A Parameter Estimation Method of Shock Model Constructed with Phase-Type Distribution on the Condition of Interval Data
| Autor: | Yue Li, Yanling Qian, Long Wang, Xu Luo |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
021103 operations research
Article Subject Estimation theory General Mathematics 0211 other engineering and technologies General Engineering Mathematical properties 02 engineering and technology Engineering (General). Civil engineering (General) 01 natural sciences Interval data 010104 statistics & probability QA1-939 Decoupling (probability) Applied mathematics Phase-type distribution TA1-2040 0101 mathematics Likelihood function Shock model Mathematics Occurrence time |
| Zdroj: | Mathematical Problems in Engineering, Vol 2020 (2020) |
| ISSN: | 1024-123X |
| DOI: | 10.1155/2020/1424105 |
| Popis: | The phase-type distribution (also known as PH distribution) has mathematical properties of denseness and closure in calculation and is, therefore, widely used in shock model constructions describing occurrence time of a shock or its damage. However, in the case of samples with only interval data, modeling with PH distribution will cause decoupling issues in parameter estimation. Aiming at this problem, an approximate parameter estimation method based on building PH distribution with dynamic order is proposed. Firstly, the shock model established by PH distribution and the likelihood function under samples with only interval data are briefly introduced. Then, the principle and steps of the method are introduced in detail, and the derivation processes of some related formulas are also given. Finally, the performance of the algorithm is illustrated by a case with three different types of distributions. |
| Databáze: | OpenAIRE |
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