RELI ABI LI TY ENGI NEERI NG UNI T

ASST4403
Lec t ur e 18-19 CONFI DENCE LI MI TS
Learning outcomes
Select and apply the concepts of statistical
fid confidence
Construct and use confidence intervals and limits
for exponential distribution
Construct and use confidence intervals and limits Construct and use confidence intervals and limits
for normal distribution
Construct confidence limits for Weibull plot Construct confidence limits for Weibull plot
Random sampling
and the and the
Central Limit Theorem
What is a random sample? p
Practically: A random sample is a collection of
observations taken from the same population. observations taken from the same population.
Mathematically: A random sample of size n (eg. X
1
,
X
2
, , X
n
) is a collection of n iid random variables.
X s are independent and identically distributed X
i
s are independent and identically distributed
(i.i.d.) iff:
X i i d d t d i bl d every X
i
is an independent random variable; and
every X
i
has the same probability distribution.
Random Sample
These conditions are exactly satisfied if:
sampling with replacement; or
sampling from an infinite conceptual population. p g p p p
These conditions are approximately satisfied if: These conditions are approximately satisfied if:
sampling without replacement; and
sampling from a finite population with size N>>n sampling from a finite population with size N>>n.
The observed values of X X X are denoted The observed values of X
1
, X
2
, , X
n
are denoted
by x
1
, x
2
, , x
n
Sample Mean
Sample mean of {X
1
, X
2
, , X
n
} is given by:
1
n
X X =

1
i
i
X X
n
=
=

Note: is also a random variable!
X
The Central Limit Theorem (CLT)
If X
1
, X
2
, , X
n
are a random sample from a
1
,
2
, ,
n
p
distribution with mean and standard deviation
th h i t l l , then has approximately a normal
distribution with
X
mean : and
standard deviation:
X
=
/ n o o = /
X
n o o =
provided that n is sufficiently large (n>30).
Statistical Confidence
Statistical confidence
Statistical confidence is the exact fraction of times the
confidence interval will include the true value if the confidence interval will include the true value, if the
experiment is repeated many times
Confidence interval is the interval between the upper and
lower confidence limits.
Statistical intervals are used to make assertion about a
population given data from a sample.
It is not the same as engineering confidence which takes
into account other factors which may make the data non- y
representative.
To what do we need confidence
interval/limit /
Generally one of the parameters of a population,
hi h d id di t ib ti which decides a distribution
Can often be e.g. the mean, standard deviation etc
that have some practical meaning in reliability such
as MTTF, MTTR
Confidence intervals...
Consider a population of
bearing failures in heavy
crude bottoms pumps...
Each circle represents Each circle represents
an age at failure.
This bearing population
will have a true mean
and standard deviation.
Confidence intervals... Co de ce te a s...
In our current reliability
analysis, we can collect
data from 8 bearings.
We calculate the We calculate the
distribution variables
(eg. Mean, std dev etc) ( g , )
Confidence intervals... Confidence intervals...
In other refineries,
engineers looks at engineers looks at
their bearing failures.
13
Confidence intervals... Confidence intervals...
What does the true
population look like?
Failure age
14
Confidence intervals... Confidence intervals...
Each sample set gives
a different result!
What value(s) can we
use? use?
And how confident are
we that we are using
Failure age
the right value?
Confidence intervals...
It depends on:
the range of data in
Confidence intervals...
the range of data in
our sample set;
the number of
l samples in our set;
how confident we
want to be that we want to be that we
have the right
estimate.
Confidence intervals are
bounds that help us do
Failure age
this.
16
Confidence intervals...
EG. Define 80% bounds
Confidence intervals...
Define bounds on our
sample estimate that
on the sample means
sample estimate that
allow us to be x%
confident that the true confident that the true
population value lies
within these bounds,
The true mean will
lie within the
confidence
intervals in 4 out of
5 estimates
x% of the time.
5 estimates
The distance between
the bounds is known as
Population mean
Failure age
the bounds is known as
a confidence interval.
17
Population mean
Confidence intervals...
Confidence interval: an interval of plausible
values for the parameter being estimated
The degree of plausibility is specified by a The degree of plausibility is specified by a
confidence level, e.g. 95%, 99%
If the confidence level is high and the resulting
confidence interval is narrow, we have a
reasonably precise estimate of the parameters
value.
18
Confidence intervals and risk
We are prepared to accept a level of risk, expressed in a
%, that the value of our sample falls outside a given %, p g
confidence interval.
A double-sided confidence interval applies a certain A double sided confidence interval applies a certain
risk on either side of the parameter studied and gives
upper and lower limit
E.g. 1000 hrs MTBF 1100hrs
A single-sided confidence interval means a certain A single-sided confidence interval means a certain
risk at one side of the studied parameter and gives an
upper or lower limit
E.g. 800 hrs MTBF or MTBF 2000hrs
Mathematically:
u is a
Two sided confidence interval:
parameter for
the population
{ }
1 P L U u o s s =
L U i k h 100(1 )% id d LU is known as the 100(1-)% two sided
confidence interval.
/ 2 o / 2 o
1-
/ 2 o / 2 o
L
U
Mathematically:
One sided confidence interval:
{ }
1 P L u o s =
L i k h 100(1 )% i l id d L is known as the 100(1-)% single sided
confidence interval.
Note: No Note: No
upper
bound
upper
bound
1-
o
L
How do we work out our CI?
Depends on:
Type of underlying distribution;
Type of statistical parameter Type of statistical parameter
(e.g. Mean or variance);
Number of samples in our sample set.
When we can construct confidence interval?
Data has been collected;
Distribution has been identified and its
parameters estimated parameters estimated.
Commonly used distributions
Normal distribution
Exponential distribution
Weibull distribution
Confidence interval Confidence interval
for normal distribution
Confidence on Mean of Normal Distn:
If population is s-normally distributed OR if n is
Population Variance Known or n large
If population is s-normally distributed, OR if n is
large (>30), standard error of the distribution is
determined by: determined by:
o
= = StdError SE
From
central limit
o is either given
l l d
L li i
StdError SE
n
central limit
theorem
or calculated
from sample
Lower limit:
o
= LCL X Z
n
X
Z
Upper limit:
o
= + UCL X Z
o
=
/
Z
n
n
Note: X bar = ^
Z is found using std normal
table for a given %
Confidence on Mean of Normal
Distribution
Use CDF of s-normal distribution to determine
fid li it
Distribution
confidence limits.

s s
`
1
X
P Z Z
o o

o
o
s s + =
`
)
/2 /2
1
/
P Z Z
n
E.g. : for a 90% 2 sided confidence interval, or a 95%
1 sided confidence interval, we want 5% in the
t il( ) S l k f th Z l hi h ill i th tail(s). So look for the Z-value which will give you the
closest number to 0.95 (=1.65).
Note:
o is our risk, typically small such as 0.1 or 0.05
1 our confidence typically large such as 0 9 or 0 95 1- o = our confidence, typically large such as 0.9 or 0.95
o/2 in the formula is because the risk is half on each side
Example 1 Example 1
A sample of 100 values has a mean of 27.56 and standard
d i ti 1 1 D i 95% fid li it f th deviation 1.1. Derive 95% confidence limits for the
population mean (assume the sample means are normally
distributed) distributed)
The standard error of the sample is:
= = =
1.1
0.11
100
S
SE
n
Using Z tables:
the closest value of z such that u(z)=0.95 is 1.65.
100 n
95% single sided CL of the popn mean:
27.561.65*0.11=27.56 0.18. 56 65 0 56 0 8
90% double sided CL of the popn mean:
LCL= 27.56-0.18=27.38,
UCL= 27.56+0.18 = 27.74
Example 2
In a maintainability
demonstration test 50 times
51 71 75 67 86
demonstration test, 50 times
taken to repair are collected and
the data is normally distributed.
58 52 64 41 74
48 55 43 72 30
y
Sum of all repair times = 3096
mins
39 64 45 63 37
70 37 48 71 69
mins.
min 92 . 61
50
3096
= = =

n
t
MTTR
i
70 37 48 71 69
83 57 83 46 72
Sample standard deviation
50 n
33 59 97 66 93
76 68 50 65 63
min 74 . 15
1
) (
50
1
2
=

=

=
n
MTTR t
S
i
i
75 63 51 69 75
1 n
64 54 53 59 92
Adapted from the Defence Reliability Management Course, 2/2005
Example 2 p
Q: What is the value we can be sure with 90%
confidence that the MTTR will not be exceeded? confidence that the MTTR will not be exceeded?
A: We need to find the 90% upper confidence limit on
the MTTR the MTTR
Since n=50 > 30, we can use:
zo
S= Sample
90% single -sided confidence u(z)=0.9.
n
z
MTTR MTTR
o
+ s
Note: No
S= Sample
Std Dev
g ( )
From standard normal table, z=1.28.
Note: No
upper
bound
Therefore:
min 77 . 64
75 . 15 28 . 1
92 . 61 =

+ s MTTR
1-
o
50
L
Adapted from the Defence Reliability Management Course, 2/2005
Confidence on Mean of Normal Distn:
Population Variance Unknown and n<30
For small sample sizes (n<30) use t-distribution for the
double sided CL: double sided CL:
Lower limit:
o
=
0 5 1
/
n
LCL X t S n
Upper limit:
o 0.5 , 1 n
/ UCL X t S
Upper limit:
Where X bar,S
2
,n are sample mean,
o
= +
0.5 , 1
/
n
UCL X t S n
For single
variance and number of points
respectively.
g
sided CL,
use , not
0 5 0.5
Student-T distribution
pdf
where is the number of degrees of freedom where v is the number of degrees of freedom
T-table
ith right with right
tail
probabilit
ies
t =1 345 t
0.1,14
=1.345
Example 2a
Re-consider example 2 by assuming there are only 15
repair times but with the same mean and standard repair times, but with the same mean and standard
deviation
(Sample MTTR = 61.92 min, sample std dev = 15.74 (Sample MTTR 61.92 min, sample std dev 15.74
min)
Q: What is the value we can be sure with 90% Q: What is the value we can be sure with 90%
confidence that the MTTR will not exceed?
Adapted from the Defence Reliability Management Course, 2/2005
Example 2a
A: We need 90% upper limit on the MTTR. Since n =
15 < 30 we cant assume sample std dev = population 15 < 30, we can t assume sample std dev = population
std dev. Instead we use
t o
n
t
MTTR MTTR
o
v o ,
+ s
where t
o,v
is the Student t distribution with v=n-1 and o
the risk level
With o=0.1, n=15, we find in the t-distribution table
t
0.1,14
=1.345, so
min 39 . 67
15
74 . 15 345 . 1
92 . 61 =

+ s MTTR
Adapted from the Defence Reliability Management Course, 2/2005
Example 2: summary
The level of confidence on the mean is dependent on the
l i sample size
Sample size n=50, 90% UCL MTTR 64.77 min
Sample size n=15, 90% UCL MTTR 67.39 min
The larger sample size is, the closer the confidence limit
is to the true mean value.
The smaller sample size is, the further away of the
confidence limit is from the true mean value.
Adapted from the Defence Reliability Management Course, 2/2005
Confidence Intervals for of a
N l P l i
Population
known? Sample Statistic
100(1-)%
Normal Population
Population
distribution
known? Sample
size
Statistic
100(1 )%
C.I.
N l Y
n
X
Normal Y
n
Large
App o imatel App o imatel
/
X
Z
n

o

=
/ 2
/ x z n
o
o
Any Y
Large
(n>30)
Approximately Approximately
L
/
X
Z
n

o

=
/ 2
/ x z n
o
o
Any N
Large
(n>30)
Approximately Approximately
/
X
Z
S n

=
/ 2
/ x z s n
o

Normal N
Small
(n<30)
/
X
T
S n

=
/ 2, 1
/
n
x t s n
o

37
Confidence interval for Confidence interval for
exponential distribution
Exponential Distribution
The exponential distribution is characterised by
(f il t ) 1/ (MTTF) (failure rate) or =1/ (MTTF)
The failure rate can be estimated as
Total number of failures
Total observation time
Equivalently MTTF can be estimated as
Total observation time
q y
Total observation time
Total number of failures
Confidence on exponential p
distribution - Time terminated
(Failures + suspensions) (Failures + suspensions)
Failure data is highly skewed, so normal approximation
i t lid is not valid.
Use _
2
distribution to determine confidence limits.
UCL on mean:
LCL on mean:
2
) 2 2 , (
2
+
s
r
T
MTTF
o
_
LCL on mean:
2
2
>
T
MTTF
_
) 2 2 , ( + r o
T = total observation time (failures + suspensions)
r=number of failures during T
) 2 2 , 1 ( + r o
_
r=number of failures during T
=risk (1-level of confidence)
Example 3 Example 3
A reliability test of an item is conducted for 1000 hrs and
10 failures occurred during this time. When the item
failed, it was repaired and returned to operation.
The 10
th
failure occurred before the test was terminated
at 1000 hrs.
Assume an exponential distribution (e.g. a complex
system).
Q: With 90% confidence, what value will the MTTF will
exceed?
A: We need to find the 90% lower confidence limit on the
MTTF for a time terminated test.
Example 3 solution Example 3 solution
Estimate of MTTF = total time/no. of failures
= 1000/10 = 100 hrs = 1000/10 = 100 hrs
2
>
T
MTTF
Using the formula
ith 1 0 9 10 T 1000 h
2
) 2 2 , 1 ( +
>
r
MTTF
o
_
with 1-o=0.9, r=10, T=1000 hrs
From _
2
distribution table, we find _
2
(0.9,22)
=30.81
( , )
So
hrs 91 64
1000 2
> MTTF hrs 91 . 64
81 . 30
= > MTTF
Adapted from the Defence Reliability Management Course, 2/2005
_
2
distribution
The pdf is (a special case of the
Gamma distribution , when | =v/2 and
=0.5)
2 / 1 ) 2 / (
2 /
) 2 / ( 2
1
) (
t
e t t f

I
=
v
v
where v is the only parameter, called
degree of freedom
2 /
) 2 / ( 2
) ( f
I
v
v
degree of freedom
It is a distribution of sums of squares
f i d d t t d d l of n independent standard normal
variables.
Used for statistical testing, goodness-
of-fit and confidence intervals
Cumulative distribution values can be
found in tables.
Note: we try to find the _
2
value
that gives the given right tail that gives the given right tail
area, using v
the right tail
v=3
area = 0.1
_
2
3, 0.1
=6.25
Exponential distribution
Failure terminated (No Failure terminated (No
suspensions)
Single-sided confidence interval can be determined
using:
LCL on mean:
o
_

=
2
(1 ,2 )
2
r
T
LCL
For
UCL
o (1 ,2 ) r
2T
double
sided CI,
0
UCL on mean:
o
_
=
2
( ,2 )
2
r
T
UCL
use 0.5,
not
Where T=total period of observation
o = risk (1-level of confidence) o risk (1 level of confidence)
r = number of failures during the period
of observation
Example 4 Example 4
A reliability test of an item is conducted for 1000 hrs and
10 failures occurred during this time. Each time when it
failed the item was repaired and returned to operation
(except the last one) (except the last one)
The test was terminated after the 10
th
and last failure that
occurred at 1000 hrs.
Assume an exponential distribution. p
Q: What is the value we can be sure with 90% Q: What is the value we can be sure with 90%
confidence that the MTTF will exceed?
A W d t fi d th 90% l li it th MTTF f A: We need to find the 90% lower limit on the MTTF for
a failure terminated test
Example 4 solution
Estimate of MTTF = period of observation/no. of failures
Example 4 solution
= 1000/10 = 100 hrs
2T
Using the formula:
2
) 2 , 1 (
2
r
T
MTTF
o
_

>
with 1-o=0.9, r=10, T=1000 hrs
From _
2
distribution table we find _
2
(0 9 20)
=28 41 From _ distribution table, we find _
(0.9,20)
28.41
So:
hrs 40 70
1000 2
=

> MTTF
So:
hrs 40 . 70
41 . 28
> MTTF
Adapted from the Defence Reliability Management Course, 2/2005
C.I. for Exponential Distribution: Example 1
A sewage pump were monitored for 10000 hours, and 10
failures were recorded. Every time it failed, it was repaired
and restored to service (as good as new). What is the
value we can be sure with 95% confidence that the MTBF value we can be sure with 95% confidence that the MTBF
of the pump will exceed?
Solution
C.I. for Exponential
Distribution: Example 2
A sewage pump were monitored for failures. Every time it
failed, it was repaired and restored to service (as good as
new) The monitoring finished after the 10th failure which new). The monitoring finished after the 10th failure, which
happened at 9829 hours. What is the value we can be sure
with 95% confidence that the MTBF of the pump will with 95% confidence that the MTBF of the pump will
exceed?
Solution
C.I. for Exponential
Distribution
The
2
distribution can be used to derive The distribution can be used to derive
confidence interval around an estimated
MTTF MTTF
C.I. Time truncated Failure truncated
| |
Two-sided
(LCL, UCL)
2 2
/ 2, 2 2 1 / 2, 2 2
2 2
,
n n
T T
o o
_ _
+ +
| |
|
|
\ .
2 2
/ 2 2 1 / 2 2
2 2
,
n n
T T
o o
_ _
| |
|
|
\ .
One-sided
(LCL)
/ 2, 2 1 / 2, 2 n n o o
_ _

\ .
2
2T
2
2T
(LCL)
2
, 2 2 n o
_
+
, 2n o
_
n : total number of failures
Note we have been
n : total number of failures
T : total observation time
100(1-)%: confidence level
Note we have been
using r for this
About confidence interval and the (dreaded)
point estimate of MTTF p
MTTF often calculated simply as = T/r
Assumes (and is only valid for) an exponential
distribution.
Why not test for the shortest possible time?
And better et e perience ero fail res And better yet experience zero failures
Infinite MTTF
The perfect system The perfect system
We all know the answers, or do we?
Adapted from the Defence Reliability Management Course, 2/2005