J. Appl. Math. & Informatics Vol. 38(2020), No. 1 - 2, pp.

91 - 97
https://doi.org/10.14317/jami.2020.091

A CHARACTERIZATION OF WEIBULL DISTRIBUTION BY

RECORD VALUES

MIN-YOUNG LEE

Abstract. Presented in this paper is a characterization of Weibull distri-

bution by an independence property of upper record values that Xk has a
XU (m)
Weibull distribution if and only if XU (n)
and XU (s) are independent for
1 ≤ m < n < s.

AMS Mathematics Subject Classification : 60E10, 62E15, 62H10.

Key words and phrases : Characterizations, Weibull distribution, upper
record values.

1. Introduction
A lot of authors [2, 3, 4, 5, 6, 7] have studied the characterizations of dis-
tributed random variables using an independence property of upper record val-
ues for several decades. The probabilistic independence property plays a role
in better understanding such characterizations for various distributions. The
current study will begin by the definition of an upper record value of a sequence
of distributed random variables as follows:
Let {Xn , n ≥ 1} be a sequence of independent and identically distributed ran-
dom variables with cumulative distribution function(cdf) F (x) and probability
density function(pdf) f (x). Suppose that Yn = max{X1 , X2 , . . . , Xn } for n ≥ 1.
We say Xj is an upper record value of this sequence, if Yj > Yj−1 for j > 1.
The indices at which the upper record values occur are given by the record times
{U (n), n ≥ 1}, where U (n) = min{j | j > U (n − 1), Xj > XU (n−1) , n ≥ 2} with
U (1) = 1. We assume that all upper record values XU (i) for i ≥ 1 occur at a
sequence {Xn , n ≥ 1} of i.i.d. random variables.
1 α X (i)
It is known that if F (x) = 1 − e− α x , x > 0, α > 0, then ξi = XUU(i+1) ,
i = 1, 2, · · · , n − 1, are independent (see [3]). In [6], the authors obtained char-
X
acterization that F (x) has a Weibull distribution if and only if XUU(m) (n)
and XU (n)

Received August 17, 2019. Revised October 17, 2019. Accepted November 19, 2019.
c 2020 KSCAM.

91
92 Min-Young Lee

are independent for 1 ≤ m < n. In addition, Ahsanullah and Shakil [4] ob-
tained characterization that Xk , k ≥ 1 has a Pareto distribution if and only if
XU (m)
XU (n) −XU (m) and XU (m) are independent for 1 ≤ m < n.
The above authors obtained the characterizations of Weibull and Pareto dis-
tributions using two upper record values XU (m) and XU (n) . It is a natural task
to extend such characterizations to the case of using more than two upper record
values. To accomplish the task is a primary motive of this study on the extended
characterization of the Weibull distribution using three different upper record
values XU (m) , XU (n) and XU (s) for 1 ≤ m < n < s. The main aim of this paper
is to suitably establish a characterization of the Weibull distribution using the
X
independence property between XUU(m) (n)
and XU (s) .

2. Main results
The following lemma will be proved first for later use in the main characteri-
zation result.
Lemma 2.1. Let F (x) be an absolutely continuous function and F̄ (x) = 1 −
F (x) > 0 for all x > 0. For ease of analysis, it is useful to denote
ln F̄ (vw) ln F̄ (uvw)
q(v, w) = , q(u, vw) =
ln F̄ (w) ln F̄ (vw)
and

m−1
n−m−1 ∂
G = q(u, vw) 1 − q(u, vw) q(u, vw)
∂u

n−1
s−n−1 ∂
× q(v, w) 1 − q(v, w) q(v, w),
∂v
∂ ∂
where G 6= 0, ∂u q(u, vw) 6= 0 and ∂v q(v, w) 6= 0 for any positive u and v
∂
with 1 ≤ m < n < s. If G is independent of w, then ∂w q(u, vw) = 0 and
∂
∂w q(v, w) = 0.
Proof. Let

m−1
n−m−1 ∂
G = q(u, vw) 1 − q(u, vw) q(u, vw)
∂u (1)

n−1
s−n−1 ∂
× q(v, w) 1 − q(v, w) q(v, w).
∂v
Using the series representation, (1) can be expressed as
 n−m−1   
i n−m−1
X
m−1+i ∂
G= (−1) q(u, vw) q(u, vw)
i=0
i ∂u
 s−n−1   
X s−n−1
n−1+j ∂
× (−1)j q(v, w) q(v, w)
j=0
j ∂v
 A characterization of Weibull distribution by record values 93

 n−m−1   
X n−m−1 1 ∂
m+i
= (−1)i q(u, vw)
i=0
i (m + i) ∂u
 s−n−1   
j s−n−1 1 ∂
X
n+j
× (−1) q(v, w)
j=0
j (n + j) ∂v
= h(u, vw)h(v, w).

Since G is a product of polynomials of partial derivatives (ln F̄ (uvw))m+i and

(ln F̄ (vw))n+j with respect to u and v, respectively, for fixed values of m, n, s
with 1 ≤ m < n < s, if G is independent of w, so are h(u, vw) and h(v, w).
Let
n−m−1  
X n−m−1 1 ∂
m+i
h(u, vw) = (−1)i q(u, vw)
i=0
i (m + i) ∂u
(2)
n−m−1  
∂ X i n−m−1 1
m+i
= (−1) q(u, vw) .
∂u i=0 i (m + i)

Integrating (2) with respect to u, we have

Z
h(u, vw)du = H(u, v) + c1
n−m−1   (3)
X
i n−m−1 1
m+i
= (−1) q(u, vw) .
i=0
i (m + i)

Thus H(u, v) is a function of u, v and c1 is independent of u but may depend on

w. Now letting u → 0+ , we see that q(u, vw) → 0 and hence c1 is independent
of w from (3). Differentiating (3) with respect to w, we get
n−m−1  
∂ i n−m−1
X
m+i−1 ∂
H(u, v) = (−1) q(u, vw) q(u, vw)
∂w i=0
i ∂w
 −1 (4)
∂ ∂
= h(u, vw) q(u, vw) q(u, vw) = 0.
∂u ∂w
∂ ∂
Since h(u, vw) 6= 0 from G 6= 0 and ∂u q(u, vw) 6= 0, we must have ∂w q(u, vw) =
0.
Let
s−n−1  
X s−n−1 1 ∂
n+j
h(v, w) = (−1)j q(v, w)
j=0
j (n + j) ∂v
(5)
s−n−1  
∂ X j s−n−1 1
n+j
= (−1) q(v, w) .
∂v j=0 j (n + j)
94 Min-Young Lee

Integrating (5) with respect to v, we have

Z
h(v, w)dv = H(v) + c2
s−n−1   (6)
X
j s−n−1 1
n+j
= (−1) q(v, w)
j=0
j (n + j)

Thus H(v) is a function of v only and c2 is independent of v but may depend

on w. Now letting v → 0+ , we see that q(v, w) → 0 and c2 is independent of w
from (6). Differentiating (6) with respect to w, we get
s−n−1
X s − n − 1
∂
n+j−1 ∂
H(v) = (−1)j q(v, w) q(v, w)
∂w j=0
j ∂w
(7)
 −1
∂ ∂
= h(v, w) q(v, w) q(v, w) = 0.
∂v ∂w
∂ ∂
Since h(v, w) 6= 0 from G 6= 0 and ∂v q(v, w) 6= 0, we must have ∂w q(v, w) = 0.
This completes the proof. 

Theorem 2.2. Let {Xn , n ≥ 1} be a sequence of independent and identically

distributed nonnegative random variables with cdf F (x) which is absolutely con-
tinuous with pdf f (x) and F (0) = 0 and F (x) < 1 for all x > 0. Then Xk , k ≥ 1
X
has a Weibull distribution if and only if XUU(m)
(n)
and XU (s) are independent for
1 ≤ m < n < s.

Proof. The joint pdf fm,n,s (x, y, z) of the record values XU (m) , XU (n) and XU (s)
(see [2]) is
{R(x)}m−1 {R(y) − R(x)}n−m−1
fm,n,s (x, y, z) = r(x)
Γ(m) Γ(n − m)
s−n−1
(8)
{R(z) − R(y)}
× r(y) f (z),
Γ(s − n)
d
where R(x) = − ln(F̄ (x)) and r(x) = dx R(x).
XU (m) XU (n)
Let us use the transformation U = XU (n) , V = XU (s) and W = XU (s) . The
2
Jacobian of the transformation is J = vw . Thus we can write the joint pdf
fU,V,W (u, v, w) of U , V and W as
{R(uvw)}m−1
fU,V,W (u, v, w) = r(uvw){R(vw) − R(uvw)}n−m−1
Γ(m)Γ(n − m)Γ(s − n)
× r(vw){R(w) − R(vw)}s−n−1 f (w)vw2
(9)
for 0 < u < 1, 0 < v < 1 and w > 0.
 A characterization of Weibull distribution by record values 95

α
If F (x) = 1 − e−x for all x > 0, α > 0, then we get
α3
fU,V,W (u, v, w) = uαm−1 {1 − uα }n−m−1 v αn−1
Γ(m)Γ(n − m)Γ(s − n) (10)
α s−n−1 αs−1 −wα
× {1 − v } w e
for 0 < u < 1, 0 < v < 1 and w > 0.
Integrating (10) with respect to v from 0 to 1, we have
α2 Γ(n) α
fU,W (u, w) = uαm−1 (1 − uα )n−m−1 wαs−1 e−w . (11)
Γ(m)Γ(n − m)Γ(s)
The marginal pdf of u is given by
Z ∞
fU (u) = fU,W (u, w)dw
0
(12)
αΓ(n)
= uαm−1 (1 − uα )n−m−1
Γ(m)Γ(n − m)
for all 0 < u < 1 and α > 0. Also, the pdf fW (w) of w is given by
{R(w)}s−1
fW (w) = f (w)
Γ(s)
(13)
α αs−1 −wα
= w e .
Γ(s)
From (11), (12) and (13), we obtain fU,W (u, w) = fU (u)fW (w). Hence U and
W are independent for 1 ≤ m < n < s.
Now we prove the sufficient condition. Since U and W as well as V and W are
1
independent (see [6]), we can express (9) with c = Γ(m)Γ(n−m)Γ(s−n) as follows.
fU,V,W (u, v, w)
= c{R(uv)}m−1 {R(w)}m−1 r(uv)r(w){R(w)}n−m−1
× {R(v) − R(uv)}n−m−1 r(v)r(w){R(w)}s−n−1 {1 − R(v)}s−n−1 (14)
2
× f (w)vw
= c gU,V (u, v) hW (w),
where gU,V (u, v) is a positive function of u and v and hW (w) is a positive function
of w only.
X X

As a result, U = XUU(m)(n)
, V = XUU(n)
(s)
and W = XU (s) are independent. Then
from (9) and (13), we must have the conditional pdf of (U, V | W ) as
fU,V |W (u, v | XU (s) = w)
Γ(s) {R(uvw)}m−1 {R(vw)}n−m−1
=
Γ(m)Γ(n − m)Γ(s − n) R(w)n (15)
 n−m−1  s−n−1
R(uvw) R(vw)
× 1− r(uvw) 1 − r(vw)vw2
R(vw) R(w)
96 Min-Young Lee

 m−1  n−m−1
Γ(s) R(uvw) R(uvw)
= 1−
Γ(m)Γ(n − m)Γ(s − n) R(vw) R(vw)
  n−1  s−n−1
∂ R(uvw) R(vw) R(vw)
× 1−
∂u R(vw) R(w) R(w)
 
∂ R(vw)
× ,
∂v R(w)
∂ R(uvw) ∂ R(vw)



which will be independent of w with ∂u R(vw) 6= 0 and ∂v R(w) 6= 0. Since
(15) is independent of w, we must have
 m−1  n−m−1  
R(uvw) R(uvw) ∂ R(uvw)
1−
R(vw) R(vw) ∂u R(vw)
 n−1  s−n−1   (16)
R(vw) R(vw) ∂ R(vw)
× 1− ,
R(w) R(w) ∂v R(w)
independent of w for all w > 0.
Now let R(uvw)
R(vw) = q(u, vw) and
R(vw)
R(w) = q(v, w). Writing (16) in terms of
q(u, vw) and q(v, w), we get

m−1
n−m−1 ∂
q(u, vw) 1 − q(u, vw)) q(u, vw)
∂u

n−1
s−n−1 ∂
× q(v, w) 1 − q(v, w) q(v, w),
∂v
as independent of w. Hence, by Lemma 2.1, we have
∂ ∂ R(uvw)
q(u, vw) = =0
∂w ∂w R(vw)
and
∂ ∂ R(vw)
q(v, w) = = 0.
∂w ∂w R(w)
Thus we get
R(uvw) R(vw)
= T1 (u, v) and = T2 (v), (17)
R(vw) R(w)
where T1 (u, v) is a function of u and v and T2 (v) is a function of v only.
The relation (17) is true for all w > 0 and any arbitrary fixed positive numbers
0 < u < 1 and 0 < v < 1.
By the theory of functional equations (see [1]), the only continuous solution
of (2.17) with the boundary conditions R(0) = 0 and R(∞) = ∞ is
R(x) = xα
α
for all x > 0 and α > 0. Thus we have F (x) = 1 − e−x for all x > 0 and α > 0.
This completes the proof. 
 A characterization of Weibull distribution by record values 97

Corollary 2.3. Let Y = − ln X. Then the statement of this theorem will be

equivalent to the statement that the difference of record values YU (n) − YU (m)
and the record value YU (s) are independent for 1 ≤ m < n < s.
Remark 2.1. For the case s = n, the method to show that the second type of
independence characterizes the family of distributions with the standard distri-
bution function F (x) = 1 − exp(− exp(x)) is presented in “Record” by Arnold,
Balakrishnan and Nagaraja (see Theorem 4.5.1 in [5]).

References
1. J. Aczel, Lectures on functional equations and their applications, Academic Press, 1996.
2. M. Ahsanullah, Record Statistics, Nova Science Publishers, 1994.
3. M. Ahsanullah, Record Values-Theory and Applications, University Press of America, 2004.
4. M. Ahsanullah, and M. Shakil, A note on the characterizations of Pareto distribution of
upper record values, Commun. Korean Math. Soc. 27 (2012), 835–842.
5. B.C. Arnold, M. Balakrishnan and H.N. Nagaraja, Records, Wiley, 1998.
6. M.-Y. Lee and E.-H. Lim, On characterizations of the Weibull distribution by the indepen-
dent property of record values, Journal. Chungcheong Math. Soc. 23 (2010), 245–250.
7. M. Shakil and M. Ahsanullah, Record Values of the Ratio of Rayleigh Random Variables,
Pakistan Journal of Statistics 27 (2011), 307–325.

Min-Young Lee received M.S. and Ph.D. from Temple University. Since 1991 he has been
at Dankook University. His research interests include characterizations of distribution, order
and record Statistics.
Department of Mathematics, Dankook University, Cheonan 31116, Republic of Korea.
e-mail: leemy@dankook.ac.kr