Bulletin of the Computational Statistics of Japan
Online ISSN : 2189-9789
Print ISSN : 0914-8930
ISSN-L : 0914-8930
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THE MAXIMUM LIKELIHOOD ESTIMATION OF ALTERNATING RENEWAL PROCESS FROM WINDOW CENSORED DATA
Ko AbeToshinari Kamakura
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2016 Volume 29 Issue 2 Pages 133-146

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Abstract

An alternating renewal process is used as modeling of various phenomena, such as two state system machine that periodically fails and repair. The reliability engineering the availability of system is of interest. That is defined by a probability that a system is on at any given time t. On-times and off-times appear alternately. We can sometimes obtain only partial observations through the limited observation windows. Only in this window we can observe the occurrence the specified events. In this article we propose a new estimation procedure for an availability parameter based on the window-censored observations. We derive the likelihood function corresponding to the window-censoring mechanism. In the case of Weibull distribution we show the usefulness of the proposed method. When the shape parameter is equal to one which is corresponding, the simple estimator (the ratio of total on-times to window size) that is easy calculated, is can be used practically. ML estimation has a good performance in other shape parameter values.

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© 2016 Japanese Society of Computational Statistics
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