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**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

‡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 X

1:n

, X

2:n

, . . . , X

r:n

from exponential

lifetime to predict the sth order statistic X

s:n

when the sample size nis 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

Statistic-1: W =

X

s:n

− X

r:n

S

r

, (see [9]), (1)

Statistic-2: U =

X

s:n

− X

r:n

X

r:n

, (see [10]), (2)

*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

S

r

=

r

¸

i=1

x

i:n

+ (n − r)x

r:n

. (3)

The prediction problemassociated with the exponential lifetime appears in many live testing

applications with probability density function (pdf) given by

f (x) = θe

−xθ

, θ > 0, x > 0. (4)

Many authors have constructed prediction intervals for future order statistics fromexponential

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

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

P(n; λ) =

e

−λ

λ

n

n!

, n = 0, 1, 2, . . . , λ > 0. (5)

Let denote the statistic used for predicting the future lifetime X

s: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]).

f

(ω) =

1

Pr (n ≥ s)

∞

¸

n=s

P(n; λ)f (ω | n), (6)

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 X

1:n

, X

2:n

, . . . , X

r:n

be the ﬁrst r order statistics from the exponential

distribution given in (4) and assume that the sample size n is a randomvariable and is Poisson

distributed P(n; λ), as given in (5). Then Statistic-1 given in (1) has the density function

f

W

(w) = C

1

∞

¸

m=0

s−r−1

¸

i=0

(−1)

i

λ

m

(m + s − r)!

s − r − 1

i

m!(m + s)![1 + (m + i + 1)w]

r+1

, w > 0, (7)

where

C

1

=

rλ

m

e

−λ

(s − r − 1)!

1 −

¸

s−1

n=0

λ

n

e

−λ

/n!

. (8)

Proof See Appendix A.

From Theorem 2.1, the cumulative distribution function (cdf) F

W

(w) of Statistic-1 is

obtained as

F

W

(w) = 1 −

C

1

r

∞

¸

m=0

s−r−1

¸

i=0

(−1)

i

λ

m

(m + s − r)!

s − r − 1

i

m!(m + s)!(m + i + 1)[1 + (m + i + 1)w]

r

, (9)

where C

1

is give in (8).

The (1 − α)100% predictive conﬁdence interval for the future order statistic X

s:n

in (1)

when the sample size is distributed as P(n; λ) is given by

Pr(x

r:n

< X

s:n

< x

r:n

+ wS

r

) = 1 − α, (10)

where S

r

is given in (3) and w represents the (1 − α) percentage point of F

W

(·) given in (9)

that can be obtained by solving the nonlinear equation

F

W

(w) = 1 − α. (11)

THEOREM 2.2 Let X

1:n

, X

2:n

, . . . , X

r: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

f

U

(u) = C

2

∞

¸

n=s

s−r−1

¸

j=0

r−1

¸

i=0

(−1)

i+j

λ

n

s − r − 1

j

r − 1

i

n!(n − s)![u(n − s + i + 1) + (n − r + j + 1)]

2

, (12)

where

C

2

=

e

−λ

(r − 1)!(s − r − 1)!

1 −

¸

s−1

n=0

(λ

n

e

−λ

)/n!

. (13)

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

F

U

(u) = C

2

∞

¸

n=s

s−r−1

¸

j=0

r−1

¸

i=0

(−1)

i+j

λ

n

s − r − 1

j

r − 1

i

n!(n − s)!(n − s + j + 1)

×

¸

1

n − r + i + 1

−

1

(n − r + i + 1) + (n − s + j + 1)u

¸

, (14)

where C

2

is give in (13).

Again the (1 − α)100% predictive conﬁdence interval for the future order statistic X

s:n

in

(2) when the sample size is distributed as P(n; λ) is given by

Pr(x

r:n

< X

s:n

< (1 + u)x

r:n

) = 1 − α, (15)

where u represents the (1 − α) percentage point of F

U

(·) given in (14) that can be obtained

by solving the nonlinear equation

F

U

(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.

B(n; M, p) =

M

n

p

n

(1 − p)

M−n

, n = 0, 1, 2, . . . , M, (17)

where M represents the sample size of the large population.

Once again, assume denotes the statistic used for predicting the future lifetime X

s: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])

g

(ω) =

1

Pr (n ≥ s)

M

¸

n=s

B(n; M, p)f (ω | n), (18)

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 X

1:n

, X

2:n

, . . . , X

r: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

g

W

(w) = K

1

M−s

¸

m=0

s−r−1

¸

i=0

(−1)

i

(1 − p)

m

p

M−m−s

m − s

m

s − r − 1

i

[1 + (M − m − s + i + 1)w]

r+1

, w > 0, (19)

where

K

1

=

rp

s

M(M − 1)

m − 2

r − 1, s − r − 1

(s − r − 1)!

¸

1 −

¸

s−1

n=0

m

n

p

n

(1 − p)

M−n

¸. (20)

Proof Similar to proof of Theorem 2.1.

From Theorem 3.1, the cdf of Statistic-1 is obtained as

G

W

(w) = 1 −

K

1

r

M−s

¸

m=0

s−r−1

¸

i=0

m − s

m

s − r − 1

i

(1 − p)

m

p

M−m−s

(−1)

i

(M − m − s + i + 1)[1 + (M − m − s + i + 1)w]

r

, (21)

where K

1

is give in (20).

The (1 − α)100% predictive conﬁdence interval for the future order statistic X

s:n

in (1)

when the sample size is distributed as B(n; M, p) is given by

Pr(x

r:n

< X

s:n

< x

r:n

+ wS

r

) = 1 − α, (22)

where S

r

is given in (3) and w represents the (1 − α) percentage point of G

W

(·) given in (21),

which can be obtained by solving the nonlinear equation

G

W

(w) = 1 − α. (23)

THEOREM 3.2 Let X

1:n

, X

2:n

, . . . , X

r: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

g

U

(u) = K

2

M−s

¸

m=0

s−r−1

¸

j=0

r−1

¸

i=0

(−1)

i+j

p

m+s

q

M−m−s

M − s

m + s

s − r − 1

j

r − 1

i

m![u(m + 1 + i) + (m + s − r + j + 1)]

2

, (24)

where

K

−1

2

= (r − 1)!(s − r − 1)!

¸

1 −

s−1

¸

n=0

M

n

p

n

q

M−n

. (25)

Proof Similar to proof of Theorem 2.1.

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

G

U

(u) = K

2

M−s

¸

m=0

s−r−1

¸

j=0

r−1

¸

i=0

(−1)

i+j

p

m+s

q

M−m−s

M − s

m + s

s − r − 1

j

r − 1

i

m!(m + s − r + j + 1)

×

¸

1

m + 1 + i

−

1

(m + 1 + i) + (m + s − r + j + 1)u

¸

, (26)

where K

2

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 X

s:n

in (2)

when the sample size distributed as B(n; M, p) is given by

Pr(x

r:n

< X

s:n

< (1 + u)x

r:n

) = 1 − α, (27)

where u represents the (1 − α) percentage point of G

U

(·) given in (26), which can be obtained

by solving the nonlinear equation

G

U

(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.

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

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

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 x

6:11

= 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 x

6:11

= 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

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

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

f

X,Y

(x, y) =

1

Pr (n ≥ s)(r − 1)!(s − r − 1)!

∞

¸

n=s

λ

n

e

−λ

(n − s)!

[F(x)]

r−1

[F(y) − F(x)]

s−r−1

× [1 − F(y)]

n−s

f (x)f (y), X = X

r:n

, Y = X

s:n

. (A1)

From (4) and (A1), we have

f

X,Y

(x, y) =

λ

s

e

−λ

Pr (n ≥ s)(r − 1)!(s − r − 1)!

∞

¸

m=0

λ

m

m!

[1 − e

−θx

]

r−1

[e

−θx

− e

−θy

]

s−r−1

× [e

−θy

]

m

θe

−θx

θe

−θy

. (A2)

By using the transform V = Y − X in (A2), we derive the joint pdf of X and V as

f

X,V

(x, v) =

λ

s

e

−λ

Pr(n ≥ s)(r − 1)!(s − r − 1)!

∞

¸

m=0

λ

m

m!

[1 − e

−θx

]

r−1

× [e

−θx

− e

−θ(x+v)

]

s−r−1

[e

−θ(x+v)

]

m

θe

−θx

θe

−θ(x+v)

dy

dv

. (A3)

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

f

V

(v) =

λ

s

e

−λ

Pr (n ≥ s)(s − r − 1)!

∞

¸

m=0

λ

m

(m + s − r)!

m!(m + s)!

θe

−θv−θmv

[1 − e

−θv

]

s−r−1

. (A4)

The pdf of the denominator of (1), [T = S

r

=

¸

r

i=1

x

i:n

+ (n − r)x

r:n

] is given by

f

T

(t ) =

θ

r

t

r−1

(r − 1)!

e

−θt

, (A5)

since V = Y − X and T = S

r

are independent, then

f

V,T

(v, t ) =

λ

s

e

−λ

θ

r+1

t

r−1

e

−θ(v+t )

Pr (n ≥ s)(s − r − 1)!(r − 1)!

∞

¸

m=0

λ

m

(m + s − r)!

m!(m + s)!

e

−θmv

[1 − e

−θv

]

s−r−1

.

(A6)

Again by using the transform W = V/T in (A6), we derive the joint pdf of W and T as

f

W,T

(w, t ) =

λ

s

e

−λ

θ

r+1

Pr (n ≥ s)(s − r − 1)!(r − 1)!

∞

¸

m=0

λ

m

(m + s − r)!

m!(m + s)!

× t

r

e

−θ(1+w+mw)t

[1 − e

−θwt

]

s−r−1

=

λ

s

e

−λ

θ

r+1

Pr(n ≥ s)(s − r − 1)!(r − 1)!

∞

¸

m=0

λ

m

(m + s − r)!

m!(m + s)!

× t

r

e

−θ(1+w+mw)t

s−r−1

¸

i=0

(−1)

i

s − r − 1

i

e

−θiwt

. (A7)

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

References

[1] Aitchison, J. and Dunsmore , I.R., 1975, Statistical Prediction Analysis (Cambridge, UK: Cambridge University

Press).

[2] Dunsmore, I.R., 1974, The Bayesian predictive distribution in life testing model. Technometrics, 16, 455–460.

[3] Hahn, J.G. and Meeker, W.Q., 1991, Statistical Intervals –A Guide to Practitioners (NewYork: Wiley).

[4] Likes, J., 1974, Prediction of sth ordered observation for the two parameter exponential distribution.

Technometrics, 16, 241–244.

[5] Patel, J.K., 1989, Prediction intervals – a review. Communications in Statistics, Theory and Methods, 18,

2393–2465.

[6] Arnold, B.C., Balakrishnan, N. and Nagaraja, H.N., 1992, A First Course in Order Statistics (NewYork: Wiley).

[7] Geisser, S., 1986, Predictive analysis. In: S. Kotz, N.L. Johnson and C.B. Read (Eds) Encyclopedia of Statistical

Sciences, Vol. 7 (NewYork: Wiley), pp. 158–170.

[8] Nagaraja, H.N., 1995, Prediction problems. In: N. Balakrishnan and A.P. Basu (Eds) The Exponential

Distribution, Theory, Methods and Applications (Amsterdam: Gordon & Breach).

[9] Lawless, J.F., 1971, Aprediction problemconcerning samples fromthe exponential distribution with application

in life testing. Technometrics, 13, 725–730.

[10] Lingappaiah, G.S., 1973, Prediction in exponential life testing. Canadian Journal of Statistics, 1, 113–117.

[11] Soliman, A.A. and Abd Ellah, A.H., 1996, Additional factors for calculating prediction intervals for sth ordered

observation from one parameter exponential distribution. Bulletin of the Faculty of Science, Assiut University,

25(2-c), 1–18.

[12] Balakrishnan, N. and Lin, C.T., 2003, Exact prediction intervals for exponential distributions based on doubly

Type-II censored samples. Journal of Applied Statistics, 30, 783–8001.

[13] Balakrishnan, N. and Lin, C.T., 2002, Exact linear inference and prediction for exponential distributions based

on general progressively Type-II censored samples. Journal of Statistical Computation and Simulation, 72,

677–686.

[14] Lingappaiah, G.S., 1986, Bayes prediction in exponential life-testing when sample size is random variable.

IEEE Transactions on Reliability, R-35, 106–110.

[15] Soliman, A.A., 2000, Bayes prediction in a Pareto lifetime model with random sample size. The Statisticians,

49, 51–62.

[16] Soliman, A.A., 2000, Bayes 2-sample prediction for the Pareto distribution. Journal of the Egyptian

Mathematical Society, 8, 95–109.

[17] Raghunandanan, K. and Patil, S.A., 1972, On order statistics for random sample size. Statistica Neelandica, 26,

121–126.

[18] Buhrman, J.M., 1973, Order statistics when the sample size has a binomial distribution. Statistica Neerlandica,

27, 125–126.

[19] Proschan, F., 1963, Theoretical explanation of observed decreasing failure rate. Technometrics, 5, 375–383.

[20] Lawlees, J.F., 1982, Statistical Models & Methods For Lifetime Data (NewYork: Wiley).

[21] Nelson, W., 1982, Applied Life Data Analysis (NewYork: Wiley).

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