Approximate simulation techniques and distribution of an extended gamma process

DOI10.1007/S11009-015-9474-3MaRDI QIDQ518865zbMATH OpenOpenAlexFDO

Authors Zeina Al Masry, Ghislain Verdier, Sophie 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

simulationreliabilitydegradationindependent incrementsinverse Laplace transformseries representationPost-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)

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Cites work

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• An Introduction to the Theory of Point Processes
• Computational Methods for Multiplicative Intensity Models Using Weighted Gamma Processes
• Numerical accuracy of real inversion formulas for the Laplace transform
• Numerical inverse Lévy measure method for infinite shot noise series representation
• On a generalization of gamma processes
• Probability and stochastics.
• The distribution of the sum of independent gamma random variables

Cited in

(12)

• Change-level detection for Lévy subordinators
• A reliability model based on the gamma process and its analytic theory
• Modeling the mileage accumulation process with random effects
• Generalized method of moments for an extended gamma process
• Approximation of Bayesian models for time-to-event data
• scientific article; zbMATH DE number 1234594 (Why is no real title available?)
• scientific article; zbMATH DE number 3885191 (Why is no real title available?)
• A bayesian estimation of reliability based on the extended gamma process as prior over the cumulative hazard function
• Stochastic comparisons and ageing properties of an extended gamma process
• A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process
• Failure time of non homogeneous gamma process
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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