Weibull Log-Likelihood Functions and their Partials

Weibull Log-Likelihood Functions and their Partials

The Two-Parameter Weibull

This log-likelihood function is composed of three summation portions:

[math]\displaystyle{ \begin{align} & \ln (L)= & \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{\beta }{\eta }{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta -1}}{{e}^{-{{\left( \tfrac{{{T}_{i}}}{\eta } \right)}^{\beta }}}} \right]-\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }} \\ & & \text{ }+\underset{i=1}{\overset{FI}{\mathop \sum }}\,N_{i}^{\prime \prime }\ln \left[ {{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}}} \right] \end{align} }[/math]

where:

• [math]\displaystyle{ {{F}_{e}} }[/math] is the number of groups of times-to-failure data points

• [math]\displaystyle{ {{N}_{i}} }[/math] is the number of times-to-failure in the [math]\displaystyle{ {{i}^{th}} }[/math] time-to-failure data group

• [math]\displaystyle{ \beta }[/math] is the Weibull shape parameter (unknown a priori, the first of two parameters to be found)

• [math]\displaystyle{ \eta }[/math] is the Weibull scale parameter (unknown a priori, the second of two parameters to be found)

• [math]\displaystyle{ {{T}_{i}} }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] group of time-to-failure data

• [math]\displaystyle{ S }[/math] is the number of groups of suspension data points

• [math]\displaystyle{ N_{i}^{\prime } }[/math] is the number of suspensions in [math]\displaystyle{ {{i}^{th}} }[/math] group of suspension data points

• [math]\displaystyle{ T_{i}^{\prime } }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] suspension data group

• [math]\displaystyle{ FI }[/math] is the number of interval failure data groups

• [math]\displaystyle{ N_{i}^{\prime \prime } }[/math] is the number of intervals in [math]\displaystyle{ {{i}^{th}} }[/math] group of data intervals

• [math]\displaystyle{ T_{Li}^{\prime \prime } }[/math] is the beginning of the [math]\displaystyle{ {{i}^{th}} }[/math] interval

• and [math]\displaystyle{ T_{Ri}^{\prime \prime } }[/math] is the ending of the [math]\displaystyle{ {{i}^{th}} }[/math] interval

For the purposes of MLE, left censored data will be considered to be intervals with [math]\displaystyle{ T_{Li}^{\prime \prime }=0. }[/math]

The solution will be found by solving for a pair of parameters [math]\displaystyle{ \left( \widehat{\beta },\widehat{\eta } \right) }[/math] so that [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \beta }=0 }[/math] and [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \eta }=0. }[/math] It should be noted that other methods can also be used, such as direct maximization of the likelihood function, without having to compute the derivatives.

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial \beta }= & \frac{1}{\beta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}\ln \left( \frac{{{T}_{i}}}{\eta } \right) \\ & & -\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }}\ln \left( \frac{{{T}_{i}}}{\eta } \right)-\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }}\ln \left( \frac{T_{i}^{\prime }}{\eta } \right) \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right){{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}}}+{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right){{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}}}} \end{align} }[/math]

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial \eta }= & \frac{-\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\frac{\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}}{\eta } \right)}^{\beta }} \\ & & +\frac{\beta }{\eta }\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }}{\eta } \right)}^{\beta }} \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{\left( \tfrac{\beta }{\eta } \right){{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}}}-\left( \tfrac{\beta }{\eta } \right){{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }}{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }}{\eta } \right)}^{\beta }}}}} \end{align} }[/math]

The Three-Parameter Weibull

This log-likelihood function is again composed of three summation portions:

[math]\displaystyle{ \begin{align} & \ln (L)= & \Lambda =\underset{i=1}{\overset{{{F}_{e}}}{\mathop \sum }}\,{{N}_{i}}\ln \left[ \frac{\beta }{\eta }{{\left( \frac{{{T}_{i}}-\gamma }{\eta } \right)}^{\beta -1}}{{e}^{-{{\left( \tfrac{{{T}_{i}}-\gamma }{\eta } \right)}^{\beta }}}} \right]-\underset{i=1}{\overset{S}{\mathop \sum }}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }-\gamma }{\eta } \right)}^{\beta }} \\ & & \\ & & +\underset{i=1}{\overset{FI}{\mathop \sum }}\,N_{i}^{\prime \prime }\ln \left[ {{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}} \right] \end{align} }[/math]

where,

• [math]\displaystyle{ {{F}_{e}} }[/math] is the number of groups of times-to-failure data points

• [math]\displaystyle{ {{N}_{i}} }[/math] is the number of times-to-failure in the [math]\displaystyle{ {{i}^{th}} }[/math] time-to-failure data group

• [math]\displaystyle{ \beta }[/math] is the Weibull shape parameter (unknown a priori, the first of three parameters to be found)

• [math]\displaystyle{ \eta }[/math] is the Weibull scale parameter (unknown a priori, the second of three parameters to be found)

• [math]\displaystyle{ {{T}_{i}} }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] group of time-to-failure data

• [math]\displaystyle{ \gamma }[/math] is the Weibull location parameter (unknown a priori, the third of three parameters to be found)

• [math]\displaystyle{ S }[/math] is the number of groups of suspension data points

• [math]\displaystyle{ N_{i}^{\prime } }[/math] is the number of suspensions in [math]\displaystyle{ {{i}^{th}} }[/math] group of suspension data points

• [math]\displaystyle{ T_{i}^{\prime } }[/math] is the time of the [math]\displaystyle{ {{i}^{th}} }[/math] suspension data group

• [math]\displaystyle{ FI }[/math] is the number of interval data groups

• [math]\displaystyle{ N_{i}^{\prime \prime } }[/math] is the number of intervals in the [math]\displaystyle{ {{i}^{th}} }[/math] group of data intervals

• [math]\displaystyle{ T_{Li}^{\prime \prime } }[/math] is the beginning of the [math]\displaystyle{ {{i}^{th}} }[/math] interval

• and [math]\displaystyle{ T_{Ri}^{\prime \prime } }[/math] is the ending of the [math]\displaystyle{ {{i}^{th}} }[/math] interval

The solution is found by solving for [math]\displaystyle{ \left( \widehat{\beta },\widehat{\eta },\widehat{\gamma } \right) }[/math] so that [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \beta }=0, }[/math]

[math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \eta }=0, }[/math] and [math]\displaystyle{ \tfrac{\partial \Lambda }{\partial \gamma }=0. }[/math]

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial \beta }= & \frac{1}{\beta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}\ln \left( \frac{{{T}_{i}}-\gamma }{\eta } \right)-\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}-\gamma }{\eta } \right)}^{\beta }}\ln \left( \frac{{{T}_{i}}-\gamma }{\eta } \right) \\ & & -\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }-\gamma }{\eta } \right)}^{\beta }}\ln \left( \frac{T_{i}^{\prime }-\gamma }{\eta } \right) \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right){{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}} \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right){{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}} \end{align} }[/math]

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial \eta }= & \frac{-\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}+\frac{\beta }{\eta }\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}-\gamma }{\eta } \right)}^{\beta }}+\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }-\gamma }{\eta } \right)}^{\beta }}\left( \frac{\beta }{\eta } \right) \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{\tfrac{\beta }{\eta }{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right){{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}} \\ & & -\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{\tfrac{\beta }{\eta }{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}\ln \left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right){{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}} \end{align} }[/math]

[math]\displaystyle{ \begin{align} & \frac{\partial \Lambda }{\partial \gamma }= & \left( 1-\beta \right)\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,\left( \frac{{{N}_{i}}}{{{T}_{i}}-\gamma } \right)+\underset{i=1}{\overset{{{F}_{e}}}{\mathop{\sum }}}\,{{N}_{i}}{{\left( \frac{{{T}_{i}}-\gamma }{\eta } \right)}^{\beta }}\left( \frac{\beta }{{{T}_{i}}-\gamma } \right) \\ & & +\underset{i=1}{\overset{S}{\mathop{\sum }}}\,N_{i}^{\prime }{{\left( \frac{T_{i}^{\prime }-\gamma }{\eta } \right)}^{\beta }}\left( \frac{\beta }{T_{i}^{\prime }-\gamma } \right) \\ & & +\underset{i=1}{\overset{FI}{\mathop{\sum }}}\,N_{i}^{\prime \prime }\frac{\tfrac{\beta }{T_{Li}^{\prime \prime }-\gamma }{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-\tfrac{\beta }{T_{Ri}^{\prime \prime }-\gamma }{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}}{{{e}^{-{{\left( \tfrac{T_{Li}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}-{{e}^{-{{\left( \tfrac{T_{Ri}^{\prime \prime }-\gamma }{\eta } \right)}^{\beta }}}}} \end{align} }[/math]

It should be pointed out that the solution to the three-parameter Weibull via MLE is not always stable and can collapse if [math]\displaystyle{ \beta \sim 1. }[/math] In estimating the true MLE of the three-parameter Weibull distribution, two difficulties arise. The first is a problem of non-regularity and the second is the parameter divergence problem [14].

Non-regularity occurs when [math]\displaystyle{ \beta \le 2. }[/math] In general, there are no MLE solutions in the region of [math]\displaystyle{ 0\lt \beta \lt 1. }[/math] When [math]\displaystyle{ 1\lt \beta \lt 2, }[/math] MLE solutions exist but are not asymptotically normal [14]. In the case of non-regularity, the solution is treated anomalously.

Weibull++ attempts to find a solution in all of the regions using a variety of methods, but the user should be forewarned that not all possible data can be addressed. Thus, some solutions using MLE for the three-parameter Weibull will fail when the algorithm has reached predefined limits or fails to converge. In these cases, the user can change to the non-true MLE approach (in Weibull++ User Setup), where [math]\displaystyle{ \gamma }[/math] is estimated using non-linear regression. Once [math]\displaystyle{ \gamma }[/math] is obtained, the MLE estimates of [math]\displaystyle{ \widehat{\beta } }[/math] and [math]\displaystyle{ \widehat{\eta } }[/math] are computed using the transformation [math]\displaystyle{ T_{i}^{\prime }=({{T}_{i}}-\gamma ). }[/math]