Abstract
Two distinct methods for construction of some interesting new classes of multivariate probability densities are described and applied. As common results of both procedures three n-variate pdf classes are obtained. These classes are considered as generalizations of the class of univariate Weibullian, gamma, and multivariate normal pdfs. An example of an application of the obtained n-variate pdfs to the problem of modeling the reliability of multicomponent systems with stochastically dependent life-times of their components is given. Obtaining sequences over n = 2, 3, ... of consistent n-variate pdfs, that obey a relatively simple common pattern, for each n, allows us to extend some of the constructions from random vectors to discrete time stochastic processes. Application of one, so obtained, class of highly non-Markovian, but still sufficiently simple, stochastic processes for modeling maintenance of systems with repair, is presented. These models allow us to describe and analyze repaired systems with histories of all past repairs.
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Filus, J., Filus, L. On New Multivariate Probability Distributions and Stochastic Processes with System Reliability and Maintenance Applications. Methodol Comput Appl Probab 9, 425–446 (2007). https://doi.org/10.1007/s11009-007-9026-6
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DOI: https://doi.org/10.1007/s11009-007-9026-6
Keywords
- Multivariate probability density (pdf)
- Stochastic process
- System reliability and maintenance modeling
- Actuary modeling