Modeling the dependent competing risks with multiple degradation processes and random shock using time-varying copulas

Yaping Wang, Hoang Pham

Research output: Contribution to journalArticle

162 Scopus citations

Abstract

We develop a s -dependent competing risk model for systems subject to multiple degradation processes and random shocks using time-varying copulas. The proposed model allows for a more flexible dependence structure between risks in which (a) the dependent relationship between random shocks and degradation processes is modulated by a time-scaled covariate factor, and (b) the dependent relationship among various degradation processes is fitted using the copula method. Two types of random shocks are considered in the model: fatal shocks, which fails the system immediately; and nonfatal shocks, which does not. In a nonfatal shock situation there are two impacts towards the degradation processes: sudden increment jumps, and degradation rate accelerations. The comparison results of the system reliability estimation from both constant and time-varying copulas are illustrated in the numerical examples to demonstrate the application of the proposed model. The modified joint distribution bounds in terms of Kendall's tau and Spearman's rho provide an improvement to Frechet-Hoeffding bounds for estimating the possible system reliability range.

Original languageEnglish (US)
Article number6045314
Pages (from-to)13-22
Number of pages10
JournalIEEE Transactions on Reliability
Volume61
Issue number1
DOIs
StatePublished - Mar 1 2012

All Science Journal Classification (ASJC) codes

  • Safety, Risk, Reliability and Quality
  • Electrical and Electronic Engineering

Keywords

  • Copula method
  • dependent competing risks
  • fatal shocks
  • multiple degradation

Fingerprint Dive into the research topics of 'Modeling the dependent competing risks with multiple degradation processes and random shock using time-varying copulas'. Together they form a unique fingerprint.

  • Cite this