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Modified cramer-von mises and anderson-darling tests for weibull distributions with unknown location and scale parameters
John G. Bush a; Brian W. Woodruff b; Albert H. Moore a; Edward J. Dunne a a U.S. Air Force Institute of Technology, Wright-Patterson AFB, Ohio b University of Dayton, Dayton, Ohio Online Publication Date: 01 January 1983

To cite this Article Bush, John G., Woodruff, Brian W., Moore, Albert H. and Dunne, Edward J.(1983)'Modified cramer-von mises and

anderson-darling tests for weibull distributions with unknown location and scale parameters',Communications in Statistics - Theory and Methods,12:21,2465 2476
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MODIFIED CRAMER-VON MISES AXD ANDERSON-DARLING TESTS FOR WEIBULL DISTRIBUTIONS WITH UNKNOVN LOCATION AND SCALE PARAMETERS

J o h n G . Bush, B r i a n li. Woodruff A l b e r t H. Moore U.S. A i r F o r c e I n s t i t u t e o f Technology W r i g h t - P a t t e r s o n AFB, Ohio 4 5 4 3 3 Key v o r d s a n d P h r a s e s : goodness-oj7-fit; f u n c t i o n ; Monte CarZo ABSTRACT

Edward J . Dunne U n i v e r s i t y of Dayton Dayton, Ohio 45469 eqiricaZ distribution

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The s t a n d a r d Cramer-von M i s e s a n d Anderson-Darling of-fit

goodness-

tests r e q u i r e c o n t i n u o u s u n d e r l y i n g d i s t r i b u t i o n s w i t h known I n t h i s p a p e r , t a b l e s of c r i t i c a l v a l u e s a r e g e n e r a t e d

parameters.

f o r b o t h t e s t s f o r W e i b u l l d i s t r i b u t i o n s w i t h unknown l o c a t i o n and s c a l e p a r a m e t e r s a n d known s h a p e p a r a m e t e r s . Cramer-von M i s e s , A n d e r s o n - D a r l i n g , The powers o f t h e a n d Chi-

Kolmogorov-Smirnov,

Square t e s t s f o r t h i s s i t u a t i o n a r e i n v e s t i g a t e d .

The Cramer-von

M i s e s t e s t h a s most power when t h e s h a p e i s 1 . 0 a n d t h e AndersonD a r l i n g t e s t h a s most power when t h e s h a p e is 3 . 5 . Finally, a rela-

t i o n between c r i t i c a l v a l u e and i n v e r s e shape parameter i s presented.

1.

INTRODUCTION

One o f t h e more i m p o r t a n t f a m i l i e s of d i s t r i b u t i o n s i n r e l i a b i l i t y s t u d i e s is t h e Weibull family. the density function The f a m i l y i s r e p r e s e n t e d by

2465
Copyright @ 1983 by Marcel Dekker, Inc.
0361-0926/83/1221-2465$3.50/0

2466 where x

BUSH ET AL. c

2 0 and

K, 0 > 0.

Here, c i s t h e l o c a t i o n parameter,

0 i s t h e s c a l e p a r a m e t e r , and K i s t h e s h a p e p a r a m e t e r
I t i s o f t e n of i n t e r e s t t o d e t e r m i n e w h e t h e r a s e t of d a t a

c a n b e c o n s i d e r e d t o come from a p o p u l a t i o n governed by t h e f a m i l y . One c l a s s of g o o d n e s s - o f - f i t t e s t s t h a t c a n b e u s e d c o n s i s t s of

t e s t s b a s e d on t h e d i s t a n c e between t h e e m p i r i c a l d i s t r i b u t i o n f u n c t i o n and t h e h y p o t h e s i z e d d i s t r i b u t i o n f u n c t i o n . T h r e e of t h e

b e t t e r known t e s t s i n t h i s c l a s s a r e t h e Kolmogorov-Smirnov, Cramer-von M i s e s , a n d Anderson-Darling tests. These t e s t s a r e

v a l i d when t h e r e a r e no unknown p a r a m e t e r s i n t h e h y p o t h e s i z e d d i s tribution. T h e s e t e s t s become e x t r e m e l y c o n s e r v a t i v e , however, i f

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t h e y a r e u s e d i n c a s e s where unknown p a r a m e t e r s must b e e s t i m a t e d from t h e s a m p l e d a t a . S e v e r a l p a p e r s e x i s t i n t h e l i t e r a t u r e t h a t a d d r e s s t h e problems of f i n d i n g c r i t i c a l v a l u e s f o r t h e s e t e s t s when unknown p a r a m e t e r s must b e e s t i m a t e d . L i l l i e f o r s (1967, 1969) h a s u s e d Monte

C a r l o methods t o c o n s t r u c t t a b l e s f o r t h e Kolmogorov-Smirnov t e s t when t h e mean and v a r i a n c e of a n o r m a l d i s t r i b u t i o n a r e e s t i m a t e d and when t h e mean of a n e x p o n e n t i a l d i s t r i b u t i o n i s e s t i m a t e d . Subsequent p a p e r s by S t e p h e n s (1970, 1 9 7 4 ) , D u r b i n (19751, and

Green and Hegazy (1976) h a v e e x t e n d e d t h e work on g o o d n e s s - o f - f i t t e s t i n g f o r normal and e x p o n e n r i a l d i s t r i b u t i o n s w i t h unknown parameters. T a b l e 54 of P e a r s o n and H a r t l e y (1972) c o n t a i n s v e r y t e a s

compact t a b l e s of c r i t i c a l v a l u e s f o r s e v e r a l g o o d n e s s - o f - f i t f o r these cases. Goodness-of-fit

t e s t s h a v e a l s o been d e v e l o p e d f o r t h e W e i b u l l P a p e r s by Mann, S c h e u e r , and F e r t i g (1973)

d i s t r i b u t i o n w i t h unknown s c a l e and s h a p e p a r a m e t e r s , b u t w i t h known l o c a t i o n p a r a m e t e r .

S t e p h e n s ( 1 9 7 7 ) , C h a n d r a , S i n g p u r w a l l a , and S t e p h e n s ( 1 9 8 1 ) , and L i t t e l l , McClave, and O f f e n (1979) h a v e a l l a d d r e s s e d t h i s problem. T a b l e s of a m o d i f i e d Kolmogorov-Smirnov t e s t f o r a W e i b u l l d i s t r i b u t i o n w i t h unknown l o c a t i o n and s c a l e , b u t known s h a p e p a r a m e t e r s a p p e a r i n Woodruff, Moore, Dunne, and C o r t e s ( 1 9 8 3 ) . I n t h i s p a p e r , t a b l e s of c r i t i c a l v a l u e s f o r m o d i f i e d Anderson-Darling and Cramer-von M i s e s t e s t s a r e o b t a i n e d
01-

WEIBULL DISTRIBUTIONS W e i b u l l d i s t r i b u t i o n s w i t h unknown l o c a t i o n and s c a l e and known shape parameters. n

=

These t a b l e s a r e o b t a i n e d f o r sample s i z e s Section 2 Section 3

5(5)30 and shape parameters K = . 5 ( . 5 ) 4 . 0 .

d e s c r i b e s t h e methodology of t h e t a b l e g e n e r a t i o n .

c o n t a i n s a power s t u d y of r h e m o d i f i e d t e s t s and S e c t i o n 4 d e s c r i b e s a m a t h e m a t i c a l r e l a t i o n between t h e c r i t i c a l v a l u e s a n d shape parameters. 2. MODIFIED ANDERSON-DARLING AND CRAMER-VON MISES TESTS

For a given sample s i z e n , and g i v e n shape parameter K, w e r e g e n e r a t e d from a ( 1 ) ~ ~ ( ' ' 2' ' x ( n ) ' ) W e i b u l l d i s t r i b u t i o n w i t h t h e g i v e n K and w i t h c = 2 and 8 = 1. The d e v i a t e s w e r e g e n e r a t e d on a CDC 6600 computer u s i n g t h e I n t e r n a t i o n a l M a t h e m a t i c a l and S t a t i s t i c a l L i b r a r y (ZIISL) r o u t i n e o r d e r e d random d e v i a t e s x

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GGWIB.
N e x t , maximum l i k e l i h o o d e s t i m a t e s , c a n d 0 , w e r e o b t a i n e d f o r c a n d 8 u s i n g a n i t e r a t i v e p r o c e d u r e d e v e l o p e d by H a r t e r and Moore ( 1 9 6 5 ) . These v a l u e s were then used t o determine F ( x ) , t h e

h y p o t h e s i z e d W e i b u l l d i s t r i b u t i o n f u n c t i o n , where

Then t h e v a l u e of t h e A n d e r s o n - D a r l i n g s t a t i s t i c ,

o r t h e Cramer-von Flises s t a t i s t i c ,

was c a l c u l a t e d , d e p e n d i n g on which t e s t was b e i n g m o d i f i e d a t t h e time. I n e q u a t i o n s (3) and ( 4 ) , Ui = F ( x ( ~ ) ) . T h i s p r o c e d u r e was r e p e a t e d 5000 t i m e s f o r e a c h s a m p l e s i z e , e a c h v a l u e of t h e s h a p e p a r a m e t e r , and f o r b o t h t e s t s . or The 5000 A*

wL s t a t i s t i c s w e r e t h e n o r d e r e d , and t h e 8 0 t h , 8 5 t h , 9 0 t h , 9 5 t h ,

BUSH ET AL. and 9 9 t h p e r c e n t i l e s w e r e f o u n d . T a b l e I c o n t a i n s c r i t i c a l v a l u e s f o r t h e m o d i f i e d Cramer-vonMises t e s t . T a b l e I1 c o n t a i n s c r i t i c a l v a l u e s f o r t h e m o d i f i e d T h e . n u l 1 h y p o t h e s i s of a W e i b u l l d i s t r i b u -

Anderson-Darling t e s t .

t i o n w i t h s p e c i f i e d shape parameter i s r e j e c t e d a t t h e d e s i r e d s i g n i f i c a n c e l e v e l i f t h e c a l c u l a t e d v a l u e of t h e t e s t s t a t i s t i c exceeds t h e t a b u l a t e d v a l u e . R e s u l t s found i n A n t l e and B a i n (1969) g u a r a n t e e t h a t t h i s p r o c e d u r e i s v a l i d f o r any s c a l e and l o c a t i o n p a r a m e t e r s b e c a u s e

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t h e d i s t r i b u t i o n of F(x) using v a l u e s of c a n d 8 . 3.

and

is independent of t h e t r u e

POWER STUDY Kolmogorov-

A power c o m p a r i s o n was made between t h e C h i - s q u a r e ,

Smirnov, Cramer-von M i s e s , a n d A n d e r s o n - D a r l i n g g o o d n e s s - o f - f i t t e s t s f o r t h e three-parameter l o c a t i o n p a r a m e t e r s unknown. Weibull d i s t r i b u t i o n w i t h s c a l e and The power was d e t e r m i n e d by g e n e r a t i n g

5000 random s a m p l e s of s i z e n from e a c h of e i g h t a l t e r n a t e d i s t r i b u t i o n s f o r each t e s t . The a l t e r n a t e d i s t r i b u t i o n s c o n s i d e r e d w e r e t h e

Weibull w i t h shape = 1 . 0 , 2.0,

3 . 5 , gamma w i t h s h a p e

2.0, uniform,

n o r m a l , b e t a ( P = 2 , Q=3), and b e t a ( P = 2 , Q=2). F o r e a c h t e s t , t h e a p p r o p r i a t e t e s t s t a t i s t i c was c a l c u l a t e d a n d compared t o t h e c r i t i c a l v a l u e f o r t h a t t e s t . The c r i t i c a l

v a l u e s f o r t h e Cramer-von M i s e s and A n d e r s o n - D a r l i n g t e s t s a r e t h o s e i n T a b l e s I and 11. The c r i t i c a l v a l u e s f o r t h e Kolmogorov-Smirnov The

t e s t a r e found i n Woodruff, Moore, Dunne, and C o r t e s ( 1 9 8 3 ) . C h i - s q u a r e c r i t i c a l v a l u e s w e r e g e n e r a t e d u s i n g a Monte C a r l o

s i m u l a t i o n w i t h f i v e o b s e r v a t i o n s p e r c e l l , s a m p l e s i z e n=25, a n d 5000 r e p e t i t i o n s . T a b l e I11 c o n t a i n s powers f o r s h a p e p a r a m e t e r 1 . 0 and T a b l e IV c o n t a i n s powers f o r s h a p e p a r a m e t e r 3 . 5 . When K=1.0, t h e power

o f t h e t e s t s i n d e c r e a s i n g o r d e r a r e Cramer-von M i s e s , AndersonD a r l i n g , Kolmogorov-Smirnov, and C h i - s q u a r e . When K=3.5, t h e

A n d e r s o n - D a r l i n g a n d Cramer-von M i s e s t e s t s c h a n g e p o s i t i o n s i n t h e power r a n k i n g .

WEIBULL DISTRIBUTIONS

Table I C r i t i c a l V a l u e s f o r Modified Cramer-von Mises Test

~1

K=.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

BUSH ET AL.

Table I1

Critical Values for Modified Anderson-Darling Test

K=.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

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WEIBULL DISTRIBUTIONS

T a b l e I11
Ho:

Power T e s t f o r t h e W e i b u l l D i s t r i b u t i o n Weibull D i s t r i b u t i o n , K = 1 . 0 - H : Another D i s t r i b u t i o n L e v e l of S i g n i f i c a n c e

=

.05

Sample Alternate Distributions Size l j e i b u l l W e i b u l l W e i b u l l Gamma Uniform Normal Beta Beta n T e s t K=1.0 K=2.0 K=3.5 K=2.0 P=2 Q=3 P=2 Q=2 K-S 2 2 .057 .056 .047 .047 -049 .053 .043 -045 .575 .700 .655 .371 .277 .346 .321 .051 ,885 .947 .930 .740 .568 .667 .624 .079 .I96 .245 .231 .I21 -099 .116 .I22 .040 .575 .746 .703 .318 .328 .446 .384 .072 .904 .950 .938 .785 .606 .699 .685 .079 .628 .773 ,715 .389 .340 .428 .359 .057 .771 .899 .867 .554 .454 .578 .508 .069

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25

x'
K-S 15

wL
iI2

K-S

L e v e l of S i g n i f i c a n c e = . 0 1 Sample Size n K-S Alternate Distributions W e i b u l l LJeibull W e i b u l l Gamma Uniform Normal Beta Beta K=1.0 K=2.0 K=3.5 K=2.0 P=2 Q=3 P=2 Q=2 .012 .011 .009 .009 .012 .012 .009 .009 .008 .007 .324 .424 .351 -190 .lo5 .I39 .lo7 .003 .002 .004 .717 .828 .781 .587 a315 .422 .347 .007 .006 .007 .069 .083 .062 .037 .029 .027 .021 .004 .003 .017 .303 .449 .361 .I87 .I25 .191 .I38 .007 .005 .006 .756 .857 .819 .636 .362 .465 .434 .003 .004 .061 .351 .506 .406 .215 .I34 .I77 .I22 .003 .002 .001 .524 .695 .618 .371 .I99 .291 .216 .005 .005 .004

wL
25 A2

x2
K-S 15
W2 A2

K-S 2 W
!z I

BUSH ET AL.
Table I V Power T e s t f o r t h e W e i b u l l D i s t r i b u t i o n Ho: W e i b u l l D i s t r i b u t i o n , K = 3 . 5 - H : A n o t h e r D i s t r i b u t i o n Level of S i g n i f i c a n c e = .05 Sample Alternative Distributions Size Iileibull W e i b u l l W e i b u l l Gamma Uniform Normal Beta Beta P=2 Q=3 P=2 Q=2 n Test K=1.0 K=2.0 K=3.5 K=2.0 K-S .801 .I72 .051 .602 .I29 .076 ,093 .067

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.667 .219 .238

.I17 .064 .063

,056 .052 .053

.476 .I80 .I95

-131 .063 .069

.061 .053 .057

.065 .053 .056

.050 .050 .054

K-S 5

w2

L e v e l o f S i g n i f i c a n c e = .O1 Sample Size Alternative Distributions W e i b u l l W e i b u l l h ' e i b u l l Gamma Uniform Normal Beta Beta T e s t K=1.0 K=2.0 K=3.5 Kz2.0 ~ = 4=3 p=2 ~ = 2 2 K-S .600 .726 .782 -271 .372 .463 .467
K-S

.054 .056 .071 .022 .026 .033 .031 .013 .016

.010 .008 .009 .011 .013 .012 .010 .008 .011

.434 .491 .520 .I51 .294 .343 .339 .085 .lo9

.030 .042 .067 .022 .a19 .023 .024 .010 .014

.020 .020 .023 .014 .017 .016 .013 .010 .011

.022 .020 .025 .011 .016 .015 .011 .007 .011

-013 .014 .017 .010 .008 .010 .007 .008 .010

w2
25 *2

x2
15
W

K-S 2

.lo6 .I33

WEIBULL DISTRIBUTIONS

2473

Table V C o e f f i c i e n t s a n d R V a l u e s f o r t h e R e l a t i o n s h i p Be tween t h e Cramer-von M i s e s C r i t i c a l V a l u e s a n d t h e W e i b u l l Shape P a r a m e t e r s , 1 . 5 ( , 5 ) 4 . 0

L e v e l of S i g n i f icance

.20

.15

.10

.05

.01

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Legend:

a
R~
a0

BUSH ET AL.

Table V I 2 C o e f f i c i e n t s a n d R V a l u e s f o r t h e R e l a t i o n s h i p Between t h e Anderson-Darling C r i t i c a l Values and t h e Weibull Shape Parameters, 1 . 0 ( . 5 ) 4 . 0

L e v e l of S i g n i f icance
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.20

.15

.10

.05

.01

Legend:

a1 a0

R2

WEIBULL DISTRIBUTIONS 4. RELATION BETWEEN CRITICAL VALUE A D SHAPE PARAMETER N

=

For sample s i z e s n

5(5)30 with

.01, .05,

.lo,

.15, and

.20, graphs o f c r i t i c a l v a l u e s w i t h shape parameters were p l o t t e d . Using t h e method o f l e a s t s q u a r e s , a n a t t e m p t was made t o f i t equations t o t h e s e graphs. The b e s t model found t o r e p r e s e n t t h e r e l a t i o n s h i p i s

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where y i s t h e c r i t i c a l v a l u e , and k i s t h e s h a p e p a r a m e t e r g r e a t e r 2 t h a n 1 . 0 . T a b l e V p r e s e n t s v a l u e s of a. and as and t h e R v a l u e f o r t h e Cramer-von M i s e s t e s t , and T a b l e V I p r e s e n t s t h e s e v a l u e s f o r t h e Anderson-Darling t e s t . These t a b l e s i n d i c a t e a reasonably

good f i t i s o b t a i n e d , showing t h a t a t l e a s t a n a p p r o x i m a t e c r i t i c a l value can be obtained f o r a goodness-of-fit t e s t f o r a Weibull with

any known s h a p e p a r a m e t e r between 1 . 0 a n d 4 . 0 w i t h e s t i m a t e d s c a l e and l o c a t i o n p a r a m e t e r s . BIBLIOGRAPHY A n t l e , C . E . and B a i n , L. J . ( 1 9 6 9 ) . A p r o p e r t y of maximum l i k e l i hood e s t i m a t o r s o f l o c a t i o n and s c a l e p a r a m e t e r s . SLAM Review, 11, - 251-253. Chandra M . , S i n g p u r w a l l a , K . D . , a n d S t e p h e n s , M. A. ( 1 9 8 1 ) . K o ~ m-o ~ o r osvt a t i s t i c s f o r t e s t s o f f i t f o r t h e e x t r e m e - v a l u e and W e i b u l l d i s t r i b u t i o n . J. Amer. S t a t i s t . A s s o c . , 729-731.

76,

D u r b i n , J . ( 1 9 7 5 ) . Kolmogorov-Smirnov t e s t s when p a r a m e t e r s a r e e s t i m a t e d w i t h a p p l i c a t i o n s t o t e s t s of e x p o n e n t i a l i t y a n d t e s t s on s p a c i n g s . B i o m e t r i k a , 62, 5-22. G r e e n , J. R. a n d Hegazy, Y . A. S. ( 1 9 7 6 ) . P o w e r f u l m o d i f i e d EDF g o o d n e s s - o f - f i t t e s t s . -. - - -Assoc. J Amer. S t a t i s t . 9 - 9 71 204-209. H a r t e r , H . L . a n d Moore, A . H. ( 1 9 6 5 ) . Maximum l i k e l i h o o d e s t i m a t i o n o f t h e p a r a m e t e r s o f a gamma a n d l d e i b u l l p o p u l a t i o n from complete and censored samples. Technometrics, 639-643.

1,

L i l l i e f o r s , H. W. ( 1 9 6 7 ) . On t h e Kolmogorov-Smirnov t e s t f o r n o r m a l i t y w i t h mean and v a r i a n c e unknown. J . Amer. S t a t i s t . Assoc., 399-402.

2,

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S t e p h e n s , PI. A . ( 1 9 7 4 ) . EDF s t a t i s t i c s f o r g o o d n e s s - o f - f i t and 730-737. some c o m p a r i s o n s . J. Amer. S t a t i s t . A s s o c . , 2, Stephens, M. A. (1977). Goodness-of-fit f o r t h e extreme v a l u e d i s t r i b u t i o n . B i o m e t r i k a , 64,583-588. Woodruff, B . I d . , Moore, A . H., Dunne, E . J . , a n d C o r t e s ; R. ( 1 9 8 3 ) . A m o d i f i e d Kolmogorov-Smirnov t e s t f o r W e i b u l l d i s t r i b u t i o n s w i t h unknown l o c a t i o n a n d s c a l e p a r a m e t e r s . S u b m i t t e d t o Transactions R e l i a b i l i t y , June 1983, t o appear.

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R e c e i v e d b y E d i t o r i a l B o a r d member J u n e , 1 9 8 2 ; R e v i s e d February, 1983. Recommended b y N a n c y R . Mann, U n i v e r s i t y o f C a l i f o r n i a a t L o s Anqeles, L o s A n g e l e s , CA R e f e r e e d b y David R. Thomas, Oregon S t a t e U n i v e r s i t y , C o r v a l l i s , OR