Nonparametric evaluation of the first passage time of degradation processes

Narayanaswamy Balakrishnan and Chengwei Qin

Applied Stochastic Models in Business and Industry, 2019, vol. 35, issue 3, 571-590

Abstract: This paper discusses a nonparametric method to approximate the first passage time (FPT) distribution of the degradation processes incorporating random effects if the process type is unknown. The FPT of a degradation process is unnecessarily observed since its density function can be approximated by inverting the empirical Laplace transform using the empirical saddlepoint method. The empirical Laplace transform is composed of the measured increments of the degradation processes. To evaluate the performance of the proposed method, the approximated FPT is compared with the theoretical FPT assuming a true underlying process. The nonparametric method discussed in this paper is shown to possess the comparatively small relative errors in the simulation study and performs well to capture the heterogeneity in the practical data analysis. To justify the fitting results, the goodness‐of‐fit tests including Kolmogorov‐Smirnov test and Cramér‐von Mises test are conducted, and subsequently, a bootstrap confidence interval is constructed in terms of the 90th percentile of the FPT distribution.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:35:y:2019:i:3:p:571-590

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