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Murat Tiryakioğlu*
Department of Engineering
Robert Morris University
Moon Township, PA 15108
USA
Abstract
Probability estimators developed previously by the authors have been used to obtain unbiased
estimates of the Weibull parameters by the linear regression method. Using these unbiased
estimators, percentiles of the Weibull distribution have been estimated. Since these percentiles
are determined from estimated parameters, they also have distributions and subsequently are
determined for five sample sizes. Analysis has shown that the distributions of these estimated
percentiles are neither normal, lognormal, 3-parameter Weibull nor 3-parameter log-Weibull. A
new methodology to estimate the percentile with a specified level of confidence is introduced.
The step-by-step use of the methodology is demonstrated by examples in the paper.
*: Corresponding author
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
Introduction
Weibull statistics is widely used to model the variability in the fracture properties of ceramics
and metals, where the concept of weakest link applies. For the two-parameter Weibull
distribution, the cumulative probability, P, that a part will fracture at a given stress, σ, or below
can be predicted as [1];
m
P 1 exp (1)
0
where σ0 is the scale parameter and m is the Weibull modulus, alternatively referred to as the
shape parameter. There are several methods available in the literature to estimate the Weibull
parameters such as linear regression, maximum likelihood method and method of moments.
Among these methods, the most popular method is linear regression mainly because of its
simplicity; taking the logarithm of Equation 1 twice yields a linear equation:
Regardless of which method is used, the estimates of Weibull parameters, by definition, have their
own distribution. The bias, i.e., the difference between the true parameter and the average of the
average of the distribution of the estimates, as well as the standard error in the estimates depend on
the method used [2,3,4].
Once the Weibull parameters are estimated, it is of interest to obtain conservative
estimates such as in design values, by estimating a given percentile of the Weibull distribution.
Estimated percentiles also have a distribution and therefore confidence levels are usually indicated
for such conservative estimates. For instance, Mil-Handbook-5 [5] defines “A”-design allowables
for alloys to be used in aerospace applications as the values for which at least 99% of the
population are expected to equal or exceed (1st percentile) with a confidence of 95%. "B"
th
allowables represent 90% exceedance (10 percentile) at the same confidence level of 95%.
Because the method for estimating the Weibull parameters determines the average and standard
deviation of estimates, it will also affect the estimated percentiles, as demonstrated by Barbero et al.
[6,7].
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
Although there have been many studies in which the distribution of the Weibull parameters
were investigated, it is the authors’ opinion that the estimated Weibull percentiles have not received
the same level of attention. The present study has been motivated by this gap in the literature and
builds on a recent study [8] by the authors in which probability estimators for unbiased estimates of
Weibull parameters were introduced for thirty sample sizes (n) ranging from 5 to 100. A new
approach to estimating percentiles is first introduced and then applied to the linear regression
method, using probability estimators that yield no bias for the estimates of the Weibull modulus and
the scale factor.
Background
To obtain a given percentile of the Weibull distribution, Equation 1 can be rearranged as;
where σP is the Pth percentile. The ratio of five percentiles ranging from 1 to 50 to the scale
parameter is plotted in Figure 1. Note that the value of m has a profound effect on the ratio.
Because σ0 and m are unknown, their estimates, ̂ 0 and m̂ have to be used to estimate the
percentile. Because ̂ 0 and m̂ have their own distributions, the estimated percentiles will have a
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
using the Anderson-Darling goodness-of-fit test [12,13,14]. The author found that the
distribution of m̂ for 5≤n≤50 is not normal, lognormal nor 3-parameter Weibull for the
maximum likelihood method. For the moments method, the distribution of m̂ was found to be
lognormal for n≥40. For any sample size, the normal 3-parameter Weibull distributions did not
provide a good fit.
More recently, the authors [8] developed probability estimators that yield unbiased
estimates of the Weibull parameters for samples sizes (n) between 5 and 100. Moreover, they
analyzed the distribution of normalized ̂ 0 and m̂ and found that (i) the distribution of
normalized ̂ 0 is normal [8], and (ii) the distribution of normalized m̂ is neither normal,
lognormal, 3-parameter Weibull nor 3-parameter log-Weibull [15]. Although the distribution of
probability equations recently introduced by the authors [8] will not follow any of the four
distributions indicated above.
This study is a continuation of the research on unbiased estimates of the Weibull
parameters using the linear regression technique.
Research Methodology
Monte Carlo simulations were used to generate n data points from a Weibull distribution with
σ0=1 and m=1. The probability estimators that yield unbiased estimates of the Weibull
parameters reported by the authors [8] were used. These probability estimators have the form,
ia
P (4)
nb
where i is the rank of the data point in the sample in ascending order, n represents the sample
size, and a and b are numbers, such that 0 a 0.5 and 0 b 1.0. The authors provided a
table (Table 1 in Ref. 15), in which a and b for each sample size are listed. Thirty sample sizes
ranging from 5–100 were investigated. At each iteration, n random numbers between 0 and 1
were generated to obtain a set of σ values. The estimates of Weibull modulus and scale factor
( m̂ and ̂ o , respectively) were obtained by Equation 2. For each sample size, the experiment
was repeated 20,000 times. Estimated percentile points were calculated as;
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
1
ˆ P ˆ o ln(1 P) m̂ (5)
the case ̂ o ' = k, the transformation is straight forward; because is a linear function of ˆ o , the
desired percentile can be obtained from the appropriate table and multiplied by k. For instance,
assume that 10th percentile for n=20 is desired with a confidence level of 95% (as in B allowable)
when ̂ o ' = 12 and m̂ = 1. From Table 2, ̂ P is found as 0.101. Hence the 10th percentile with a
1
P ' ˆ o ln(1 P' ) m̂' (5.a)
where m̂' km̂ . Inserting Equation 5.a into Equation 1, we obtain:
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
1
m̂
ˆ ln(1 P' )
o km̂
P 1 exp
ˆ o
1
= 1 exp ln(1 P' ) k (6)
percentile P from Equation 6, where P represents the percentiles when using o = 1 and m = 1,
as presented in Tables 1-5.
As an example, consider the case where o = 1 and m = 3 and it is necessary to find the
distribution for the 10th percentile for n=20. Substituting k = 3, and P′ = 0.10 in Equation 6
yields P = 0.376. In other words, the distribution for the 37.6th percentile when o = 1 and m = 1
will be the same as the distribution for the 10th percentile when o = 1 and m = 3. In a short
paper, it is not feasible to give distributions for all percentiles and all multiple sample sizes to the
accuracy above (such as the 37.6th percentile). However, it is possible to interpolate between the
percentage points given in Tables 1-5 to obtain approximate distributions.
After evaluating various examples, it became clear that a geometric rather than a linear
interpolation gives significantly closer results. In the above case for n = 20, a geometric
interpolation was used between the distributions for the 30th and 40th percentiles. For each value
X in the 30th percentile distribution and each value Y in the 40th percentile, the value Z for the
37.6th percentile was computed as:
Z X1 a Y a (7)
Because 37.6 is 76% of the distance between 30 and 40, a=0.76. In this example, the geometric
interpolation gave results within 2% and in many cases less than 1% of the true values. The
results of this example are summarized in Table 6.
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
2. We now consider Equation (6) using m = 4.92, with 0 =1.0. The one-sided 99%
confidence interval for the population 10th percentile when m = 4.92 and 0 =1.0
corresponds to the confidence interval for the 46.9th percentile when m = 1.0 and σ0=1.0.
Interpolating using results for the 10th percentile in Table 4 gives a 99% confidence that
the 10th percentile is greater than 0.48. That is, we are 99% confident that 90% of the
population is greater than 0.48.
3. Finally, we combine the various confidence intervals. Thus, if 0 =1.0, we can be 99%
confident that m > 4.92 and given that m is in this range, we can be 99% confident that
the 10th percentile is greater than 0.48. That is, we are approximately 98% (0.992)
confident that the population 10th percentile is greater than 0.48 when 0 =1.0. Further,
we are 99% confident that σ0 is greater than 3.09 so we can be approximately 97%
(0.98×0.99) confident that the 10th percentile is greater than 1.48 (3.09×0.48).
Conclusions
The distributions of the estimated percentiles in this paper are neither normal, lognormal, 3-
parameter Weibull nor 3-parameter log-Weibull. As a result, it is necessary to generate tables
for the distribution of percentiles. This was done for five samples sizes when the shape and scale
parameters are both equal to one.
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
Percentiles
Percentiles
Percentiles
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
Percentiles
Percentiles
10
D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
1.0
P=0.50
P=0.10
0.8
P=0.25 P=0.05
0.6
P/0
P=0.01
0.4
0.2
0.0
1 10 100
m
Figure 1. The plot of σP/σ0 as a function of m for various percentiles.
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D. Hudak, M. Tiryakioǧlu: Journal of Materials Science, v. 44, pp.1959–1964, 2009.
16
14
12
10
f
0
0.000 0.035 0.070 0.105 0.140 0.175
0.05
Figure 2. Probability density of estimated 5th percentile results for n=30.
12