Computers ind. Engng Vol. 35, Nos 1-2, pp.

213-216, 1998
© 1998 Elsevier Science Ltd. All rights reserved
Pergamon Printed in Great Britain
PII: S0360-8352(98)00066-7 0360-8352/98 $19.00 + 0.00

THE USE OF ARIMA MODELS FOR RELIABILITY

FORECASTING AND ANALYSIS

S.L. Ho '~and M. XIE b

a The Centre for Quality, Ngee Ann Polytechnic, Singapore.

535, Clementi Road, Singapore 599489.
b Department of Industrial and Systems Engineering, National University of Singapore.
10, Kent Ridge Crescent, Singapore 119260.

ABSTRACT

This paper investigates the approach to repairable system reliability forecasting based on the
Autoregressive Integrated Moving Average (ARIMA) models. This time series technique
makes very few assumptions and is very flexible. It is theoretically and statistically sound in
its foundation and no a priori postulation of models is required when analysing failure data.
An illustrative example on a mechanical system failures is presented. Comparison is also
made with the traditional Duane model. It is concluded that ARIMA model is a viable
alternative that gives satisfactory results in terms of its predictive performance.
© 1998 Elsevier Science Ltd. All rights reserved.

KEYWORDS

Repairable system; time series; ARIMA models; Duane model; MAD; forecasting.

INTRODUCTION

In system reliability analysis, few would argue about the need and importance of forecasting
as decision makers are interested in estimating the future occurrences of system failures for
resource planning, inventory management, developing realistic policies for age replacement
and logistic support. In reality, practically most systems are repairable and its reliability
measure changes with time. By considering this change as a time series process, the "growth"
or "deterioration" of the system can be estimated. However, reliability prediction from the
failure data is often subjective due to a lack of suitable models and a number of assumptions,
which are difficult to validate, have to be made in the modeling process.

Traditionally, Duane model has been widely adopted for analysing the data (Ascher and
Feingold, 1984; Duane, 1964). In fitting the data, equal weights are being assumed in the
model and sometimes, improvement is made by removing the early data as outliers in order to
obtain a better fit. However, some might view this as not appropriate in reliability analysis
because valuable information could be lost. Thus, it would be logical to retain all
observations and seek a model that characterizes the stochastic structure of the data series.
Moreover, it is more reasonable to assume that higher weights should be associated with the
current data that has the most repair effort, as it is deemed more important than the previous
failures.
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The Autoregressive Integrated Moving Average models (ARIMA), pioneered by Box-

Jenkins (Box et al., 1994), earl be a suitable alternative in modeling the failure pattern. By
iteratively adjusting the weights in this time series model, autocorrelation between the failure
data can be explored and better estimates can be obtained. In this paper, we examine the
application of time series modeling in repairable system analysis. A comparative study
between Duane and ARIMA models for forecasting failures is discussed, with emphasis on
their predictive performance. An example on analysing the failure data of a mechanical
system is presented.

APPROACHES TO FAILURE DATA ANALYSIS

The Duane Model

The Duane model, also known as the power law model, belongs to the family of
nonhomogeneous Poisson process (NHPP). This is the most commonly used stochastic
process for modeling reliability growth. The primary reason of its popularity originates from
the early studies reported by J. T. Duane (Duane, 1964). He postulated that the plot of
cumulative number of failures N(t) versus the cumulative operating hours t on a log-log scale
can be fitted by a straight line if the model is valid. The gradient b gives the indication of the
growth rate. This model, being empirical, provides a reasonably simple method for reliability
growth forecasting of repairable systems. More significantly, its strength lies in its graphical
approach and easy interpretation (Xie and Zhao, 1996). The mean value function has the
linear form

In m(t) =In a + b In t, where a _>O, b _>O.

Such graphical technique provides a simple way for model validation and parameter
estimation. Values of b < 1 indicates that the system is exhibiting reliability growth trend,
whereas b > 1 shows that the system is deteriorating.

The ARIMA Model

The Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) methodology is well

established in the statistical literature. However, its use in the reliability field is rather limited.
Only in recent years did we see more work been reported, in particular on using time series
models for software reliability growth (see for example Singpurwalla, 1980, Chatterjee, et al.,
1997). An iterative three-stage process, i.e. through model identification, parameter
estimation and diagnostic check is required to determine the adequacy of the proposed model.
An excellent reference can be found in Bowerman and O'Connell (1993).

Let {Xt.k, k = O, 1, 2, 3 ........... p} be the stationary time series under study. In reliability
analysis of repairable systems, Xt represents the time between failures or the number of
•failures per time interval. It can be expressed as ARIMA (p, q), which is a linear combination
of past values of Xt and errors 6t

x , = 7"0 + 4 x,.i + 42 x , . 2 + . . . . . . + 4p x t . p - Oi6,-i - 026,. - . . . . . . - Oq6t.q + e,

where p and q are the order of the autoregressive model and moving average model
respectively, {41. 42........ 4p, Or, 02........ Oq} are the regression weights to be estimated, ~'0
represents the trend component, and {6t, st.t, ct.2 ........ 6t.q} are the random errors.
 23rd International Conference on Computers and Industrial Engineering 215

The ARIMA modeling is essentially an exploratory data-oriented approach that has the
flexibility of fitting an appropriate model which is adapted from the structure of the data
itself. With the aid of autocorrelation function and partial autocorrelation function, the
stochastic nature of the time series can be approximately modeled; from which information
such as trend, random variations, periodic component, cyclic patterns and serial correlation
can be discovered. As a result, forecasts of the future values of the series, with some degree
of accuracy, can be readily obtained.

In repairable systems analysis, it is reasonable to assume that the current interfailure time Xt
is related to the most recent Xt.l. or even extend into the past values Xt.2...... Xt.p. This is
because the next interfailure time is dependent on the current level of repair done and to a
certain extent, the previous continued engineering efforts. Therefore, the basic assumption of
independence of the residuals is violated due to correlation and the use of the traditional
NHPP model is questionable. The time series technique imposes no restrictive assumptions
on the failure process and has the capability of exploiting this interdependency and identify
the trend component, i.e. reliability growth, and thus produces superior forecasts. Besides,
there is no need to arbitrarily assume a model prior to data analysis. In fact, the model is
iteratively selected based on the underlying data structure.

AN ILLUSTRATIVE EXAMPLE

In general, two classes of failure information are encountered; a series of specific times at
which failures occur (ungrouped data) and counts of the number of failures recorded in some
ordered time interval, e.g. hours, days (grouped data). As the latter is more frequently
encountered in the field where the actual failure time is not available, we present an example
of a grouped failure data of a mechanical system. Comparison is made to both ARIMA and
Duane models. The data set and the fitted models are depicted in Table 1; all data are read
from left to right. A summary of the predictive errors, based on the mean absolute deviation
(MAD), from both models is given in Table 2.

Table 1. Failure data of a mechanical system.

Number of failures per interval: 3, 2, 9, 17, 16, 14, 12, 26, 21, 15
ARIMA model: X t = 2 X t . l - Xt.2 + 6t - 0 . 9 9 6 t . i
Duane model: m ( t ) = 0 . 8 1 t 18° , R 2 = 0 . 9 7 8

Table 2. Predictive performance comparison.

Failure Actual failures Predicted Absolute error Absolute error

interval per interval (ARIMA) (ARIMA) (Duane)

11 15 14.1 0.9 18.9

12 18 13.1 4.9 29.6
13 15 12.2 2.8 45.2
14 7 11.3 4.3 70.8
15 3 10.4 7.4 102.3

"MAD" 4.1 53.4

216 23rd International Conference on Computers and Industrial Engineering

From the results in Tables 1 and 2, since the underlying structure of data set 1 has changed,
Duane model is not capable of detecting this change and hence resulted in poor forecasts. The
assumption of extending the past failure pattern into the future is no longer valid. On the
other hand, ARIMA model provides a better fit to the data with relatively low absolute errors.

In our investigation, although we have examined only a set of grouped failure data, similar
studies conducted on ungrouped failure data; i.e. in the form of interfailure time of failure
events, have shown that the predictive performance from ARIMA models is as good as that
from Duane model, if not better. Even when Duane model fits the data reasonably well, the
time series model is still comparable. In particular, for data sets where the assumption of
monotonically increasing or decreasing failure intensity as in Duane model is violated, the
results of the ARIMA model is even more appealing. Usually, a parsimonious ARIMA model
of lower orders would suffice in providing a reasonable fit to the failure data.

CONCLUDING REMARKS

In this study, the time series approach based on ARIMA models is investigated for repairable
system failure analysis and forecasting. Satisfactory predictive performance is achieved as
compared to the Duane model. With the advent of computer technology today, although
ARIMA modeling is mathematically sophisticated in theory, the iterative model building
process and hence accurate forecasts can be aided and made simpler by the ease of many
user-friendly statistical software packages such as SAS, Statgraphics, Statistica,....etc. These
commercially available tools have certainly bridged the gap for reliability practitioners in
characterizing the failure process. As evident from the results, the ARIMA modeling
approach can be a promising alternative for repairable system analysis.

REFERENCES

Ascher, H.and Feingold, H.(1984). Repairable Systems Reliability, Marcel Dekker, New
York.
Bowerman, B.L. and O'Connell, R. T. (1993). Forecasting and Time Series: An Applied
Approach, Duxbury Press, Belmont, CA.
Box, G. E. P., Jenkins, G. M. and Reinsel, G. C. (1994). Time Series Analysis, Forecasting
and Control, Prentice Hall, Englewood Cliffs, N.J.
Chatterjee, S., Misra, R. B. and Alam, S. S. (1997). Prediction of software reliability using an
autoregressive process, International Journal of System Science, 28(2), 211-216.
Duane, J. T. (1964). Learning curve approach to reliability monitoring, 1EEE Transactions on
Aerospace, 2, 563-566.
Singpurwalla, N. D. (1980). Estimating reliability growth (or deterioration) using time series
analysis, Naval Research Logistics Quarterly, 27, 1-14.
Xie, M. and Zhao, M. (1996). Reliability growth plot - an underutilized tool in reliability
analysis, Microelectronics & Reliability, 36(6), 797-805.