Finding Prediction Limits for a Future Number of Failures in the Prescribed Time Interval under Parametric Uncertainty

Abstract

Computing prediction intervals is an important part of the forecasting process intended to indicate the likely uncertainty in point forecasts. Prediction intervals for future order statistics are widely used for reliability problems and other related problems. In this paper, we present an accurate procedure, called ‘within-sample prediction of order statistics’, to obtain prediction limits for the number of failures that will be observed in a future inspection of a sample of units, based only on the results of the first in-service inspection of the same sample. The failure-time of such units is modeled with a two-parameter Weibull distribution indexed by scale and shape parameters β and δ, respectively. It will be noted that in the literature only the case is considered when the scale parameter β is unknown, but the shape parameter δ is known. As a rule, in practice the Weibull shape parameter δ. is not known. Instead it is estimated subjectively or from relevant data. Thus its value is uncertain. This δ uncertainty may contribute greater uncertainty to the construction of prediction limits for a future number of failures. In this paper, we consider the case when both parameters β and δ are unknown. In literature, for this situation, usually a Bayesian approach is used. Bayesian methods are not considered here. We note, however, that although subjective Bayesian prediction has a clear personal probability interpretation, it is not generally clear how this should be applied to non-personal prediction or decisions. Objective Bayesian methods, on the other hand, do not have clear probability interpretations in finite samples. The technique proposed here for constructing prediction limits emphasizes pivotal quantities relevant for obtaining ancillary statistics and represents a special case of the method of invariant embedding of sample statistics into a performance index applicable whenever the statistical problem is invariant under a group of transformations, which acts transitively on the parameter space. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Frequentist probability interpretation of the technique considered here is clear. Application to other distributions could follow directly. An example is given.