1

Special Continuous Probability Distributions

-Exponential Distribution
-Weibull Distribution
Dr. Jerrell T. Stracener, SAE Fellow
Leadership in Engineering
EMIS 7370/5370 STAT 5340 :
PROBABILITY AND STATISTICS FOR SCIENTISTS AND ENGINEERS

Systems Engineering Program
Department of Engineering Management, Information and Systems
Stracener_EMIS 7370/STAT 5340_Fall 08_09.25.08
2
Exponential Distribution
3
A random variable X is said to have the Exponential
Distribution with parameters u, where u > 0, if the
probability density function of X is:



, for > 0


, elsewhere


u
u
x
e

1

0
x
) ( = x f
The Exponential Model - Definition
4

Probability Distribution Function

for < 0


for > 0



*Note: the Exponential Distribution is said to be
without memory, i.e.

P(X > x
1
+ x
2
| X > x
1
) = P(X > x
2
)
s = P(X ) (x F
u
x
e

- 1
0
= ) x
x
x
Properties of the Exponential Model
5


Mean or Expected Value




Standard Deviation
u = = ) (X E
u o =
Properties of the Exponential Model
6
Suppose the response time X at a certain on-line computer
terminal (the elapsed time between the end of a users
inquiry and the beginning of the systems response to that
inquiry) has an exponential distribution with expected
response time equal to 5 sec.

(a) What is the probability that the response time is at most 10
seconds?

(b) What is the probability that the response time is between 5 and 10
seconds?

(c) What is the value of x for which the probability of exceeding that
value is 1%?
Exponential Model - Example
7
The E(X) = 5=, so = 0.2.
The probability that the response time is at most 10 sec is:
) 10 ( s X P
865 . 0
135 . 0 1
1
) 2 . 0 , 10 (
) 10 )( 2 (.
=
=
=
=

e
F
) 10 5 ( s s X P
233 . 0
) 1 ( ) 1 (
) 2 . 0 ; 5 ( ) 2 . 0 ; 10 (
1 2
=
=
=

e e
F F
The probability that the response time is between 5 and 10 sec is:
Exponential Model - Example
or P (X>10) = 0.135
8
The value of x for which the probability of exceeding x is 1%:
= s ) ( x X P
sec 025 . 23
2 . 0
605 . 4
) 01 . 0 ln( x
01 . 0
99 . 0 1
=
=
=
=
=

x
x
e
e
x
x

Exponential Model - Example

) 10 (
1
99 . 0 ) 10 (
N
e
F

=
=
9
Weibull Distribution
10
Definition - A random variable X is said to have the
Weibull Probability Distribution with parameters | and u,
where | > 0 and u > 0, if the probability density function of
is:


, for > 0


, elsewhere

Where, | is the Shape Parameter, u is the Scale
Parameter. Note: If | = 1, the Weibull reduces to
the Exponential Distribution.
|
u |
|
u
|
|
.
|

\
|

x
e x
1

0
x
x
) ( = x f
The Weibull Probability Distribution Function
11

Probability Density Function
f(t)
t
t is in multiples of u
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0
=0.5
=5.0
=3.44
=2.5
=1.0
0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4
The Weibull Probability Distribution Function
12

for x > 0
( )

x
e - 1 x X P F(x)
|
.
|

\
|

= s =
F(t) for various
|
and
u
= 100
0
0.2
0.4
0.6
0.8
1
0 50 100 150 200
x
p
r
o
b
a
b
i
l
i
t
y
,

p
| = 0.5
| = 1
| = 3
| = 5
F(x)
The Weibull Probability Distribution Function
13


Derived from double logarithmic transformation of
the Weibull Distribution Function.


Of the form


where




Any straight line on Weibull Probability paper is a Weibull
Probability Distribution Function with slope, | and intercept,
-| ln u, where the ordinate is ln{ln(1/[1-F(t)])} the abscissa is
ln t.
|
u
=
) / t (
e 1 ) t ( F
b ax y + =
(

|
.
|

\
|

=
) t ( F 1
1
ln ln y
| = a t ln x = u | = ln b
Weibull Probability Paper (WPP)
14

Weibull Probability Paper links

http://perso.easynet.fr/~philimar/graphpapeng.htm

http://www.weibull.com/GPaper/index.htm
Weibull Probability Paper (WPP)
15


F(x)
in %
|
u
x
10 2 3 4 5 6 7 8 9 10 2 3 4 5 6 7 8 9 1000
99.0
95.0
90.0
80.0
70.0

50.0
40.0
30.0
20.0
10.0
5.0
4.0
3.0
2.0
1.0
0.5
8 4 3 2 1.5 1.0 0.8 0.7 0.5
C
u
m
u
l
a
t
i
v
e

p
r
o
b
a
b
i
l
i
t
y

i
n

p
e
r
c
e
n
t

1.8 in. = |
1 in.
Use of Weibull Probability Paper
16


100pth Percentile


and, in particular


Mean or Expected Value





Note: See the Gamma Function Table to
obtain values of I(a)
| |
|
u
1
p) - ln(1 - =
p
x

632 . 0
u = x
|
|
.
|

\
|
+
|
I u = = 1
1
) X ( E
Properties of the Weibull Distribution
17


Standard Deviation of X






where
2
1
2
1
1
1
2

(

|
|
.
|

\
|
+ I
|
|
.
|

\
|
+ I =
| |
u o
| |
2
2
) ( ) ( a a I = I
Properties of the Weibull Distribution
18
}

= I
0
1 a x
dx x e ) a (
) a ( a ) 1 a ( I = + I
y=a I(a) a I(a) a I(a) a I(a)
1 1 1.25 0.9064 1.5 0.8862 1.75 0.9191
1.01 0.9943 1.26 0.9044 1.51 0.8866 1.76 0.9214
1.02 0.9888 1.27 0.9025 1.52 0.887 1.77 0.9238
1.03 0.9836 1.28 0.9007 1.53 0.8876 1.78 0.9262
1.04 0.9784 1.29 0.899 1.54 0.8882 1.79 0.9288
1.05 0.9735 1.3 0.8975 1.55 0.8889 1.8 0.9314
1.06 0.9687 1.31 0.896 1.56 0.8896 1.81 0.9341
1.07 0.9642 1.32 0.8946 1.57 0.8905 1.82 0.9369
1.08 0.9597 1.33 0.8934 1.58 0.8914 1.83 0.9397
1.09 0.9555 1.34 0.8922 1.59 0.8924 1.84 0.9426
1.1 0.9514 1.35 0.8912 1.6 0.8935 1.85 0.9456
1.11 0.9474 1.36 0.8902 1.61 0.8947 1.86 0.9487
1.12 0.9436 1.37 0.8893 1.62 0.8959 1.87 0.9518
1.13 0.9399 1.38 0.8885 1.63 0.8972 1.88 0.9551
1.14 0.9364 1.39 0.8879 1.64 0.8986 1.89 0.9584
1.15 0.933 1.4 0.8873 1.65 0.9001 1.9 0.9618
1.16 0.9298 1.41 0.8868 1.66 0.9017 1.91 0.9652
1.17 0.9267 1.42 0.8864 1.67 0.9033 1.92 0.9688
1.18 0.9237 1.43 0.886 1.68 0.905 1.93 0.9724
1.19 0.9209 1.44 0.8858 1.69 0.9068 1.94 0.9761
1.2 0.9182 1.45 0.8857 1.7 0.9086 1.95 0.9799
1.21 0.9156 1.46 0.8856 1.71 0.9106 1.96 0.9837
1.22 0.9131 1.47 0.8856 1.72 0.9126 1.97 0.9877
1.23 0.9108 1.48 0.8858 1.73 0.9147 1.98 0.9917
1.24 0.9085 1.49 0.886 1.74 0.9168 1.99 0.9958
2 1
Values of the
Gamma Function
The Gamma Function I
19

Mode - The value of x for which the probability
density function is maximum


i.e.,
( )
|
| u
1
mode
1 1 x =
( ) ) ( max x
mode
x f f =
x
mode

0
f(x)
x
Max f(x)=f(x
mode
)

Properties of the Weibull Distribution
20
Let X = the ultimate tensile strength (ksi) at -200
degrees F of a type of steel that exhibits cold
brittleness at low temperatures. Suppose X has a
Weibull distribution with parameters | = 20,
and u = 100. Find:

(a) P( X s 105)

(b) P(98 s X s 102)

(c) the value of x such that P( X s x) = 0.10
Weibull Distribution - Example
21
(a) P( X s 105) = F(105; 20, 100)





(b) P(98 s X s 102)
= F(102; 20, 100) - F(98; 20, 100)


930 . 0 070 . 0 1 1
20
) 100 / 105 (
= = =

e
287 . 0 226 . 0 513 . 0 = =
20 20
) 02 . 1 ( ) 98 . 0 (
= e e
Weibull Distribution - Example Solution
22


(c) P( X s x) = 0.10

P( X s x)

Then
10 . 0 1
20
) 100 / (
= =
x
e
90 . 0
20
) 100 / (
=
x
e
( ) 90 . 0 ln ) 100 / (
20
= x
( ) 90 . 0 ln ) 100 / (
20
= x
( ) | |
20 / 1
90 . 0 ln 100 / = x
( ) | |
20 / 1
90 . 0 ln 100 = x
36 . 89 = x
Weibull Distribution - Example Solution
23

The random variable X can modeled by a Weibull
distribution with | = and u = 1000. The spec time limit is
set at x = 4000. What is the proportion of items not
meeting spec?
Weibull Distribution - Example
24

The fraction of items not meeting spec is
( ) 4000 X P >
That is, all but about 13.53% of the items will not meet
spec.
1353 . 0
e
e
) 4000 ( F 1
) 4000 ( P 1
2
1000
4000
1/2
=
=
=
=
s =

|
.
|

\
|

X
Weibull Distribution - Example