A switching diffusion model for lifetime estimation in randomly varying environments

John A. Flory, Jeffrey P. Kharoufeh and Nagi Z. Gebraeel

IISE Transactions, 2014, vol. 46, issue 11, 1227-1241

Abstract: This article presents a switching diffusion model for estimating the useful lifetime of a component that operates in a randomly varying environment. The component’s degradation process is unobservable; therefore, a signal of degradation is observed to estimate the environment parameters using a Markov chain Monte Carlo statistical procedure. These parameter estimates serve as key inputs to an analytical stochastic model that approximates the first passage time of the degradation process to a critical threshold. Several numerical examples involving simulated and real degradation data are presented to illustrate the quality of these approximations.

Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/0740817X.2014.893400

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