In probability theory and statistics, the Weibull distribution (named after Wallodi Weibull) is a continuous probability distribution with the probability density function
The cumulative density function is defined as
The Exponential distribution (when k = 1) and Rayleigh distribution (when k = 2) are two special cases of the Weibull distribution.
Weibull distributions are often used to model the time until a given technical device fails. If the failure rate of the device decreases over time, one chooses k < 1 (resulting in a decreasing density f). If the failure rate of the device is constant over time, one chooses k = 1, again resulting in a decreasing function f. If the failure rate of the device increases over time, one chooses k > 1 and obtains a density f which increases towards a maximum and then decreases forever. Manufacturers will often supply the shape and scale parameters for the lifetime distribution of a particular device. The Weibull distribution can also be used to model the distribution of wind speeds at a given location on Earth. Again, every location is characterized by a particular shape and scale parameter.
The expected value and standard deviation of a Weibull random variable can be expressed in terms of the gamma function:
- E(X) = λ Γ((k + 1) / k) and
- var(X) = λ2[Γ((k + 2) / k) - Γ2((k + 1) / k)]
