scholarly journals Estimating the Parameters of Degradation Models when Error Terms are Autocorrelated

2016 ◽  
Vol 40 (3) ◽  
Author(s):  
Jehad Al-Jararha ◽  
Mohammed Al-Haj Ebrahem ◽  
Abedel-Qader Al-Masri
Keyword(s):  
Measurement Errors ◽  
Real Data ◽  
Degradation Process ◽  
Model Parameters ◽  
Ambient Conditions ◽  
Data Set ◽  
Degradation Data ◽  
Error Terms ◽  
The Times ◽  
Cyclic Changes

The need of autocorrelation models for degradation data comes from the facts that the degradation measurements are often correlated, since such measurements are taken over time. Time series can exhibit autocorrelation caused by modeling error or cyclic changes in ambient conditions in the measurement errors or in degradation process itself. Generally, autocorrelation becomes stronger when the times between measurements are relativelyshort and becomes less noticeable when the times between process are longer. In this paper, we assume that the error terms are autocorrelated and have an autoregressive of order one, AR(1). This case is a more general case of the assumption that the error terms are identically and independently normally distributed. Since when the error terms are uncorrelated over the time, the estimate of the parameter of AR(1) is approximately zero.If the parameter of AR(1) is unknown, one can estimate it from the data set. Using two real data sets, the model parameters are estimated and compared with the case when the error terms are independent and identically distributed. Such computations are available by using procedures AUTOREG and model in SAS. Computations show that an AR(1) can be used as a useful tool to remove the autocorrelation between the residuals.

EXPONENTIATED HALF-LOGISTIC LOMAX DISTRIBUTION WITH PROPERTIES AND APPLICATION

2019 ◽  
Vol XVI (2) ◽  
pp. 1-11
Author(s):  
Farrukh Jamal ◽  
Hesham Mohammed Reyad ◽  
Soha Othman Ahmed ◽  
Muhammad Akbar Ali Shah ◽  
Emrah Altun
Keyword(s):  
Real Data ◽  
Continuous Model ◽  
Model Parameters ◽  
Data Set ◽  
Lomax Distribution ◽  
Mathematical Properties ◽  
Proposed Model ◽  
Probability Weighted Moment ◽  
Record Statistics ◽  
Maximum Likelihood Criterion

A new three-parameter continuous model called the exponentiated half-logistic Lomax distribution is introduced in this paper. Basic mathematical properties for the proposed model were investigated which include raw and incomplete moments, skewness, kurtosis, generating functions, Rényi entropy, Lorenz, Bonferroni and Zenga curves, probability weighted moment, stress strength model, order statistics, and record statistics. The model parameters were estimated by using the maximum likelihood criterion and the behaviours of these estimates were examined by conducting a simulation study. The applicability of the new model is illustrated by applying it on a real data set.

A new parameter set for anisotropic multiparameter full-waveform inversion and application to a North Sea data set

Geophysics ◽  
2016 ◽  
Vol 81 (4) ◽  
pp. U25-U38 ◽  
Author(s):  
Nuno V. da Silva ◽  
Andrew Ratcliffe ◽  
Vetle Vinje ◽  
Graham Conroy
Keyword(s):  
North Sea ◽  
Waveform Inversion ◽  
Real Data ◽  
Model Parameters ◽  
Full Waveform Inversion ◽  
Radiation Patterns ◽  
Data Set ◽  
Full Waveform ◽  
Seismic Image ◽  
Central North Sea

Parameterization lies at the center of anisotropic full-waveform inversion (FWI) with multiparameter updates. This is because FWI aims to update the long and short wavelengths of the perturbations. Thus, it is important that the parameterization accommodates this. Recently, there has been an intensive effort to determine the optimal parameterization, centering the fundamental discussion mainly on the analysis of radiation patterns for each one of these parameterizations, and aiming to determine which is best suited for multiparameter inversion. We have developed a new parameterization in the scope of FWI, based on the concept of kinematically equivalent media, as originally proposed in other areas of seismic data analysis. Our analysis is also based on radiation patterns, as well as the relation between the perturbation of this set of parameters and perturbation in traveltime. The radiation pattern reveals that this parameterization combines some of the characteristics of parameterizations with one velocity and two Thomsen’s parameters and parameterizations using two velocities and one Thomsen’s parameter. The study of perturbation of traveltime with perturbation of model parameters shows that the new parameterization is less ambiguous when relating these quantities in comparison with other more commonly used parameterizations. We have concluded that our new parameterization is well-suited for inverting diving waves, which are of paramount importance to carry out practical FWI successfully. We have demonstrated that the new parameterization produces good inversion results with synthetic and real data examples. In the latter case of the real data example from the Central North Sea, the inverted models show good agreement with the geologic structures, leading to an improvement of the seismic image and flatness of the common image gathers.

A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES

2020 ◽  
pp. 1-22
Author(s):  
Luis E. Nieto-Barajas ◽  
Rodrigo S. Targino
Keyword(s):  
Latent Variables ◽  
Moving Average ◽  
Real Data ◽  
Model Parameters ◽  
Average Process ◽  
Moving Average Process ◽  
Data Set ◽  
Run Off ◽  
Average Form ◽  
Reserve Estimates

ABSTRACT We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is based on a gamma process with a moving average form of order $p \ge 0$ which is achieved through the use of poisson latent variables. We carry out Bayesian inference on model parameters and borrow strength across several triangles, coming from different lines of businesses or companies, through the use of hierarchical priors. We carry out a simulation study as well as a real data analysis. Results show that reserve estimates, for the real data set studied, are more accurate with our gamma dependence model as compared to the benchmark over-dispersed poisson that assumes independence.

scholarly journals Mixture of Inverse Weibull and Lognormal Distributions: Properties, Estimation, and Illustration

2015 ◽  
Vol 2015 ◽  
pp. 1-8 ◽  
Author(s):  
K. S. Sultan ◽  
A. S. Al-Moisheer
Keyword(s):  
Information Matrix ◽  
Real Data ◽  
Likelihood Method ◽  
Model Parameters ◽  
Component Mixture ◽  
Data Set ◽  
Hazard Functions ◽  
Lognormal Distributions ◽  
Proposed Model ◽  
Estimation Of Model Parameters

We discuss the two-component mixture of the inverse Weibull and lognormal distributions (MIWLND) as a lifetime model. First, we discuss the properties of the proposed model including the reliability and hazard functions. Next, we discuss the estimation of model parameters by using the maximum likelihood method (MLEs). We also derive expressions for the elements of the Fisher information matrix. Next, we demonstrate the usefulness of the proposed model by fitting it to a real data set. Finally, we draw some concluding remarks.

scholarly journals Bivariate Nonlinear Diffusion Degradation Process Modeling via Copula and MCMC

2014 ◽  
Vol 2014 ◽  
pp. 1-11 ◽  
Author(s):  
Huibing Hao ◽  
Chun Su
Keyword(s):  
Nonlinear Diffusion ◽  
Goodness Of Fit ◽  
Real Data ◽  
Degradation Process ◽  
Copula Function ◽  
Assessment Method ◽  
Unknown Parameters ◽  
Degradation Data ◽  
Proposed Model ◽  
Frank Copula

A novel reliability assessment method for degradation product with two dependent performance characteristics (PCs) is proposed, which is different from existing work that only utilized one dimensional degradation data. In this model, the dependence of two PCs is described by the Frank copula function, and each PC is governed by a random effected nonlinear diffusion process where random effects capture the unit to unit differences. Considering that the model is so complicated and analytically intractable, Markov Chain Monte Carlo (MCMC) method is used to estimate the unknown parameters. A numerical example about LED lamp is given to demonstrate the usefulness and validity of the proposed model and method. Numerical results show that the random effected nonlinear diffusion model is very useful by checking the goodness of fit of the real data, and ignoring the dependence between PCs may result in different reliability conclusion.

scholarly journals New Lindley Half Cauchy Distribution: Theory and Applications

2020 ◽  
Vol 9 (4) ◽  
pp. 1-7
Keyword(s):  
Maximum Likelihood ◽  
Real Data ◽  
Cauchy Distribution ◽  
Least Square ◽  
Cumulative Distribution ◽  
Likelihood Method ◽  
Estimation Methods ◽  
Model Parameters ◽  
Data Set ◽  
Von Mises

In this paper, we have defined a new two-parameter new Lindley half Cauchy (NLHC) distribution using Lindley-G family of distribution which accommodates increasing, decreasing and a variety of monotone failure rates. The statistical properties of the proposed distribution such as probability density function, cumulative distribution function, quantile, the measure of skewness and kurtosis are presented. We have briefly described the three well-known estimation methods namely maximum likelihood estimators (MLE), least-square (LSE) and Cramer-Von-Mises (CVM) methods. All the computations are performed in R software. By using the maximum likelihood method, we have constructed the asymptotic confidence interval for the model parameters. We verify empirically the potentiality of the new distribution in modeling a real data set.

scholarly journals Robustness of Projective IRT to Misspecification of the Underlying Multidimensional Model

2020 ◽  
Vol 44 (5) ◽  
pp. 362-375
Author(s):  
Tyler Strachan ◽  
Edward Ip ◽  
Yanyan Fu ◽  
Terry Ackerman ◽  
Shyh-Huei Chen ◽  
...  
Keyword(s):  
Item Response Theory ◽  
Item Response ◽  
Real Data ◽  
Model Parameters ◽  
Simulation Studies ◽  
Response Theory ◽  
Computational Stability ◽  
Data Set ◽  
Response Data ◽  
Higher Dimensional

As a method to derive a “purified” measure along a dimension of interest from response data that are potentially multidimensional in nature, the projective item response theory (PIRT) approach requires first fitting a multidimensional item response theory (MIRT) model to the data before projecting onto a dimension of interest. This study aims to explore how accurate the PIRT results are when the estimated MIRT model is misspecified. Specifically, we focus on using a (potentially misspecified) two-dimensional (2D)-MIRT for projection because of its advantages, including interpretability, identifiability, and computational stability, over higher dimensional models. Two large simulation studies (I and II) were conducted. Both studies examined whether the fitting of a 2D-MIRT is sufficient to recover the PIRT parameters when multiple nuisance dimensions exist in the test items, which were generated, respectively, under compensatory MIRT and bifactor models. Various factors were manipulated, including sample size, test length, latent factor correlation, and number of nuisance dimensions. The results from simulation studies I and II showed that the PIRT was overall robust to a misspecified 2D-MIRT. Smaller third and fourth simulation studies were done to evaluate recovery of the PIRT model parameters when the correctly specified higher dimensional MIRT or bifactor model was fitted with the response data. In addition, a real data set was used to illustrate the robustness of PIRT.

scholarly journals Accelerated Life Tests under Pareto-IV Lifetime Distribution: Real Data Application and Simulation Study

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1786 ◽  
Author(s):  
A. M. Abd El-Raheem ◽  
M. H. Abu-Moussa ◽  
Marwa M. Mohie El-Din ◽  
E. H. Hafez
Keyword(s):  
Simulation Study ◽  
Stress Test ◽  
Real Data ◽  
Accelerated Life Test ◽  
Maximum Likelihood Estimates ◽  
Cumulative Exposure ◽  
Exposure Model ◽  
Model Parameters ◽  
Data Set ◽  
Accelerated Life

In this article, a progressive-stress accelerated life test (ALT) that is based on progressive type-II censoring is studied. The cumulative exposure model is used when the lifetime of test units follows Pareto-IV distribution. Different estimates as the maximum likelihood estimates (MLEs) and Bayes estimates (BEs) for the model parameters are discussed. Bayesian estimates are derived while using the Tierney and Kadane (TK) approximation method and the importance sampling method. The asymptotic and bootstrap confidence intervals (CIs) of the parameters are constructed. A real data set is analyzed in order to clarify the methods proposed through this paper. Two types of the progressive-stress tests, the simple ramp-stress test and multiple ramp-stress test, are compared through the simulation study. Finally, some interesting conclusions are drawn.

scholarly journals General Results for the Transmuted Family of Distributions and New Models

2016 ◽  
Vol 2016 ◽  
pp. 1-12 ◽  
Author(s):  
Marcelo Bourguignon ◽  
Indranil Ghosh ◽  
Gauss M. Cordeiro
Keyword(s):  
Maximum Likelihood ◽  
Generating Functions ◽  
Real Data ◽  
Model Parameters ◽  
Data Set ◽  
Proposed Model ◽  
Method Of Maximum Likelihood ◽  
The Family ◽  
New Models ◽  
Family Of Distributions

The transmuted family of distributions has been receiving increased attention over the last few years. For a baselineGdistribution, we derive a simple representation for the transmuted-Gfamily density function as a linear mixture of theGand exponentiated-Gdensities. We investigate the asymptotes and shapes and obtain explicit expressions for the ordinary and incomplete moments, quantile and generating functions, mean deviations, Rényi and Shannon entropies, and order statistics and their moments. We estimate the model parameters of the family by the method of maximum likelihood. We prove empirically the flexibility of the proposed model by means of an application to a real data set.

Fast 2-D ray+Born migration/inversion in complex media

Geophysics ◽  
1999 ◽  
Vol 64 (1) ◽  
pp. 162-181 ◽  
Author(s):  
Philippe Thierry ◽  
Stéphane Operto ◽  
Gilles Lambaré
Keyword(s):  
Numerical Approximation ◽  
Reference Model ◽  
Real Data ◽  
Model Parameters ◽  
Complex Media ◽  
Inversion Algorithm ◽  
Numerical Approximations ◽  
Data Set ◽  
Cpu Time ◽  
Computational Evaluation

In this paper, we evaluate the capacity of a fast 2-D ray+Born migration/inversion algorithm to recover the true amplitude of the model parameters in 2-D complex media. The method is based on a quasi‐Newtonian linearized inversion of the scattered wavefield. Asymptotic Green’s functions are computed in a smooth reference model with a dynamic ray tracing based on the wavefront construction method. The model is described by velocity perturbations associated with diffractor points. Both the first traveltime and the strongest arrivals can be inverted. The algorithm is implemented with several numerical approximations such as interpolations and aperture limitation around common midpoints to speed the algorithm. Both theoritical and numerical aspects of the algorithm are assessed with three synthetic and real data examples including the 2-D Marmousi example. Comparison between logs extracted from the exact Marmousi perturbation model and the computed images shows that the amplitude of the velocity perturbations are recovered accurately in the regions of the model where the ray field is single valued. In the presence of caustics, neither the first traveltime nor the most energetic arrival inversion allow for a full recovery of the amplitudes although the latter improves the results. We conclude that all the arrivals associated with multipathing through transmission caustics must be taken into account if the true amplitude of the perturbations is to be found. Only 22 minutes of CPU time is required to migrate the full 2-D Marmousi data set on a Sun SPARC 20 workstation. The amplitude loss induced by the numerical approximations on the first traveltime and the most energetic migrated images are evaluated quantitatively and do not exceed 8% of the energy of the image computed without numerical approximation. Computational evaluation shows that extension to a 3-D ray+Born migration/inversion algorithm is realistic.

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