Weibull distribution

Weibull( shape, scale )

The Weibull distribution is often used to represent failure time in reliability models. It is similar in shape to the gamma distribution, but tends to be less skewed and tail-heavy. It is a continuous distribution over the positive real numbers.

The Weibull distribution has a cumulative density given by

Library

Distribution

Example

Weibull(10,4) →

Parameter Estimation

Suppose you have sampled historic data in Data, indexed by I, and you want to find the parameters for the best-fit Weibull distribution. The parameters can be estimated using a linear regression as follows:

Index bm := ['b','m'];
Var Fx :=  (Rank(Data,I) - 0.5) / Size(I);
Var Z := Ln(-Ln(1-Fx));
Var fit := Regression(Z,Array(bm,[1,Ln(x)]),I,bm);
Var shape := fit[bm='m'];
Var b := fit[bm='b'];
Var scale := Exp(-b/shape);
[shape,scale]

See Also

• Gamma, Normal