed so that the
fitted model appear as a straight line.
4.6.2
2
test
The
2
test may be a useful method, provided a data sample of independent observations are
available and one is primarily interested in the fit in the central range of the distribution. Most
often, however, one is interested in adequacy of the tail behaviour of the model and this excludes
the chi-square test. (Note that one should be aware of the problem of overfitting in the tail where
statistical uncertainty is particularly large.)
In Bendat and Piersol (1971) the test variable is defined by:
Z
F x F x
F x
i X i
X i i
k
=

=
( ) ( )
( )
2
1
(4. 43)
where x
i
is a quantile, F x
i
( ) the corresponding empirical cumulative probability, F x
X
( ) the
fitted cumulative distribution and k the number of comparison points. If F x F x
i X i
( ) ( ) is
assumed to be normal distributed, Z will be
2
distributed with k 3 degrees of freedom.
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
99
4.6.3 Kolmogorov-Smirnov Test
This method tests if at least one value on the empirical distribution function is not generated by
the fitted distribution. The test variable D is defined as the largest vertical difference between the
fitted cumulative distribution and the empirical cumulative distribution:
D F x F x
x
X
= sup ( ) ( ) (4. 44)
where F x
X
( ) is the fitted distribution and F x ( ) is the empirical distribution. The fitted
distribution is not accepted if D is larger than some defined value.
The distribution function for D as the number of observations n may be obtained from the
following relations:
lim ( )
n
P D
n
R
<
(4. 45)
R e
j j
j
( ) ( )

=

=
1
2
2 2
(4. 46)
See Johnson and Kotz (1970b) and Sobczak (1970) for more details on the distribution of D and
a more general description of R( ) .
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
100
References
Arge, E., and M. Dhlen (1989), "Estimation of Cumulative Distribution Functions using B-
splines", Research Report No. 129, Dept. of Informatics, University of Oslo, Oslo, Norway.
Bendat, J.S., and A.G. Piersol (1971), Random Data: Analysis and Measurement Procedures,
John Wiley and Sons, New York, N.Y.
Bitner-Gregersen, E., and . Hagen (1990), "Uncertainties in Data for the Offshore
Environment", Structural Safety, Vol. 7.
Cox, D.R., and D.V. Hinkley (1974), Theoretical Statistics, Chapman & Hall, London, England.
de Boor (1978), A Practical Guide to Splines, Springer-Verlag, New York.
Der Kiureghian, A. and P.-L. Liu (1986), Structural Reliability under Incomplete Probability
Information, Journal of Engineering Mechanics, ASCE, 112(1),85-104
Efron, B., and R.J. Tibshirani, An Introduction to the Bootstrap, Chapman & Hall, New York,
N.Y., 1993.
Hahn and Shapiro (1988), Statistical Models in Engineering, John Wiley and Sons, New York.
Holen A.T., A. Hyland, and M. Rausand (1988), Plitelighetsanalyse , 2. utgave, TAPIR forlag,
Trondheim, Norway.
Hyland, A. (1986), Sannsynlighetsregning og Statistisk Metodelre 1 og 2, 4. utgave, TAPIR
forlag, Trondheim, Norway.
Johnson N.L. and S. Kotz (1969), Discrete Distributions, Wiley Series in Probability and
Mathematical Statistics, John Wiley and Sons, New York.
Johnson N.L and S. Kotz (1970a), Continuous Univariate Distributions 1, Wiley Series in
Probability and Mathematical Statistics, John Wiley and Sons, New York.
Johnson N.L and S. Kotz (1970b), Continuous Univariate Distributions 2, Wiley Series in
Johnson N.L. and S. Kotz (1972), Continuous Multivariate Distributions, Wiley Series in
Kendall, M.G., and A. Stuart (1977), The Advanced Theory of Statistics, Vol. 2, Inference and
Relationship, 4th ed., Griffin, London, England.
Det Norske Veritas Sesam (1994), "SESAM User's Manual. PROBAN Distribution Manual."
Nataf, A. (1962), Determination des Distribution dont les Marges sont Donnees, Comptes
Rendus l'Academie des Sciences, Vol. 225, Paris, France, pp. 42-43.
Shumacher (1982), Spline Functions: Basic Theory, John Wiley and Sons, New York.
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
101
Sobczak, W. (1970), Metody statystycne w elektronice, Wydawnictwa Naukowo-Techniczne,
Warsaw, Poland.
Winterstein, S.R, R.S. De, and P. Bjerager (1989), "Correlated Non-Gaussian Models in Offshore
Structural Reliability", Proceedings, 5th International Conference on Structural Safety and
Reliability, San Francisco, California.
A
Accident statistics, 78
Aleatory uncertainty, 76
B
Bias, 77
Bootstrap, 97, 98
C
Central limit theorem, 83
Conditional distributions, 85, 96
sequence of, 85
Confidence
interval, 83
Cumulative distribution function, 79, 93
D
Distributions
continuous, 78, 79
discrete, 78, 100
nonparametric, 80
E
Empirical distribution, 80, 90, 93, 97, 99
Error
gross, 76
systematic, 77
Estimation
maximum likelihood, 94
method of moments, 92, 94, 95
probability paper, 90, 92, 93, 98
Estimator, 96, 97
Exponential distribution, 81, 90
F
Failure rate, 82, 91, 92
Fatigue, 81, 83
G
Gaussian process, 83
Gross error, 76
H
Hermite polynomial, 86
Human error
gross, 76
I
Inherent uncertainty, 76
Inspection, 98
J
Jackknife, 98
K
Kurtosis, 90, 95
L
Least-squares estimation, 92
Linear regression, 93
Load, 77
Lognormal distribution, 83, 90
M
Maximum likelihood estimation, 94
Method of moments, 92, 94, 95
Model, 76, 77, 78, 79, 82, 85, 86, 87, 90, 98
uncertainty, 77
Monte Carlo simulation, 97
N
Nataf distribution model, 85, 86
O
Objective function, 92
Observations, 76, 77, 79, 81, 83, 87, 92, 97, 98, 99
P
Poisson distribution, 78, 90
Poisson process, 90
Probability paper, 90, 92, 93, 98
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
76
R
Rayleigh distribution, 83
Resampling, 98
bootstrap, 97, 98
jackknife, 98
Response, 82, 83
S
Significant wave height, 77
Simulation, 77, 87, 97
Monte Carlo, 97
Simulation methods, 87
Skewness, 90
Splined distribution, 79, 80
State, 86
Statistical uncertainty, 98
Stochastic process
normal, 83
Poisson, 90
Stratified data, 87
Swell, 83
System
series, 87
T
TTT plot, 91, 92
W
Wave height, 77
significant, 77
Weibull distribution, 83, 84
Wind, 85
Wind rose, 85

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Guideline for Offshore Structural Reliability Analysis - General Page No.

. The diagonal from ( , ) 0 0 to ( , ) 1 1

( ) denoted the prior distribution. This distribution reflects knowledge

( ) X is defined to be the one that minimise

, as a function of the unknown sampling distribution F

F is the empirical distribution putting probability 1 n on each observed datapoint x

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