On a multivariate IFR and positively dependent lifetime model induced by multiple shot-noise processes

Hyunju Lee; Ji Hwan Cha

doi:10.1007/s00362-019-01099-7

On a multivariate IFR and positively dependent lifetime model induced by multiple shot-noise processes

Hyunju Lee, Ji Hwan Cha

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

In reliability and survival analysis, the shot-noise processes have been intensively employed as a useful tool for modeling the impact of a dynamic environment (in the form of the point process of stresses) on survival characteristics of systems and organisms. However, the studies on the shot-noise processes have been mostly focused on the univariate analysis. In this paper, we develop a class of multivariate stochastic failure models based on a dynamic shock model induced by multiple shot-noise processes and study its properties. Explicit parametric forms for the multivariate survival functions are suggested. Multivariate ageing properties and dependence structures of the class are discussed as well.

Original language	English
Pages (from-to)	561-590
Number of pages	30
Journal	Statistical Papers
Volume	62
Issue number	2
DOIs	https://doi.org/10.1007/s00362-019-01099-7
State	Published - Apr 2021

Bibliographical note

Funding Information:
The work of the first author was also supported by the National Research Foundation of Korea (NRF) Grant funded by the Korea Government (MSIP) (No. 2016R1A2B2014211).

Publisher Copyright:
© 2019, Springer-Verlag GmbH Germany, part of Springer Nature.

Keywords

Common shock model
Dependence ordering
Dependence structure
Multiple shot-noise processes
Multivariate ageing property

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10.1007/s00362-019-01099-7

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abstract = "In reliability and survival analysis, the shot-noise processes have been intensively employed as a useful tool for modeling the impact of a dynamic environment (in the form of the point process of stresses) on survival characteristics of systems and organisms. However, the studies on the shot-noise processes have been mostly focused on the univariate analysis. In this paper, we develop a class of multivariate stochastic failure models based on a dynamic shock model induced by multiple shot-noise processes and study its properties. Explicit parametric forms for the multivariate survival functions are suggested. Multivariate ageing properties and dependence structures of the class are discussed as well.",

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AU - Cha, Ji Hwan

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N2 - In reliability and survival analysis, the shot-noise processes have been intensively employed as a useful tool for modeling the impact of a dynamic environment (in the form of the point process of stresses) on survival characteristics of systems and organisms. However, the studies on the shot-noise processes have been mostly focused on the univariate analysis. In this paper, we develop a class of multivariate stochastic failure models based on a dynamic shock model induced by multiple shot-noise processes and study its properties. Explicit parametric forms for the multivariate survival functions are suggested. Multivariate ageing properties and dependence structures of the class are discussed as well.

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On a multivariate IFR and positively dependent lifetime model induced by multiple shot-noise processes

Abstract

Bibliographical note

Keywords

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