Parameter Estimation in Damage Processes: Dependent Observation of Damage Increments and First Passage Time

by Kahle, Waltraud; Lehmann, Axel


Preprint series: 98-06, Preprints

The paper is published: Kahle, W.; v. Collani, E.; Franz, J.; Jensen, U. (ed.): Advances in Stochastic Models for Reliability, Quality and Safety, Birkhäuser, Boston-Basel-Berlin 1998, 139-152

60J65 Brownian motion, See also {58G32}
62F10 Point estimation
62N05 Reliability and life testing, See also {90B25}


Abstract: In this paper we describe statistical methods for estimating the parameters of damage processes if in one realization both process increments and a failure time are observable. The likelihood function for such observations is developed and point estimates are compared with those for other models.

Keywords: Process observation at discrete time points, likelihood function, parameter estimation, damage processes

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