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4.6 Weibull Distributions
4.6 Weibull Distributions
6: Weibull Distributions
In this section, we introduce the Weibull distributions, which are very useful in the field of actuarial science.
Weibull Distributions
Definition 4.6.1
A random variable X has a Weibull distribution with parameters α, β > 0 , write X ∼ Weibull(α, β), if X has pdf given by
α
α α−1 −(x/β)
α
x e , for x ≥ 0,
β
f (x) = {
0 otherwise.
Example 4.6.1
A typical application of Weibull distributions is to model lifetimes that are not “memoryless”. For example, each of the following
gives an application of the Weibull distribution.
modeling the lifetime of a car battery
modeling the probability that someone survives past the age of 80 years old
The parameter α is referred to as the shape parameter, and β is the scale parameter. When α = 1 , the Weibull distribution is an
exponential distribution with λ = 1/β , so the exponential distribution is a special case of both the Weibull distributions and the
gamma distributions. We can see the similarities between the Weibull and exponential distributions more readily when comparing
the cdf's of each. The cdf of the Weibull distribution is given below, with proof, along with other important properties, stated
without proof.
4.6.1 https://stats.libretexts.org/@go/page/9114
0 for x < 0,
F (x) = { α
−(x/β)
1 −e , for x ≥ 0.
Partial Proof
We prove Property #1, but leave #2 as an exercise. Properties #3 and #4 are rather tricky to prove, so we state them without
proof.
For the first property, we consider two cases based on the value of x . First, if x < 0 , then the pdf is constant and equal to 0,
which gives the following for the cdf:
x x
β
α
x
α−1
e
−(x/β)
, and the cdf is given by the following integral, which is solved by making
α
t
the substitution u = ( ) :
β
α
x x (x/β) α
α α (x/β) α α
α−1 −(x/β) −u −u ∣ −(x/β) 0 −(x/β)
F (x) = ∫ f (t)dt = ∫ x e dt = ∫ e du = −e = −e − (−e ) = 1 − e .
α ∣
−∞ 0
β 0
0
4.6: Weibull Distributions is shared under a not declared license and was authored, remixed, and/or curated by LibreTexts.
4.6.2 https://stats.libretexts.org/@go/page/9114