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GENERALIZED EXTREME SHOCK MODELS WITH A POSSIBLY INCREASING THRESHOLD

Published online by Cambridge University Press:  17 May 2011

Pasquale Cirillo
Affiliation:
Institute of Mathematical Statistics and Actuarial Sciences, University of Bern, CH-3012, Bern, Switzerland Email: pasquale.cirillo@stat.unibe.ch
Jürg Hüsler
Affiliation:
Institute of Mathematical Statistics and Actuarial Sciences, University of Bern, CH-3012, Bern, Switzerland Email: pasquale.cirillo@stat.unibe.ch

Abstract

We propose a generalized extreme shock model with a possibly increasing failure threshold. Although standard models assume that the crucial threshold for the system might only decrease over time, because of weakening shocks and obsolescence, we assume that, especially at the beginning of the system's life, some strengthening shocks might increase the system tolerance to large shock. This is, for example, the case of turbines’ running-in in the field of engineering. On the basis of parametric assumptions, we provide theoretical results and derive some exact and asymptotic univariate and multivariate distributions for the model. In the last part of the article we show how to link this new model to some nonparametric approaches proposed in the literature.

Type
Research Article
Copyright
Copyright © Cambridge University Press 2011

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References

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