Approximate simulation techniques and distribution of an extended gamma process

DOI10.1007/s11009-015-9474-3zbMath1360.60161OpenAlexW2239731529MaRDI QIDQ518865

Zeina Al Masry, Ghislain Verdier, Sophie Bloch-Mercier

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9474-3

zbMATH Keywords

simulationreliabilityinverse Laplace transformseries representationdegradationindependent incrementsPost-Widder formulaweighted gamma process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (6)

Change-level detection for Lévy subordinators ⋮ A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process ⋮ Approximation of Bayesian models for time-to-event data ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Generalized method of moments for an extended gamma process ⋮ Stochastic comparisons and ageing properties of an extended gamma process

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• A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables
• Computational Methods for Multiplicative Intensity Models Using Weighted Gamma Processes
• An Introduction to the Theory of Point Processes

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