American Society for Quality

The Moments of Log-Weibull Order Statistics

Author(s): John S. White
Reviewed work(s):
Source: Technometrics, Vol. 11, No. 2 (May, 1969), pp. 373-386
Published by: American Statistical Association and American Society for Quality
Stable URL: http://www.jstor.org/stable/1267267 .
Accessed: 08/09/2012 16:35

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at .
http://www.jstor.org/page/info/about/policies/terms.jsp

.
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of
content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms
of scholarship. For more information about JSTOR, please contact support@jstor.org.

American Statistical Association and American Society for Quality are collaborating with JSTOR to digitize,
preserve and extend access to Technometrics.

http://www.jstor.org
TECIINOMETRICS VOL. 11, NO. 2 MAY, 1969

The Moments of Log-Weibull Order Statistics

JOHN S. WHITE
University of Minnesota

Let X1, < X2n < , . , < X,, be the order statistics of a random sample of size
n. For any integrable function g(x) define E(i, n) = E(g(Xin)) and M(n) = E(1, n) =
E(g(Xi,)). A number of formulae expressing E(i, n) in terms of M(j), j < n, are
developed. For example,

E(i,n)= _l (n) -i(n- j).

These results are applied to obtain the means and variances of the order statistics of
a log-Weibull distribution (F(x) = 1 - exp (- exp x)). Tables of these means and
variances are given for 1 < i < n, n = 1 (1) 50 (5) 100. The computations were
made using a set of 100 decimal place logarithms of integers. Examples of the use of
these tables in obtaining weighted least squares estimates from censored samples
from a Weibull distribution are also given.

1. THE MOMENTS OF ORDER STATISTICS

Let X,, < X2n < ... < Xn be the order statistics of a random sample of
size n from a population with distribution function F(x) and density function
f(x) = dF(x)/dx. The density function of Xin is then
n! )n if(X .
in(x) = (i- 1)!(n i) F(x) (1 - F(x)) . (1.1)

For any integrable function g(x) we have

E(g(X,.)) = dx (1.2)
f g(x)f.(x)

and in particular

E(g(Xi.)) = n f g(x)(l - F(x))n-f(x) dx (1.3)

To simplify the notation we write

E(i, n) = E(g(X)) (1.4)
M(j) = E(1, j) = E(g(XX,)).
If, in (1.2), we write F'i-(x) = (1 - (1 - F(x)))'- and expand by the binomial
theorem, we have

Received Nov. 1967; revised April 1968.

373
374 JOHN S. WHITE

E(i, n) = E (-i dx
(i-- 1)!(n - ) g(x)(1- F(x))"-'+ f(x) ((1.5)
1.5
=_ (-l)'n! i-- 1 M(n - i + j + 1)
(i- l)!(n- i)! j / n-i + j+ 1
Alternate forms of (1.5) are

) =(-lj-
S(_n)_,i - 1)!(n (n-n - jj 6
1 (1.6)
i--

E(,n) = (-)-+ (-1)'()( - l)M(j) (1.7)

i,n--i+l \/ - i
We note that for i = n, (1.7) reduces to

E(n, n)= - (-1) iM(j) (1.8)

From (1.5) we have

E(i + 1, n) - E(i, n) = ()(-1)()M(n

0
-
i + j) (1.9)
i-

We introduce the difference operator

AM(k) = M(k + 1) - M(k)
and apply the well-known formula (e.g. Abramovitz and Stegum (1964), p. 823)

A'M(n - i) = - i + j)
_ (-)(l)-'MI(n

to obtain

E(i + 1, n) - E(i, n)= (-1)' (n)AM(n - i) (1.10)

which, combined with the initial condition E(1, n) = M(1), gives

E(i, n) =- (-- /AM(n - j) (1.11)

This is a generalization of a result of Kimball (1947).

Another form of (1.11) is

E(i,n) = (-)i(n i+ i)AiM(ni + 1) (1.12)

which, for i = n, reduces to

n-1

E(n, n) = (-1)1A'M(1) (1.13)

i*o

Numerous other formulae for E(i, n) may be obtained by algebraic manipula-

tion of (1.5). Srikantan (1962) lists a number of formulae, including (1.7), which
 MOMENTS OF LOG-WEIBULLORDER STATISTICS 375

give E(i, n) in terms of E(j, k). One interesting result is the recurrence relation
iE(i + 1, n) - (n - i)E(i, n) = nE(i, n- 1) for 1 < i < n (1.14)

The problem in applying any of these formulae for the numerical computation
of E(i, n), for large n, is the buildup of roundoff errors. For example, if n = 100,
(1.8) becomes
100 /mn\
E(100, 100) = -1 (-1) I(10OM()

which is an alternating series of terms ranging in size from M(100) to

(100)M(50) = 10089, 13445, 45564, 19333, 48124, 97256M(50) (1.15)

Thus we require 31 decimal place accuracy in M(50) to insure 1 decimal place

accuracy in (1/)M(50). The same problem arises in the other formulae. In
(1.13) and (1.14) the differencing conceals the difficulties, but they are there
none-the-less.

2. THE LOG-WEIBULLDISTRIBUTION
The formulae in the preceding section were derived to assist in the computa-
tion of the moments of order statistics from a log-Weibull distribution. In
many problems of wear-out or fatigue type failure analysis, the Weibull distribu-
tion is used as a model for the time (cycles, miles, etc.) to failure. We say that
the random variable T is a Weibull variable with slope 3 and characteristic life
0 if
Prob (T < t) = 1 - exp (-(t/8)f) (2.1)
The random variable Y = log T is called a log-Weibull variable. We have

Prob (Y < t) = Prob (log T < t)

=
Prob (T < e) (2.2)

1 - exp (-(e'/0))
1 - exp (-exp (F(t - log 0)))

The random variable X = / (Y - log 0) is called a reduced log-Weibull variable.

The distribution function of X is

F(x) = Prob (X < x)

= Prob (/(Y - log 0) < x) (2.3)
= 1 -e - oo < x < Om

The moments of X are given by

376 JOHN S. WHITE

E(Xk) = f x dF(x)

_= K xke-"Z dx

o(log t)ke dt (t = e) (2.4)

= dk
dS f te-' dt ].-o

-= d r( + 1) |.-o
In particular we have

E(X) = r'(l) = - = --.577215664 ..-

E(X2) = r"(2) = 2/6 + 72

Var (X) = 72/6 = 1.644934067 ...

We note that the relationship between Weibull and log-Weibull variables is

the reverse of that between normal and log-normal variables. That is, if log Z
is normal then Z is called a log-normal variable, while if exp (Y) has a Weibull
distribution then we have said that Y is a log-Weibull variable. Perhaps a
more appropriate name than log-Weibull variable could have been chosen, but
on the other hand one might also argue that the name "log-normal" is misapplied.
We also note that the log-Weibull distribution is a form of Gumbel's Type I
extreme value distribution, while the Weibull distribution itself is related to
Gumbel's Type II distribution (Gumbel (1958), p. 157). The distribution func-
tion of the first order statistic in a sample of size n from a reduced log-Weibull
distribution is
Prob (XnK < x) = 1 - (1 - F(x))" = 1 - e-ne = F(x + log n).

This implies that X,, has the same distribution as X - log n,* and hence,
in particular,

E(X,n) = E(X) - log n = -y - log n

Var (X,,) = Var (X) = r2/6 (2.5)

E(X,,) = 7r/6 + (e + log n)2.

The moments of Xin may be expressed in terms of the moments of Xi ,

j < n, by setting g(x) = xk in any of the formulae (1.5)-(1.14). In particular
for g(x) = x, we have

M(j) = E(X13) = -y - log j

and (1.11) yields

* The author wishes to thank the referee for pointing out this relationship.
 MOMENTS OF LOG-WEIBULLORDER STATISTICS 377

E(X,) = E(i, n)
i-i
= Z(-1)','M(n-j) (2.6)
f-0

= - -' - (-1 ))^'log(n-j)

Similarly for g(x) = x2

M(j) = 2/6 + 72 + 2Y log n + log n2

E(X2n) = 2/6 + 72 + 2,y (-1) (n) log (n - j)

+E )'(log (n - (2.7)
(-1)(

Var (Xin) = r2/6 + j (-l) .)A'(log (n j))2

'
-( ( (-1) ( J)iiA log (n-j))

Obviously any of the other formulae (1.5)-(1.14) could have been used to
obtain the moments of X, , however, (1.11) was best adapted to the computa-
tional procedures used for the evaluation of the moments.
The mean and variance of Xi, for selected values of i and n as computed
from formulae (2.6), (2.7) are listed in Tables 1 and 2. From the remarks fol-
lowing (1.15) it is obvious that standard computer techniques, even using double
precision (16 significant figures) would lead to meaningless results. A multi-

TABLE I

LOG-WEIBULL ORDER STATISTICS

E(X(I,NII ? EXPECTED VALUE OF X(1,N1

I N . I N - 2 N - 3 N * 4 N - 5 N - 6 N 7 N = 8 N = 9 N - 10 I

I -0.5772157 -1.2703628 -1.6758280 -1.9635100 -2.1866536 -2.3689751 -2.5231258 -2.6566572 -2.7744402 -2.8798007 1
2 0.1159315 -0.4594326 -0.8127817 -1.0709358 -1.2750458 -1.4440711 -1.5884061 -1.7143929 -1.8261956 2
3 0.4036136 -0.1060835 -0.4255506 -0.6627159 -0.8524826 -1.0110660 -1.1474521 -1.2671822 3
4 0.5735126 0.1068945 -0.1883853 -0.4096935 -0.5881770 -0.7382939 -0.8680818 4
5 0.6901671 0.2545345 -0.0224042 -0.2312101 -0.4005308 -0.5436122 5

0.7772937 0.3653099 0.1028793 -0.0957534 -0.2574495 6

0.8459576 0.4527868 0.2021957 0.0120439 7
0.9021249 0.5243843 0.2836893 8
0.9493425 0.5845581 9
0.9898741 10

N - 11 N * 12 N - 13 N - 14 N - 15 N - 16 N - 17 N = 18 N - 19 N - 20 i

I -2.9751109 -3.0621223 -3.1421650 -3.2162730 -3.2852659 -3.3498044 -3.4104290 -3.4675874 -3.5216546 -3.5729479
-1.9266990 -2.0179858 -2.1016098 -2.1787614 -2.2503728 -2.3171880 -2.3798104 -2.4387360 -2.4943774 -2.5470820
-1.3739305 -1.4702648 -1.5580536 -1.6387004 -1.7132872 -1.7826660 -1.8475201 -1.9084061 -1.9657835 -2.0200359
-0.9825201 -1.0849275 -1.1776354 -1.2623485 -1.3403534 -1.4126458 -1.4800134 -1.5430900 -1.6023936 -1.6583530
-0.6678147 -0.7777052 -0.8763348 -0.9658526 -1.0478353 -1.1234760 -1.1937011 -1.2592454 -1.3207016 -1.3785557

-0.3945692 -0.5139679 -C.6198980 -0.7152026 -0.8018873 -0.8814258 -0.9549356 -1.0232860 -1.0871678 -1.1471396
-0.1431831 -0.2751705 -0.3903827 -0.4928252 -0.5851754 -0.6693231 -0.7466579 -0.8182348 -0.8848755 -0.9472338 7
C.1007451 -0.0489063 -0.1764171 -0.2879402 -0.3872821 -0.4769855 -0.5588449 -0.6341800 -0.7039936 -0.7690671 8
0.3522933 0.1755708 0.0307880 -0.0927748 -0.2010161 -0.2975787 -0.3848938 -0.4646760 -0.5381864 -0.6063833 9
10 0.6361725 0.4112008 0.2399187 0.0994340 -0.0206140 -0.1259118 -0.2199654 -0.3051116 -0.3829977 -0.4548347 10

11 1.0252442 0.6811668 0.4625855 0.2961126 0.1594579 0.0425647 -0.0600743 -0.1518484 -0.2350141 -0.3111607 11
12 1.0565240 0.7209088 0.5079872 0.3458052 0.2125912 0.0985495 -0.0016726 -0.0913642 -0.1727124 12
13 1.0844919 0.7563958 0.5485327 0.3902098 0.2601086 0.1486606 0.0506476 -0.0371321 13
14 1.1097301 0.7883747 0.5850687 0.4302410 0.3029732 0.1938974 0.0979135 14
15 1.1326840 0.8174184 0.6182461 0.4666032 0.3419289 0.2350333 15

1.1537018 0.8439747 0.6485747 0.4998497 0.3775607 16

1.1730597 0.8683997 0.6764606 0.5304220 17
1.1909809 0.8909808 0.7022321 18
1.2076475 0.9119529 19
1.2232104 20
378 JOHN S. WHITE
TABLE 2

LOG-MEIBULLORDERSTATISTICS
VAR(X(1,N1I * VARIANCEOF X(l?AI

I N I Na2 N" 3 NU4 N 5 N 6 N * 7 N u8 N 9 N to0

1 1.644934 16449 1..6

1.6449341 69341 1.6449341 1.644
1.6449341 9341 1 .6449341 1.6449341 1.6449341 1
2 0.6140280 0.6585223 0.6518024 0.6490732 0.6476996 0.6469119 0.6464186 0.6460893 0.6458586 2
3 0.4484980 0.4155311 0.4059829 0.4018551 0.3996852 0.3984006 0.3975763 0.3970154 3
4 0.3440242 0.3084975 0.2976160 0.2927128 0.2900542 0.2884424 0.2873883 4
5 0.2848645 0.2485456 0.2370107 0.2316587 0.2286890 0.2268551 5

0.2465820 0.2102103 0.1983660 0.1927502 0.1895784 6

0.2196408 0.1835496 0.1715826 0.1658141 7
0.1995586 0.1639008 0.1519175 8
0.1839503 0.1487923 9
0.1714287 10

I N - 11 N - 12 N - 13 N - 14 N - 15 N - 16 N 17 N - 18 N - 19 N - 20 1

1 1.6449341 1.644341 1. 9346449341 16 641.644

449341 9341
1.6 44931. 46449341
1. 644934116434 6449341 1
2 0.6456907 0.6455647 0.6454678 0.6453916 0.6453306 0.6452811 0.6452403 0.6452063 0.6451776 0.6451533 2
3 0.3966163 0.3963221 0.3960989 0.3959257 0.3957884 0.3956779 0.3955875 0.3955126 0.3954499 0.3953969 3
4 0.2866600 0.2861352 0.2857443 0.2854451 0.2852109 0.2850242 0.2848729 0.2847485 0.2846450 0.2845580 4
5 0.2256377 0.2247860 0.2241657 0.2236996 0.2233400 0.2230567 0.2228295 0.2226444 0.2224915 0.2223638 5

6 0.1875907 0.1862550 0.1853107 0.1846171 0.1840917 0.1836838 0.1833605 0.1830998 0.1828865 0.1827096 6
7 0.1625098 0.1604144 0.1589919 0.1579775 0.1572267 0.1566543 0.1562073 0.1558512 0.1555627 0.1553256 7
8 0.1460656 0.1426752 0.1405038 0.1390172 0.1379493 0.1371537 0.1365436 0.1360648 0.1356816 0.1353699
9 0.1368548 0.1309641 0.1275192 0.1252947 0.1237606 0.1226516 0.1218206 0.1211802 0.1206753 0.1202695 9
10 0.1367928 0.1249379 0.1190381 0.1155607 0.1132994 0.1117303 0.1105896 0.1097306 0.1090657 0.1085393 10

11 0.1611308 0.1270168 0.1152662 0.1093769 0.1058827 0.1035968 0.1020020 0.1008369 0.0999558 0.0992710 11
12 0.1524909 0.1188870 0.1072529 0.1013875 0.0978876 0.0955861 0.0939728 0.0927892 0.0918905 12
13 0.1451226 0.1120108 0.1004996 0.0946670 0.0911697 0.0888595 0.0872332 0.0860355 13
14 0.1387521 0.1061118 0.0947262 0.0889325 0.0854437 0.0831299 0.0814950 14
15 0.1331803 0.1009900 0.0897302 0.0839793 0.0805034 0.0781900 15

0.1282584 0.0964968 0.0853615 0.0796559 0.0761961 16

0.1238731 0.0925195 0.0815063 0.0758475 17
0.1199364 0.0889711 0.0780772 18
0.1163790 0.0857833 19
0.1131452 20

precision arithmetic program was written to evaluate log n and the required
binomial coefficients to as many places as necessary (for details see White
(1966)). All computations were carried out to 100 decimal places and check
formulae such as

E(X,n) = nE(X) -ny

i-1
(2.8)

E(Xn) = nE(X2) n(r2/6 + r2)

i-i

indicate that the final results were accurate to at least 60 decimal places.
Tables 1 and 2 give E(X,i) and Var (Xi,) for 1 < i < n < 20. Similar tables
which include sample sizes up to n = 100 are included in the General Motors
Publication GMR-717 and are available from the author. Table 1 in GMR-
717 is an extension of the Lieblein and Salzer table (1954) and verifies their
computations.
If Ti. is the ith order statistic in a random sample of size n from a Weibull
distribution with parameters / and 0, then Yin = log Tinis a log Weibull order
statistic and Xi. = B(Yi. - log 0) is a reduced log Weibull order statistic.
Thus, we have the representation
Y,n = log 0 + (1//)X,i (2.9)

and the mean and variance of Yi, may be obtained from Tables 1 and 2 as

E(Yi,) = log 0 + (1/jE(X ) .10)

Var
Vaz (Y,i)) (Y
= (1//)2 Var
=(1/3) (X ).(2.10)
Var (Xi).
 MOMENTS OF LOG-WEIBULLORDER STATISTICS 379

3. APPLICATIONS
We consider a life testing experiment in which n similar components are run
simultaneously until k components have failed. The sample data are then
tl < t2 < .. < tk
the ordered failure times (miles, cycles, etc.). The problem then is to make
certain inferences about the underlying population of failure time on the basis
of the sample data.
We assume that the underlying distribution of failure times is a Weibull
distribution with unknown parameters # and 0. The problem then is to estimate
, and 0, or more generally, to estimate the distribution function
Prob (Failure time < t) = P(t) = 1 - exp (-(t/8)'). (3.1)
We start the analysis by plotting the sample data points on Weibull prob-
ability graph paper. This is a special (t, p) coordinate graph paper designed so
that the plot of t vs. p = P(t) will appear as a straight line when P(t) is a Weibull
distribution function. If we rewrite (3.1) as
log t = log 0 + (1/0) log (-log (1 - p)), (3.2)
and then set
y = log t, x = log (-log (1 - p)), A = log 0, B = 1/0,
(3.1) is transformed into
y = A + Bx, (3.3)
the equation of a straight line on rectangular (x, y) graph paper.
Weibull probability graph paper may be constructed from rectangular graph
paper by labelling as t the grid line corresponding to y = log t and labelling
as lOOp the grid line corresponding to x = log (-log (1 - p)). Thus the plot
of the points (t, p), where p and t satisfy (3.1), on Weibull probability graph
paper is equivalent to the plot of the points (x, y), where y = A + Bx, on
rectangular graph paper. We note that most Weibull probability graph paper
has its axes reversed; that is, the horizontal axis is labelled t and the vertical
axis is labelled p.
If we knew pi = P(ti), for each sample failure time t , then the line through
the plotted points would completely determine the distribution function P(t)
and we would have no problem. The next step then is to determine some estimate
of pi so that we may plot the points (t , pi). Since ti = ti, is the value taken on
by the Weibull order statistic Ti,, we may consider y, = log ti as the value
taken on by the log Weibull order statistic Yi, and xi = 0(yi - log 0) as the
value taken on by the reduced log Weibull order statistic Xi,, = 3(Yin - log 0).
Thus we have

log Ti, = Yi, = log 0 + (1/B)Xi, = A + BXi. , .

log ti = y, log 0 + (1/13)xi = A + Bxi .
The sample value xi depends on the unknown parameters B(= 1/6) and
380 JOHN S. WHITE

A(= log 0), and hence can only be estimated. In this paper we shall estimate
xi as the mean value of the reduced order statistic Xi, . That is

x, = E(Xin) (3.5)

where E(Xi,) is the value listed in Table 1.

Thus we estimate the plotting position 100pi = Pi, as

pin = Prob (Ti, < ti) = P(ti)

= Prob (Yi, < yi) (3
= Prob (Xin < xi = E(Xin))

= 1 - exp (- exp (E(Xi,))).

Values of Pin as obtained from (3.6) are listed in Table 3.
This is only one of many possible procedures for plotting on probability graph
paper. Other candidates for plotting positions include
pin = i/(n + 1), p,n = (i - .5)/n, pin = F(median (X,i)).

A survey of plotting techniques and extensive references to earlier work are

given by B. F. Kimball (1960). The question of which plotting positions are
"best" is still open. The plotting positions proposed here are a natural byproduct
of the least squares process. In passing, we might note from Table A that our
plotting positions are quite close to those generated by pin = (i - .5)/n.
The data in Table A are the results of a life testing experiment in which
n = 100 similar components were run simultaneously until k = 15 had failed,
at which time the experiment was suspended.

TABLE 3

WEIBULL PROBABILITY GRAPH PAPER

P11,N) - FIE(X(I i,N)I PLOTTING POSITION

I N 1 N 2 N 3 N 4 h
N 5 N 6 N t N - 8 N- 9 N"10 I

1 42.962 24.477 17.068 13.096 10.622 8.933 7.708 6.778 6.048 5.460 1
2 67.467 46.828 35.829 29.014 24.378 21.019 18.474 16.479 14.873 2
3 77.625 59.317 47.973 40.277 34.712 30.499 27.199 24.544 3
4 83.043 67.137 56.321 48.514 42.612 37.993 34.279 4
5 86.386 72.469 62.388 54.777 48.827 44.046 5

88.646 76.330 66.990 59.695 53.838 6

90.272 79.251 70.597 63.655 7
91.498 81.537 73.500
92.453 83.374 9
93.218 1O

I N - 11 N 12 N - 13 N - 14 N - 15 N - 16 N - 17 N * 18 N - 19 N ' 20 1

1 4.976 4.571 4.227 3931 .674 3 448 3.249 3.071 2.912 2.76 1
2 13.552 12.447 11.508 10.701 10.000 9.385 8.841 8.357 7923 7.532
3 22.362 20.536 18.986 17.653 16.496 15.481 14.583 13.784 13.068 12.423
4 31.228 28.675 26.509 24.647 23.030 21.612 20.358 19.243 18243 17.341
5 40.120 36.837 34.052 31.659 29.580 27.758 26.147 24.713 23.429 22.271

6 49.032 45.015 41.608 38.682 36.140 33.913 31.944 30.191 28.621 27.207
7 57.962 53.207 49.176 45.714 42.708 40.074 37.746 35.674 33.818 32.146 7
8 66.912 61.414 56.754 52.754 49.283 46.241 43.553 41.161 39.019 37.089 8
9 75.885 69.636 64.345 59.804 55.864 52.413 49.365 46.652 44.223 42.034 9
10 84.881 77.879 71.949 66.864 62.454 58.592 55.181 52.147 49.430 46.983 10

11 93.844 86.140 79.570 73.936 69.052 64.777 61.003 57.646 54.641 51.934 11
12 94.366 87.207 81.023 75.662 70.971 66.831 63.151 59.856 56.888 12
13 94.807 88.123 82.284 77.174 72.667 68.660 65.074 61.846 13
95.186 88.918 83.389 78.511 74.176 70.298 66.808 14
14
15 95.513 89.613 84.365 79.700 75.528 71.??S IS

95.799 90.227 89.234 80.766 76.747 16

96.052 90.774 86.011 81.725 ?1
96.276 91.262 86.711 1
96.476 91.702 19
96.656 20
 MOMENTS OF LOG-WEIBULLORDER STATISTICS 381

TABLE A
Failure Times, Plotting Positions and Least Squares Computations

Failure Plotting
Time Position Log (T) E(Xin) Weight Var (Xin)
T P Y X W

1 10.4791 0.560 2.34938 -5.18239 0.60793 1.64493

2 12.9208 1.522 2.55884 -4.17735 1.55053 0.64494
3 16.9601 2.510 2.83086 -3.67228 2.53196 0.39495
4 18.1192 3.503 2.89697 -3.33382 3.52300 0.28385
5 18.7252 4.498 2.92987 -3.07866 4.51757 0.22136
6 22.8515 5.494 3.12902 -2.87345 5.51369 0.18137
7 29.9454 6.490 3.39938 -2.70153 6.51048 0.15360
8 31.0361 7.487 3.43515 -2.55337 7.50752 0.13320
9 32.8715 8.484 3.49261 -2.42302 8.50452 0.11758
10 33.2859 9.481 3.50513 -2.30651 9.50131 0.10525
11 35.3701 10.478 3.56587 -2.20106 10.4977 0.09525
12 36.0095 11.475 3.58378 -2.10465 11.4936 0.08700
13 36.9486 12.473 3.60953 -2.01577 12.4886 0.08007
14 37.6838 13.470 3.62923 -1.93324 13.4835 0.07416
15 42.5231 14.467 3.75005 -1.85616 14.4773 0.06907
Least Squares
Ey2yY = 48.6657 -42.4133 = E
?= 3.24438 -2.82755 = Xh X2
E Y2 = 160.510 132.171 = E X2
2XY = -132.076
E (Y - Y)2 = 2.62062 12.2459 = E (X - X)2
E (X - X) (Y - Y) = 5.52905
f = .451503 := 5.52905/12,2459
A = 4.52102 = 3.24438 - .451503 (- 2.82755)
= 2.21483 == 1/.451503
0 = 91.9297 == Exp (4.52102)

Weighted Least Squares

2YW = 391.113 -265.111 = ZXW
Y= 3.47010 -2.35216 = X
2Y2W- = 1365.43 654.756 = SX2W
ZXYW = -904.398
E (Y - Y)2W = 8.22419 31.1711 = E (X - )2W
E (X - X) (Y - Y)W = 15.5647
P = .499332 = 15.5647/31.1711
A = 4.64461 = 3.47010 - .499332 (- 2.35216)
= 2.00268 = 1/.499332
0 = 104.023 = Exp (4.64461)

A plot of the points (t , pi) appears in Fig. 1. The visually fitted line is an
estimate of the underlying distribution of failure times. From the plot we may
estimate, for example
a. That the 20-hour reliability of these components is 95%.
b. That not more than 1% of the components will fail before 10 hours.
382 JOHN S. WHITE

U.p

The parameters of the distribution may also be read from the graph. Since

P(t = 0) = 1 - exp (-(0/0)0) = 1 - e-~ = .63212.

The time at which 63.212% fail is the characteristic life 0. From the graph we
estimate 0 = 100. Similarly the slope j is the slope of the line with respect
to the rectangular coordinates which we estimate as /3 = 2.
Rather than fit the line by eye, it is more appealing to use some analytic
technique. The problem is to fit a line of the type

y = A + Bx

to a given set of points (xi , yi), i = 1, k. The linear regression or least squares
estimates of A and B are

/t = (x - x)(y - )
S (X -) (3.7)
T1 e l- Bx.
The estimated line is then
=A-A + /x.
 % 7;-4 ' '- t-W'1*-

MOMENTS OF LOG-WEIBULLORDER STATISTICS 383

The computations for our example data are given in Table A. The estimates
of the slope and characteristic life of the underlying distribution of failure times
are then
o= exp (A) = exp (4.52102) = 91.9297, (3.8)

- = 1/ = 1/.451503 = 2.21483.

Corresponding to the regression line

- = A + Ax = 4.52102 + .451503x
we have, in terms of the original data,

log t = log ? + (1/A) log (-log (1 - p)) (3.9)

or
t = 0(-log (1 - p))1/ = 91.9297(- log (1 - p)).451503 (3.10)
as an estimate of the time at which l00p% of the population will fail. The plot
of (3.10) appears in Fig. 2.
The statistical model which leads to the estimates (3.7) assumes that the
data points yi are the values taken on by a set of random variables Yi which

*Xp^t^^ X ;+ Figure 2 - Least Squares and Weighted Least Squares Liese

tt": -.
,t+ '',.
f-':-- ., ::,'
t,-- ::_t----" mt,-:
-.'---' -+

tt''i'.-t ;-,,, W ted Least Squares Lne4

uI,m
384 JOHN S. WHITE

satisfy
E(Yi) = A + Bxi (a)

Var (Y,) = a2 (b)

Cov (Yi, Yj) = 0 (i i (c)

where a2, A and B are unknown parameters and the xi are known constants.
If (a), (b), and (c) are satisfied then the estimates A and S are unbiased
and have minimum variance in the set of all linear estimators for A and B
(e.g., see White (1965)).
For our problem Y, = Yin is a log Weibull order statistic with

E(Y,) = A + BE(X,n) = A + Bxi

Var (Y,) = B2 Var (Xi) (3.11)

Cov (Yi, Yj) = B2 Cov (Xi , X,,)

where Xi, is a reduced log Weibull order statistic (2.9), (2.10). Thus assump-
tions (b) and (c) do not hold. However, it may still be shown that the estimators
A and S are unbiased (Scheffe (1959), pp. 20-21).
The so-called weighted least squares model replaces the common variance
assumption (b) with the assumption
Var (Y,) = o2/w, (b')
where the wi are known "weights."
The estimates for this model are

i _ ~ (y - y)(x -x )w
(X -
-*)2W (3.12)
A = y- Bx
where y and x are the weighted means

-_ E yw E xw
W w

These estimates are unbiased and, if assumption (c) is also satisfied, they have
minimum variance.
For our problem we may use the weights
w. = 1/Var (X,,) (3.13)
where Var (X,^) is obtained from Table 2.
The weighted least squares computations for our example data are given
in Table A. We note that the estimates of the slope and characteristic life are
/ = 2.00268 (3.14)
- 104.023
 MOMENTS OF LOG-WEIBULLORDER STATISTICS 385

as compared with
= 2.21483
= 91.9297
the "unweighted" least squares estimates (3.8). The weighted least squares
line is plotted in Fig. 2.
The " best" least squares line for this problem would be based not only on
the variances of the order statistics Yi but also on the covariances
Cov (X,i , X,,) = ai,, . (c')
If (w,i) is the inverse of the variance-covariance matrix (ao,) then the linear
unbiased minimum variance estimates of A and B are
k k

E E
ii i-i
(yi - g)(xi - )wi,
P =
t (xi - W)(x,- x)wii 315
A =-yBx
where x and y are the weighted means

zz* -wii y = E w,

We note that if a-i = 0, i $ j these estimates reduce to the weighted least

squares estimates (3.12) and if also ao-i = Var (Y,) = a2, they further reduce
to the simple least squares estimates (3.7).
Unfortunately the evaluation of aio is complicated and tedious. Lieblein
(1953) set forth the basic technique for computing oai for the log-Weibull
distribution which he and Zelen (1956) used to compute o-i for 1 < i, < j <,
n < 6. The Lieblein and Zellen tables have been extended to n = 20 by White
(1964) and to n = 25 by Mann (1968). It seems unlikely that these tables will
be extended to higher values of n, except perhaps for small values of i and j.
Blom (1962) gives a method of estimating o-i and w.i which gives results that
appear to be close to the exact results.

REFERENCES
(1) ABRAMOVITZ, M. and STEGUN, I. A., editors (1964). 'Handbook of Mathematical
Functions.' National Bureau of Standards Applied Mathematics Series 55, U. S. Govern-
ment Printing Office.
(2) BLOM,G. (1962). Nearly best linear estimators of scale and location parameters. Chapter
4B of 'Contributions to Order Statistics.' Sarhan, A. E. and Greenberg, B. G., editors.
John Wiley and Sons, New York.
(3) GUMBEL, E. (1958). 'Statistics of Extremes.' Columbia Univ. Press, New York.
(4) KIMBALL,B. F. (1946). Assignment of frequencies to a completely ordered set of sample
data. Transactions, American Geophysical Union 27, 843-846, 28 951-953.
(5) KIMBALL, B. F. (1960). On the choice of plotting positions on probability paper. J. Amer.
Statist. Assoc. 55, 546-560.
(6) LIEBLEIN, J. (1953). On the exact evaluation of the variances and covariances of order
statistics in samples from the extreme value distribution. Ann. Math. Statist. 24,
282-287.
386 JOHN S. WHITE

(7) LIEBLEIN, J. and ZELEN, M. (1956). Statistical investigation of the fatigue life of deep-
groove ball bearings. J. of Res. Natl. Bur. Stds. 67, 273-315.
(8) LIEBLEIN, J. and SALZER, H. E. (1957). Table of the first moment of ranked extremes.
J. of Res. Natl. Bur. Stds. 59, 203-206.
(9) MANN, N. R. (1968). Results on statistical estimation and hypothesis testing with
application to the Weibull and extreme-value distribution. AerospaceResearch Labora-
tories, Wright-PattersonAir Force Base, Ohio.
(10) SCHEFFE,H. (1959). 'The Analysis of Variance.'John Wiley and Sons, New York.
(11) SRIKANTAN,K. S. (1962). Recurrencerelations between the pdf's of order statistics, and
some applications.Ann. Math. Statist. 33, 169-177.
(12) WHITE, J. S. (1964). Least squares unbiased censored linear estimation for the log-
Weibull (extreme value) distribution. J. Indust. Math. Soc., 14, 21-60.
(13) WHITE,J. S. (1965). Linear estimation for the log-Weibull distribution. Annals of
Reliability and Maintainability, Vol. 4, Spartan Books Inc., Washington, 915-923.
(14) WHITE,J. S. (1966). A note on the precise computationof log, N. IndustrialMathematics
16, 39-46.
(15) WHITE, J. S. (1967). The moments of log-Weibull order statistics. Research Publication
GMR-717, Research Laboratories,General Motors Corp., Warren,Mich.