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PH FITTING ALGORITHM AND ITS APPLICATION TO RELIABILITY ENGINEERING
- Source :
- Journal of the Operations Research Society of Japan. 59:72-109
- Publication Year :
- 2016
- Publisher :
- The Operations Research Society of Japan, 2016.
-
Abstract
- This article presents parameter estimation of phase-type (PH) distribution. PH distribution is widely used in model-based performance evaluation such as reliability and queueing system, and is defied by an absorbing continuous-time Markov chain (CTMC). Since non-Markovian model can be approximated by a CTMC by replacing general distributions with PH distributions, the parameter estimation is a challenging issue in stochastic modeling. We focus on the statistical inference algorithms to estimate not only the parameters of PH distribution with grouped, truncated and missing data but also the probability density function, and give two examples of PH fitting in reliability engineering.
- Subjects :
- 021103 operations research
Markov chain
Estimation theory
0211 other engineering and technologies
General Decision Sciences
Probability density function
02 engineering and technology
Management Science and Operations Research
Missing data
01 natural sciences
Reliability engineering
Continuous-time Markov chain
010104 statistics & probability
Expectation–maximization algorithm
Statistical inference
Phase-type distribution
0101 mathematics
Mathematics
Subjects
Details
- ISSN :
- 21888299 and 04534514
- Volume :
- 59
- Database :
- OpenAIRE
- Journal :
- Journal of the Operations Research Society of Japan
- Accession number :
- edsair.doi...........39e0a5707a77a2f22146ef0b24aeba65