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Using Degradation Measures To Estimate A Time To Failure Distribution
Using Degradation Measures To Estimate A Time To Failure Distribution
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Measures
UsingDegradation to Estimate
a
Time-to-Failure
Distribution
C. JosephLu and WilliamQ. Meeker
Department of Statistics
and
CenterforNondestructive Evaluation
Iowa State University
Ames, IA 50011-1210
161
Table 1. Fatigue-Crack-Growth
Data FromBogdanoffand Kozin(1985)
Millioncycles
Path .00 .01 .02 .03 .04 .05 .06 .07 .08 .09 .10 .11 .12
1 .90 .95 1.00 1.05 1.12 1.19 1.27 1.35 1.48 1.64
2 .90 .94 .98 1.03 1.08 1.14 1.21 1.28 1.37 1.47 1.60
3 .90 .94 .98 1.03 1.08 1.13 1.19 1.26 1.35 1.46 1.58 1.77
4 .90 .94 .98 1.03 1.07 1.12 1.19 1.25 1.34 1.43 1.55 1.73
5 .90 .94 .98 1.03 1.07 1.12 1.19 1.24 1.34 1.43 1.55 1.71
6 .90 .94 .98 1.03 1.07 1.12 1.18 1.23 1.33 1.41 1.51 1.68
7 .90 .94 .98 1.02 1.07 1.11 1.17 1.23 1.32 1.41 1.52 1.66
8 .90 .93 .97 1.00 1.06 1.11 1.17 1.23 1.30 1.39 1.49 1.62
9 .90 .92 .97 1.01 1.05 1.09 1.15 1.21 1.28 1.36 1.44 1.55 1.72
10 .90 .92 .96 1.00 1.04 1.08 1.13 1.19 1.26 1.34 1.42 1.52 1.67
11 .90 .93 .96 1.00 1.04 1.08 1.13 1.18 1.24 1.31 1.39 1.49 1.65
12 .90 .93 .97 1.00 1.03 1.07 1.10 1.16 1.22 1.29 1.37 1.48 1.64
13 .90 .92 .97 .99 1.03 1.06 1.10 1.14 1.20 1.26 1.31 1.40 1.52
14 .90 .93 .96 1.00 1.03 1.07 1.12 1.16 1.20 1.26 1.30 1.37 1.45
15 .90 .92 .96 .99 1.03 1.06 1.10 1.16 1.21 1.27 1.33 1.40 1.49
16 .90 .92 .95 .97 1.00 1.03 1.07 1.11 1.16 1.22 1.26 1.33 1.40
17 .90 .93 .96 .97 1.00 1.05 1.08 1.11 1.16 1.20 1.24 1.32 1.38
18 .90 .92 .94 .97 1.01 1.04 1.07 1.09 1.14 1.19 1.23 1.28 1.35
19 .90 .92 .94 .97 .99 1.02 1.05 1.08 1.12 1.16 1.20 1.25 1.31
20 .90 .92 .94 .97 .99 1.02 1.05 1.08 1.12 1.16 1.19 1.24 1.29
21 .90 .92 .94 .97 .99 1.02 1.04 1.07 1.11 1.14 1.18 1.22 1.27
pie and intuitivelyappealing and because our sim- 3.2 Preliminariesfor Stage 2
ulationstudies(details not givenhere) showed that
We assume that,by some appropriatereparame-
the methodcompareswell withthe more computa-
terization(e.g., using a Box-Cox tranformation),
tionallyintensivemethods. Applicationsof similar
?i = H(Oi) (i = 1, 2, . . ., n) is approximately
two-stagemethodscan be foundin theworkofMow- multivariatenormallydistributedwith the asymp-
ers, Fuller, and Shrader (1981), Beal and Sheiner
toticmean E?(0i) = 0i and theasymptotic variance-
(1985), and Carey and Tortorella(1988). Steimeret
al. (1984) proposedsimilarmethodsthatuse iterative covariance, obtained by Taylor series approxima-
refinement.To carryout the two-stagemethod,we tion, as var,(0i) = [J(Oi)]'var,(Oi)J(,O) (i = 1, 2,
. . , n), whereJ(Oi) = (ad/d')H(O)o, =o is thePo
do the following:
x p, Jacobianmatrixof 0i = H(O,) and var,(Oi) =
1. In the firststage,foreach sampledunit,fitthe C2[i'(ti; 4), Oi)/(ti; 4(, Oi)]PPo is the asymptotic
variance-covariance matrixof Oi based on thesample
degradationmodel to thesamplepathand obtainthe
Stage 1 estimatesof the model parameters. path from the ith unit, where [fi'(t,;+, Oi)
2. Transform,if necessary,the Stage 1 estimates /i(ti;4, Oi)]POp? is the lowerrightpo x Po submatrix
model
the random-effect of [i''(ti; 4, oi)'i(ti; +, Oi)]-1.
(in effectreparameterizing
Then takingthe variabilityof the randomeffects
parameters)so thatthe random-effect parameterscan
be modeledwitha (multivariate) normaldistribution. into account,the unconditionalasymptoticdistribu-
3. In thesecond stage,combinethe(reparameter- tion of Oi, based on data fromthe ith sample path,
has mean vectorand variance-covariancematrixas
ized) Stage 1 estimatesof the model parametersto
follows: Eo,(0) = E,[E,(iJOi)] = Eo(,)
(0 = , and
produce estimatesof 4(, FL, and Z0.
vareo(i) = varo[EE(O,i|J)]+ Eo[var,(O,|O,)]
3.1 Stage 1 = varo(0i) +
Eo[var,(OijOi)] = oe + be,
In the firststage, foreach uniti (i = 1, 2, . . . where 1O = E,[var,(BIO,i)] is the component of
n) the least squares estimates(4i, Oi) of (4), Oi) are asymptoticvariabilitydue to measurementerrorsin
the values of the path parametersthatminimize the responsevalues fromthe ithsample path.
mi Note that E,(+i) = Eo[Ee(410i)] = E(+) =
-
2(p', ) = E {yij 77(tj;up, )}2. 4).
j=l
3.3 Stage 2
An estimatorof the errorvariance o- fromthe ith
unitis In thesecondstage,we combinetheunconditional
estimators,fromthe precedingdiscussion,(4i, Oi)
1 (i = 1, 2, . . . , n), to construct the two-stage esti-
( =i m - 9(4i, i),
mi, p matorsof thepath-modelparameters.The two-stage
estimatorsof the path-modelparameters(4 and I0L
wherep = po + p, andp, and Po are thedimensions
are, respectively,
of 4( and 0, respectively.Under appropriateregu-
n n
larityconditions(e.g., Seber and Wild 1989, sec.
1 1
= ->
+ <i and fe = - ji
12.2.2), 4>i, i, and (-2i are consistentand, forlarge n i= n i=l
mo,,we have the followingasymptoticdistributions,
conditionalon Oi = O/,
Because E,('i) = 4, Eo,(i) = l0, and varo(Oi) =
,0 and ?,, we have, for large mo, (i = 1, 2, ...
n) the followingasymptoticresult:
( i) ~MVN (( )i2[Ti (ti; 4, ?*)14(ti; >,
4<1 *)] -1)
1 n
Eo n -i=1
-1 i (0i- Loe)(Oi - ie,)' = , + e.
(met -p)62i
_2 X,mo -p,
Thus the asymptoticvariance-covariancematrixY;
where Oi* and mo, are realizationsof Oi and m,i, ti can be expressedas
(tl, t2,* , tmi)', l (ti; 4, Oi) = (qr(tl; <4, Oi), 1 n
7q(t2; 4), Oi), ... , (tmi; ),Oi))', and il(ti; 4), Oi) 1,o = E n --li= (0i i
= a'i(t,; 1p, Moreover,
O)/8(p'O')(,)
=(,,i).
(4)i,0i) and -,iare asymptotically
independent.Note We can estimate2O = Eo[var,(Bi|Oi)] bythesample
thatthe asymptoticresultsin thisand the following average n-1 i var,E(i), wherevarh(6i)is obtained
sectionsdepend on large m,i. by evaluating var,(i,) = [J(Oi)]'varE(Oi)J(Oi) at
0i, Oi, and cri (see Sec. 3.2). Therefore,we could 4. ESTIMATION OF FT(t)
estimate ]9 by using
4.1 PointEstimation
1
- AH)' One can estimatethe time-to-failure distribution
-lIi_- (0i
nn _1 0i
theestimates4, ,i, and i0 into
FT(t) bysubstituting
n
I FT(t; (, ,o, o,, D, r7); that is, FT(t) = FT(t; ,
-1 =
n i=1 varF(0,) M, Mb. ,iO, t0, D, 7r).This is straightforward forthe case in
whichFAt) can be expressedin a closed form.
The matrixM,, - Mb, however,may not alwaysbe When thereis no closed-form expressionforFT(t)
nonegativedefinite(a nonnegativedefinitematrixis and whennumericaltransformation methodsare too
one that is eitherpositivedefiniteor positivesemi-
complicated,one can evaluate the estimateFT(t) to
definite),whichwould put it outside the parameter anydesireddegreeofprecisionbyusingMonte Carlo
space of a variance-covariancematrix.Thus a mod- simulation.This is done by generatinga sufficiently
ifiedestimatoris required.Thisis a commonproblem
in the estimationof variancecomponents. large numberof randomsample paths fromthe as-
sumedpathmodelwiththeestimatedparametersand
Following the procedure of Amemiya (1985), a usingthe proportionfailingas a functionof timeas
modified(by a constraint)estimatorof20, whichwill
an estimate of FT(t).
always be nonnegativedefinite,is We use the followingalgorithm:
te = Ma - Mh ifM - Mb 1. Estimatethepath-modelparameters(), ju,,and
]o fromthe n sample paths by usingthe two-stage
is nonnegative
definite method of the previous section,giving4, X,0,and
0 ifMa - Mb is negativedefinite 0.
2. Generate N simulatedrealizations0 of 0 from
= r+(A+ - I)r+ otherwise,
N(oi, to) and obtainthecorresponding N simulated
realizationsO of O fromH- 1(), whereN is a large
wheredefinitions
and computational formulasforA+ number(e.g., N = 100,000) and H-1 is the inverse
and r+ and the derivationare as given in the Ap- transformation of H.
pendix. When Ma - Mb is not nonnegative definite, 3. Computethecorresponding N simulatedfailure
thisestimator,0 is the nonnegativedefinitematrix timest by substitutingO into T = r(O; $, D, 7r).
thatis,ina sense,"closest"to Ma - Mb (see Amemiya 4. Estimate FT(t) fromthe simulated empirical
1985). Other approaches forconstructing nonnega- distribution
tivedefiniteestimatorsof a variance-covariancema-
trixcan be foundin, forexample,theworkof Carter numberof t < t
and Yang (1986). FT(t) -
(1982), is a sample-reusemethod that is used fre- ing order for each desired time t to give FT(t)[ll,
* * , FT(t)[B]
quentlyto assess samplingerroror constructconfi- FT(t)[2,
dence intervalswhen thereis no knownalternative 10. Determine the lower and upper bounds of
approach that is both tractableand sufficiently ac- pointwise100(1 - a)% confidenceintervalsforthe
distributionfunction FT(t): [FT(t)[11,
curate.A usefulintroduction to the bootstrapmeth- FT(t)[u]], where
ods was given by Efron and Tibshirani(1986). Di- 1 = '(2t-1(q) + P-1(a/2))B, u = P(2t-1(q) +
Ciccio and Romano (1988) gave a surveyofbootstrap P-1(1 - a/2))B,
proceduresforconstructing confidenceregions.
We use thefollowingbias-corrected
number of FT(t)b _ Ft(t) b = 1 2
percentilepar- B
ametricbootstrap (simulation) procedure for con-
structingpointwiseconfidenceintervals forFT(t). This and T is a distribution
function
symmetric aboutzero.
procedureis similarto thatdescribedbyEfron(1985), FollowingEfron(1985), we use the standardnormal
whichis a refinement of thepercentilemethodgiven distributionfunctionF forT. Then FP(t)[,land Frt)[,l
by Efron(1982). We use the followingsteps: are approximate pointwiselowerand upperone-sided
1. Estimatethe model parameters4b,Fx-,and Yo 100(1 - a/2)% bias-corrected confidenceboundsfor
FT(t).
and the errorvariance o2 fromthe n sample paths
byusingthetwo-stagemethod,giving l,li, H0,and If FT(t) can be expressedin a closed form,we can
6, where 6-^is the pooled estimateof ao: skip Steps 5-7 and directlysubstitutethe bootstrap
estimates4, 4o,and e,, obtainedin Step 4, intothe
- closed-form
^2 in-1 (moi, p)&i expression^togetthebootstrapestimate
E= (mo, - p) FT(t) = FT(t; 4, 10, 9, D, 7r).Most of the com-
putationtimewill be spenton Step 4 whenwe have
2. Generate n simulatedrealizations0 of 0 from nonlinearmodel. Note thatSteps 4-7 are similarto
N(,^, 2o) and obtainthe corresponding n simulated Steps 1-4 in Section 4.1.
realizationsO of 0 fromH-1(0), whereH-1 is the
inversetransformation of H.
3. Compute n simulatedpathsfromY,i = r/(t; , 5. NUMERICAL EXAMPLE
0i) + bij,whereEijare pseudo errorsgeneratedfrom In thissection,we returnto theexamplein Section
N(0, &-) and t,are thesame measurementtimesused 1.2, usingthedegradationdata in Table 1 and Figure
in the originalexperiment,up to the planned stop- 1. Because thefatigueexperimentwas conductedon
ping time t,. The simulatedpaths that cross D be- notchedspecimens,each withthe same initialcrack
foretimetsare truncatedat the timepointafterthe
lengthof .90 inches,we are interestedin thetimeto
crossing. grow a crack from.90 inches to the criticalcrack
4. Use the n simulatedpaths to estimateparam-
length1.60 inches. Table 2 gives the failuretimes
eters of the path model, givingthe bootstrapesti- and indicateswhichones would have been censored
mates 4), Fie,and le. if the testhad ended at t, = .12. First,we give the
5. GenerateNB simulatedrealizations6 of 0 from
degradationdata analysis.Then, we take the tradi-
N(o0, Je) and obtain the correspondingNB simu- tional approach of fittingparametricmodels to the
lated realizationsO of O fromH-1(0), whereNB is censoredtime-to-failure data. We also comparethe
a large number(e.g., NB = 100,000) and H1 is the resultswiththenonparametric estimatebased on the
inversetransformation of H. actual failuretimesof all of the 21 units.
Path mij , 2 S 62 r,
1 10 5.32 1.229 .06948 .1087 .00679 .2066
2 11 4.66 1.257 .01618 .0309 .00193 -.3937
3 12 4.47 1.533 .04461 .0734 .00624 .3854
4 12 4.39 1.515 .04936 .0873 .00690 .1772
5 12 4.39 1.470 .04765 .0852 .00663 .0258
6 12 4.32 1.416 .06410 .1228 .00877 .0437
7 12 4.27 1.481 .03864 .0761 .00549 .4114
8 12 4.17 1.480 .03071 .0657 .00447 -.0536
9 13 3.96 1.574 .04046 .0813 .00663 -.0764
10 13 3.80 1.711 .02722 .0616 .00476 .0968
11 13 3.69 1.780 .03334 .0832 .00586 .2072
12 13 3.51 2.129 .04084 .1142 .00792 .4742
13 13 3.38 1.784 .04456 .1570 .00833 .0131
14 13 3.53 .851 .03059 .1064 .00482 -.1507
15 13 3.48 1.426 .02528 .0842 .00447 -.0833
16 13 3.04 1.991 .02240 .1175 .00505 .1740
17 13 3.05 1.569 .03502 .1918 .00726 -.1026
18 13 2.92 1.623 .02658 .1738 .00595 .1431
19 13 2.72 1.957 .00764 .0667 .00201 -.4661
20 13 2.70 1.621 .01121 .1023 .00287 -.2595
21 13 2.60 1.601 .01084 .1161 .00292 -.2820
.
withtheML estimates ofthelognormal, normal, and
Weibulltime-to-failure distributions,based on the
censoredtime-to-failure data. Figures5 and 6 also
.a)
cq
co_
s *
.
.
showthenonparametric estimate ofthetime-to-fail-
az * *: uredistributionusingtheactualcrossing timesthat
occurredaftertS= .12. The censoreddata analysis
was donewithCENSOR (Meekerand Duke 1981).
Some observations fromthesefigures are:
1. Figures4 and 5 showthatthelognormal dis-
.o
.8-
.7 -
.6 -
.5 -
.4-
4
.3-
D
iI .2-
i
L
.1
.05 -
/0 -Censoring time
->
.02-
.01 - <- Censoringtime
Millions
ofCycles Millions0.08 0.18of
ofCycles
Millions Cycles
Figure 4. Lognormal ProbabilityPlot and Lognormal Dis- Figure 6. Comparison of Degradation and Time-to-Failure
tributionML Estimate Based on the Time-to-FailureData Cen- Data Analysis Based on Data Censored at the Nonparametric
sored at ts = . 12. Estimate (dots): Weibull, -; Normal, ----; Lognormal, --;
Degradation,
t, = .12, do not do any betterbeyondt, = .12. The distribution. ComparingFigures3 and 5 shows,how-
degradationanalysis,however,does provide a rea- ever, thatthe degradationmethodprovidesa much
sonable extrapolationbeyond ts = .12. This is be-
tighterupper confidencebound on the cdf in this
cause thedegradation-analysismethoddirectly models region. This can be explained by the fact that the
the relationshipbetweendegradationand time and ratesand levelsofcrackgrowthobservedin theearly
takes account of the amount of degradationin the
degradationmeasurementsprovide much more in-
censoredobservationswhenestimating FT(t). See the formationabout the lowertail of the time-to-failure
distributionof crack lengthsfor the unitsthat had distribution than do the timesthatthe cracksreach
not failed beforet, = .12, shown in Figure 1. The the criticallevel.
traditionaltime-to-failuredata analysisignoresthis
important information. 6. CONCLUDING REMARKS AND
3. ComparingFigures3 and 5 showsthatthecon- FUTURE WORK
fidenceintervalsbased on thedegradationand time-
There remainmanyopen questionsabout how to
to-failuredata have similarwidthsfrom.10 < t <
collectand analyzedegradationdata. Some of these
.12. Outside of thisrange,however,the confidence
includethe following:
intervalsare narrowerforthe degradationmethod.
4. Figure 6 shows that all of the point estimates 1. We used the bootstrapsimulationmethod to
are similarin the lower tail of the time-to-failure constructpointwiseconfidenceintervalsfor FT(t).
This same methodcan be used to constructsimul-
taneousconfidencebands forFT(t). Such bands are
oftenneeded in practicalproblemsin whichone is
interestedin the probabilityof survivalover a range
of time.
2. In some high-reliability applications,the rate
of degradationis so slow thatitis impossibleto make
usefulinferencesin a reasonableamountof time.In
suchcases, as withtraditionallifetests,an alternative
is to use stressacceleration.Oftenhigherstress(e.g.,
temperatureor cyclingrate) will lead to fasterdeg-
radation.One can thenuse physicalmodels thatre-
late degradationrate to stressto extrapolateand es-
timatethetime-to-failure distribution
at a designstress.
0.12 0.14 Some accelerated tests are run at constantstress.
Millions
ofCycles Others use progressiveor step stress. See Nelson
Figure 5. Lognormal DistributionML Estimate, 90% Point- (1990) for models and data-analysismethods. The
wise Approximate Confidence Intervals,and Nonparametric methodsused in this articlecan be used withsuch
Estimate (dots) Based on the Censored Time-to-FailureData. models.
= 0 if all Ak < 1
APPENDIX: NONNEGATIVE DEFINITE
ESTIMATOR FOR 1, = (M, - Mb)+ otherwise,
We will followthe proceduredescribedby Ame- where (Ma - Mb) = Fr(A+ - I)rF.
miya (1985) to definea modifiednonnegativedefi- The roots of |Ma - AMbl = 0 can be computed
nite estimatorfor ? discussed in Section 3.2. As- as follows.Since Mb is positivedefinite,thereexists
sume that M, = (n - 1)-1 nl (}i - lo)(Oi - Lo)' a nonsingularmatrixC, whichcan be obtained by,
is nonnegativedefiniteand Mb = n-1 _=1 var,(,i) forexample,Choleskydecompositionor spectralde-
is positivedefinite,by the extensionof the principal composition,such that C'MbC = I. Thus we can
axis theorem(Arnold 1981,theoremA.7, or Graybill rewrite the equation IMa - AMbI = 0 as follows:
1983, theorem12.2.13), IMa - AMbI = 0, has Po 0 = |Ma - AM,b = IC'I
- Ma - AMbl CI
nonnegative roots A1 -A2 ? ? ? Ap,. Let x, (o2
. . ., po be p x 1 vectorscorrespondingto A1,A2, = IC'MaC - AIl.