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 ( )
= Range (0 to )

= scale parameter,

= 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 one-
parameter 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 (a = 0.5, b = 2)
0.6
(a = 0.7, b = 2)
0.5

0.4 (a = 0.9, b = 2)
0.3

0.2

0.1

0
0 1 2 3 4 5

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

1

=

0


= 1

0 (Now Substitution )

1 1
= 1+

0

1 1
1 1 1
= 1

0

1 1
1 + + 1
=
0


=
0


+1 1
=
0
Cont.

= +1

Now rth moment about origin

= +1

1
1 moment is 1 = 1 +1

2
2nd moment is 2 = 2 +1

3
3rd moment 3 = 3 +1
is
4
4 moment = 4 +1
is
Moment About Mean
= 1 = 0
=

2
2 1
= 2 + 1 +1

2
2
2 2
1
= +1 +1

2
2 1
= 2 +1 +1 =

= +

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

3
3
3 3
2 1 1
= + 1 3 +1 +1 + 23 +1

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

= +

2
4 3 1 2 1
= 4 + 1 4 3 + 1 +1 + 6 2 +1 +1

4
2
3 +1

2
4
4 4
3 1 2 1
= + 1 4 +1 +1 + 64 +1 +1

4
2
34 +1

 2
4 3 1 2 1
= 4 +1 4 +1 +1 +6 +1 +1

4
2
3 +1

Coefficient of skewness:

=

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

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

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

1 =
2 3
2 1
+1 +1

Coefficient of kurtosis

=

2 4
4 4 3 1 2 1 2
+1 4 +1 +1 +6 +1 +1 3 +1

=
2 2
2 1
2 2 +1 +1

2 4
4 3 1 2 1 2
4 +1 4 +1 +1 +6 +1 +1 3 +1

=
2 2
2 1
4 +1 +1

2 4
4 3 1 2 1 2
+1 4 +1 +1 +6 +1 +1 3 +1

=
2 2
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
()

= 0
exp(- )
2 2 2

let =y
2 2

x2 = 2yb2

= 2

diff w.r.t x

dy = dx
2

2
dx= dy

by substituting the above results we have

 1 2
= ( 2) (b 2) dx
0
2

= 0
( 2) dy

= 2 2
0
2 dy

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

1 =B

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

3 = 3B3

2
PUT R=4
4 = 4 22 + 1
4
2
= 8 4
4
MOMENTS ABOUT MEAN

1st Moment About Mean

1 = 0

2nd Moment About Mean

2 = 2 - (1 )2

2
=2b2 - ( b )
2

2
2 = (4-)
2
 2nd Moment About Mean
2 = 2 - (1 )2

2
=2b2 - ( b )
2

2
2 = (4-)
2
3RD Moment About Mean

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

3
=3b3 3 (2b2 ) (b ) + 2 (b )
2 2 2

= b3 (36+2 )
2 2

3 = b3 3)
2
4th Moment About Mean

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

2 4
=8 4 4 (3b3 ) (b ) + 6 (2b2 ) ( b ) 3 (b )
2 2 2 2

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

= 8 4 - 3 b4
4

4
4 = ( 32 3 2 )
4
Coefficient of skewness

32
1 =
23

2
1 = [b3 3)]2 [ (4-) ]3
2 2

(3 )2
1 =4
(4 )3
Coefficient of Kurtosis

4
2 =
22

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

(323 )2
2 =
( 4 )2
 Mahwish (Roll#4) will proceed
next.
 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