University Maths Notes: Probability and Statistics – The Weibull Distribution
The probability density function of a Weibull random variable X is
where
is
the shape parameter and
is
the scale parameter. This is shown below.
If
is
a "time-to-failure", the distribution gives a distribution
for which the failure rate is proportional to a power of time. The
failure rate here is
The
shape parameter,
is
that power plus one, and this parameter can be interpreted directly
as follows:
k<1 indicates that the failure rate decreases over time. This indicates a high initial failure rate. As these initial failures are overcome, only the 'healthy' long lived ones remain.
indicates
that the failure rate is constant, suggesting failure is due to
random events.
Indicates
the failure rate increases over time, indicating an aging process as
with many manufactured goods.
The cumulative distribution function is
The mean and variance of the Weibull distribution are
and
respectively.
The moment generating function can best be expressed as the
integral
This integral is not elementary.