Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes

DOI10.1016/J.JSPI.2004.03.010MaRDI QIDQ556428zbMATH OpenOpenAlexFDO

Authors Amr Sadek, N. Limnios

Publication date 13 June 2005

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2004.03.010

zbMATH Keywords

failure rateinfinitesimal generatorMarkov processphase distributionreliabilitysurvival function

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05)

Review text

The maximum likelihood estimator of the infinitesimal generator for a finite state continuous time Markov processes is indicated and its asymptotics discussed. Extension of these results leads to asymptotics for the estimators of the transition matrix and of reliability/survival, availability and failure rate functions. Confidence intervals for the proposed estimators are given. A numerical example illustrates the results.

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Cited in

(16)

• Piecewise deterministic Markov processes applied to fatigue crack growth modelling
• Nonparametric reliability estimation of semi-Markov processes
• An expectation maximization algorithm to model failure times by continuous-time Markov chains
• ROCOF of higher order for semi-Markov processes
• Reliability and survival analysis for drifting Markov models: modeling and estimation
• A method for estimating the parameters of reliability models
• Nonparametric estimation of the joint distribution of survival time and mark variables
• ASYMPTOTIC PROPERTIES FOR MAXIMUM LIKELIHOOD ESTIMATORS FOR RELIABILITY AND FAILURE RATES OF MARKOV CHAINS
• Calculation of reliability function and remaining useful life for a Markov failure time process
• Large deviations for empirical estimators of the stationary distribution of a semi-Markov process with finite state space
• Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
• The continuous-time hidden Markov model based on discretization. Properties of estimators and applications
• Optimal investment-disinvestment choices in health-dependent variable annuity
• Nonparametric estimation of some important indicators in reliability for semi-Markov processes
• Estimating stochastic dynamical systems driven by a continuous-time jump Markov process
• Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings

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