CONTENT

1. WEIBULL DISTRIBUTION 2. RESEARCH PAPER 3. RALEIGH DISTRIBUTION.

4. VERIFICATION THROUGH
MATHEMATICA.

Weibull Distribution
Falaq Ali Nadeem Roll# 14

WEIBULL DISTRIBUTION:

History of Weibull Distribution. Weibull Probability Density Function. Effects of the Scale Parameter . Effects of the Shape Parameter . Uses of Weibull Distribution. Moment Generating function for Weibull Distribution. Moment about Origin and Moment about mean. Coefficient of skewness & kurtosis.

HISTORY OF WEIBULL DISTRIBUTION

In probability theory and statistics, the Weibull distribution is a continuous probability distribution. It is named after Waloddi Weibull who described it in detail in 1951 and first applied by Rosin & Rammler (1953) to describe the size distribution of particles. Weibull works on reliability, providing a statistical treatment of fatigue, strength, and lifetime in engineering design. Today it is a popular distribution for use in modeling lifetimes.

WEIBULL PROBABILITY DENSITY FUNCTION

THE TWO-PARAMETER WEIBULL DISTRIBUTION
The two-parameter Weibull pdf is obtained as:
1 ( ) = = scale parameter,

Range (0 to )

= shape parameter (or slope),

EFFECTS OF THE SHAPE PARAMETER()

The Weibull shape parameter, , is also known as the slope. This is because the value of is equal to the slope of the regressed line in a probability plot. Different values of the shape parameter can have marked effects on the behavior of the distribution. Some values of the shape parameter will cause the distribution equations to reduce to those of other distributions.

Cont.. For example, when = 1, the p.d.f of the two-parameter Weibull reduces to that of the oneparameter exponential distribution. 1 1 =
Where

THE EFFECT OF ON THE P.D.F

Figure shows the effect of different values of the shape parameter, , on the shape of the p.d.f. One can see that the shape of the p.d.f can take on a variety of forms based on the value of .

Cont..

f(X) decreases monotonically and f(X) convex

as x increases beyond the value of .

The mode is non-existent.

Effects of the Scale Parameter

Increasing the value of while holding constant has the effect of stretching out the p.d.f . Since the area under a p.d.f curve is a constant value of one, the "peak" of the p.d.f curve will also decrease with the increase of , as indicated in Figure.

Cont...
0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 0 1 2 3 4 5

(a = 0.5, b = 2)

(a = 0.7, b = 2)
(a = 0.9, b = 2)

If is increased while is kept the same, the distribution gets stretched out to the right and its height decreases, while maintaining its shape and location. If is decreased while is kept the same, the distribution gets pushed in towards the left and its height increases.

USES OF WEIBULL DISTRIBUTION

The Weibull distribution is used in survival analysis. In reliability engineering and failure analysis. In extreme value theory. In weather forecasting to describe wind speed distributions , as the natural distribution often matches the Weibull shape .and also in forecasting technological change.

In communications systems engineering In radar systems to model the dispersion of the received signals level produced by some types of clutters. To model fading channels in wireless communications, as the weibull fading model seems to exhibit good fit to experimental fading channel measurements. In General insurance to model the size of re-insurance claims, and the cumulative development of Asbestisis losses

Moment Generating Function

1 =

then

=
0

=
0

1
0

(Now Substitution )

1 1+

= =

1 1 1

0 1 1 1 + + 1

1 1

=
0

=
0

+1 1

Cont.
= +1

Now rth moment about origin

=

+1
1

1 moment is 2nd moment is 3rd moment is 4 moment is

1 = 1 2 2 = 3 3 =

+1 +1

3 +1 4 +1

= 4

Moment About Mean = 1 =0

= 2

2 1 = 2 + 1 +1 2 1 2 2 = + 1 +1 = 2 2 1 +1 +1

= +

3 2 1 = 3 + 1 3 2 + 1 +1 3 2 1 3 3 = + 1 3 +1 +1

1 + 2 +1 + 23 1 +1

Cont.
= 3 3 2 1 +1 3 +1 +1

1 +2 +1

= +

= 4

4 3 1 + 1 4 3 + 1 +1
2 3 +1
4

+ 6 2

2 +1

1 +1

4 3 1 4 4 = + 1 4 +1 +1

+ 64

2 +1

1 +1

34

2 +1

= 4

4 3 1 +1 4 +1 +1 2 3 +1
4

+6

2 +1

1 +1

Coefficient of skewness:
= 3 1 =
2

3 2 1 +1 3 +1 +1 2
3

1 +2 +1
2 3

3 2

2 1 +1 +1

1 =

3 2 1 +1 3 +1 +1 2 1 +1 +1

1 +2 +1
2 3

3 2

Coefficient of kurtosis = =
4

4 3 1 +1 4 +1 +1 2
2

2 +6 +1

1 +1
2 2

2 3 +1

2 1 +1 +1 2 +6 +1

4 =

4 3 1 +1 4 +1 +1 4

1 +1
2 2

2 3 +1

2 1 +1 +1

4 3 1 +1 4 +1 +1

2 +6 +1

1 +1
2 2

2 3 +1

2 1 +1 +1

Now Fatima(Roll#30) will proceed next.

Multivariate Weibull Distribution for Wind Speed and Wind Power Behavior Assessment

By Daniel Villanueva *, Andrs Feijo and Jos L. Pazos Published: 3 September 2013

ABSTRACT
How to derive the multivariate Weibull probability density function from the multivariate Standard Normal one and to show its applications Having Weibull distribution parameters and a correlation matrix as input data, the proposal is to obtain a precise multivariate Weibull distribution that can be applied in the analysis and simulation of wind speeds and wind powers at different locations.

ABSTRACT (CONT)
The main advantage of the distribution obtained, over those generally used, is that it is defined by the classical parameters of the univariate Weibull distributions and the correlation coefficients and all of them can be easily estimated

INTRODUCTION

In this paper, a model is proposed for the multivariate Weibull PDF, based on the classic parameters used in the definition of a univariate Weibull model and on the correlation coefficients among the marginal distributions. It develops the change of variables from Normal to Weibull. It is applied to wind speed and wind power, as there seems to be some agreement on the importance of Weibull distribution for the modeling and simulation of these in wind turbines or wind farms.

CONT...
Therefore, this paper presents the relationship of the simultaneous behavior between wind speed and power in a pair or more locations. The bivariate case is analyzed on its own due to its importance, and the correlation coefficient inference procedure is established

1. MULTIVARIATE WEIBULL DISTRIBUTION

The proposed multivariate Weibull distribution is obtained by means of a Normal to Weibull change of variables.
Procedure:

Define a change of variable from a Standard Normal to a Weibull distributed one. This transformation must be differentiable and the inverse function has to exist. The Standard Normal distributed variable is created in order to use its known features and transfer them to the Weibull one. Establish as many changes as the number of variables, n, considering the different Weibull parameters for each case; Obtain the multivariate Weibull PDF from the multivariate Standard Normal PDF applying the change of variable.

A) NORMAL TO WEIBULL CHANGE OF VARIABLES

In order to define a change of variables from a Normal distributed variable to a Weibull one, the Probability Integral Transform is applied, based on the obtaining of Uniform distributed variables. The Uniform distributed variables derived from Normal and Weibull ones are then equalized and a relationship between them is established. The CDF of a univariate Weibull distribution with scale parameter C and shape parameter k is defined in Equation: Fu(u) = 1 exp((u/C)k

The CDF of the univariate Normal distribution with mean value and standard deviation is defined in Equation: Fx(x) = (1 + erf ((x )/2))/2 If both CDFs are matched, then the Weibull distributed variable, u, can be expressed as a function of the Normal one x, such as in Equation: u = C(log ((1 erf ((x )/2 ))/2))1/k In order to derive further results, the transformation given in above Equation will be referred to as ntw(x;C,k) where x is a Standard Normal variable ( = 0 and = 1), the Weibull parameters are C and k.

For a single variable, xi, the notation is expressed in Equation ntw(xi;Ci,ki) = Ci (log ((1 erf(xi/2))2))1/ki The inverse transformation is also needed and denoted as ntw1(u;C,k) where u is the Weibull variable. For a single variable, ui, that function is: ntw-1(ui;Ci,ki) = 2erf -1 (1 2exp((ui /Ci)ki)) where erf-1( ) is the inverse of the error function.

FIGURE 1. STANDARDIZED NORMAL VARIABLE AS A FUNCTION OF A WEIBULL

ONE, WITH VARIOUS VALUES OF THE SCALE PARAMETER C.

THE DERIVATIVE OF NTW( ) IS DENOTED AS NTW(X;C,K) AND EXPRESSED IN EQUATION, ALSO FOR A SINGLE VARIABLE.

The derivative of error function is

B) MULTIVARIATE NORMAL TO WEIBULL CHANGE

In order to broaden the transformation to several variables, the multivariate Standard Normal distribution has to be considered. Its PDF for when the covariance matrix is positive definite is shown in Equation:

The PDF corresponding to the multivariate Weibull distribution is obtained through Equation:

The multivariate Weibull PDF of a group of variables is shown in Equation as a function of the multivariate Standard Normal PDF and ntw( ).

2. BIVARIATE WEIBULL DISTRIBUTION

In many cases the bivariate Weibull distribution is sought in order to describe the wind speed or wind power behavior in a pair of locations. Due to its importance, we have considered it interesting to develop here as a particular case.

BIVARIATE WEIBULL DISTRIBUTION APPLIED TO WIND SPEED

BIVARIATE WEIBULL AND BIVARIATE NORMAL PDF IS

BY USING BOTH EQUATIONS , THE BIVARIATE WEIBULL PDF EQUATION IS OBTAINED AS A FUNCTION OF C1, K1, C2, K2 AND , WHICH STANDS FOR THE CORRELATION COEFFICIENT BETWEEN X1 AND X2 BUT, AS HAS BEEN STATED ABOVE, CAN BE CONSIDERED AS THE CORRELATION COEFFICIENT BETWEEN V1 AND V2.

IN ORDER TO SIMPLIFY ABOVE EQUATION, AS IT DEPENDS ON X1 AND X2, THEIR RELATIONSHIPS WITH V1 AND V2 ARE SHOWN IN EQUATION:

As stated, in most cases the Weibull parameters to define the wind speed behavior lie in the intervals

so Normal and wind speed correlation coefficients can be considered equal. The bivariate wind speed PDF for several values of is shown in Figures 24 (C1 = 8, k1 = 2, C2 = 8, k2 = 2)

FIGURE 2. BIVARIATE WIND SPEED PROBABILITY DISTRIBUTION FUNCTION

(PDF) FOR = 0.0.

FIGURE 3. BIVARIATE WIND SPEED PDF FOR = 0.5.

FIGURE 4. BIVARIATE WIND SPEED PDF FOR = 1.0.

BIVARIATE WEIBULL DISTRIBUTION APPLIED TO WIND POWER

THE BIVARIATE WIND PDF IS

where x1 and x2 are

FIGURE 5. RELATIONSHIP BETWEEN STANDARD NORMAL AND WIND POWER CORRELATION COEFFICIENTS.

FIGURE 6. BIVARIATE WIND POWER PDF FOR = 0.0.

FIGURE 7. BIVARIATE WIND POWER PDF FOR = 0.5.

FIGURE 8. BIVARIATE WIND POWER PDF FOR = 1.0.

CONCLUSION

In this paper, a Normal to Weibull change of variables has been defined. It should be noticed that the process can be applied to any type of variables, even inversely. The multivariate Weibull PDF has been obtained and justified, depending on the classic parameters of a single variable and the correlation coefficients between pairs of them. It upgrades former approaches that mainly consist of models based on parameters that have no direct relationship with the univariate parameters and the usual dependence measurement.

CONT.

The function proposed can be easily implemented in a software application regardless of the number of variables. The bivariate case seems a bit complex, compared to other models, but it uses the correlation coefficient between both variables. From the point of view of n variables, each defined by a Weibull distribution with correlation coefficients between pairs given, the PDF proposed is not an approximation, it provides exact results.

CONT

Additionally, the application of the multivariate Weibull PDF to wind speed and wind power has been explained and derived. The bivariate case for both has also been specified due to its relevance, and some figures are given for clarification purposes.

 Sara

(Roll#21) will proceed next.

RAYLEIGH DISTRIBUTION

The pdf of rayleigh distribution is f(x)=

exp(2 22

Range is (0 ) With parameter (b)

BRIEF HISTORY
John William Strutt, Baron Rayleigh (1842 - 1919) was a nineteenth- and twentieth-century British physicist who discovered the pdf of Rayleigh arising in the study of wave motion, which earned him the Nobel Prize for Physics. He also discovered Rayleigh scattering and predicted the existence of the surface waves now known as Rayleigh waves.

If the component velocities of a particle in the x and y directions are two independent normal random variables with zero means and equal variances, then the distance the particle travels per unit time is distributed Rayleigh.

SITUATIONS IN WHICH TO USE THIS DISTRIBUTION

The Rayleigh distribution is often used in physics related fields to model processes such as sound and light radiation, wave heights, and wind speed, as well as in communication theory to describe hourly median and instantaneous peak power of received radio signals. It has been used to model the frequency of different wind speeds over a year at wind turbine sites and daily average wind speed.

RELATIONSHIPS TO OTHER DISTRIBUTIONS

The Rayleigh distribution is a special case of the Weibull distribution. If A and B are the parameters of the Weibull distribution, then the Rayleigh distribution with parameter b is equivalent to the Weibull distribution A= 2 and B=2.

MOMENT ABOUT ORIGIN

= E (xr)

= =
0

()
2

exp( 2 2

2 2

let

=y

x2 = 2yb2 = 2 diff w.r.t x dy =

2 2

dx

dx=

dy

by substituting the above results we have

 = =

( 2 0 1 ( 0
2

2) (b 2)

2 dx

2) dy
2 dy 0

= 2

= 2

+1
2

PUT R=1 = B 2 1 +1 1
2

=B 1

PUT R=2 = B2 2 1+1 2 =2B2 2 PUT R=3 = B3 23/2 3 + 1 3

2

= 3B3 3

PUT R=4 = 4 22 4 + 1 4 2 = 8 4
4

MOMENTS ABOUT MEAN

1st Moment About Mean 1 = 0 2nd Moment About Mean
2 2 = 2 - (1 )

=2b2 - ( b
2 2

2 ) 2

2 =

(4-)

2nd Moment About Mean

2 = 2 - (1 )2

=2b2 - ( b
2 2

2 ) 2

2 = (4-)

3RD Moment About Mean

3 3 = 3 - 3 2 1 + 2 (1 )

=3b3

3 (2b2 ) (b ) + 2 (b
2

3 ) 2

= b3

(36+2 )
2

= b3

3)

4th Moment About Mean

2 4 4 = 4 - 4 3 1 + 6 2 (1 ) 3 (1 )

=8 4 4 (3b3

) (b

) + 6 (2b2 ) ( b
2 4

2 ) 2

3 (b

4 ) 2

=8 4 12 4 ( ) + 12 4 ( ) - 3 b4
2

= 8 4 - 3 b4
4 4

4 = ( 32 3 2 )

Coefficient of skewness
1 =
2 3 3 2

= [b3

3)]2

2 2

(4-) ]3

1 =4

(3 )2 (4 )3

Coefficient of Kurtosis
2 =
4 2 2 4 4 2 2

2 = ( 32 3 2 ) ( (4-) )2 2 =
(32 3 )2 ( 4 )2

 Mahwish

next.

(Roll#4) will proceed

Verification through Mathematica ..\Desktop\mphil\assignment\probability\weib ull dist.nb ..\Desktop\mphil\assignment\probability\raylei gh dist.nb

R-CODE.
set.seed(1) ran<-rweibull(10000,1,1) meu<-mean(ran) sigma.2<-var(ran) sigma<-sd(ran) pop.rzlts<cat("meu=",meu,"\n","sima2=",sigma.2,"\n","s igma=",sigma,"\n")

CONT
sample.1<-sample(ran,50,replace=TRUE) mean.1<-mean(sample.1) var.1<-var(sample.1) sd.1<-sd(sample.1) hist(sample.1) sample1.rzlts<cat("mean1=",mean.1,"\n","variance1=",var.1, "\n","standard deviation1=",sd.1,"\n")

CONT
sample.2<-sample(ran,100,replace=TRUE) mean.2<-mean(sample.2) var.2<-var(sample.2) sd.2<-sd(sample.2) hist(sample.2) sample2.rzlts<cat("mean2=",mean.2,"\n","variance2=",var.2, "\n","standard deviation2=",sd.2,"\n")

CONT
sample.3<-sample(ran,300,replace=TRUE) mean.3<-mean(sample.3) var.3<-var(sample.3) sd.3<-sd(sample.3) hist(sample.3) sample3.rzlts<cat("mean3=",mean.3,"\n","variance3=",var.3, "\n","standard deviation3=",sd.3,"\n")

CONT..
sample.4<-sample(ran,500,replace=TRUE) mean.4<-mean(sample.4) var.4<-var(sample.4) sd.4<-sd(sample.4) hist(sample.4) sample4.rzlts<cat("mean4=",mean.4,"\n","variance4=",var.4, "\n","standard deviation4=",sd.4,"\n")

RESULTS:

meu= 1.006847 sima2= 1.03062 sigma= 1.015195 mean1= 0.7830205 variance1= 0.6070016 standard deviation1= 0.7791031 mean2= 1.155778 variance2= 1.282924 standard deviation2= 1.132662 mean3= 0.9551423 variance3= 0.8520767 standard deviation3= 0.92308 mean4= 1.025671 variance4= 1.0565 standard deviation4= 1.027862