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Semiparametric inference on a class of Wiener processes

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  • Xiao Wang

Abstract

. This article studies the estimation of a nonhomogeneous Wiener process model for degradation data. A pseudo‐likelihood method is proposed to estimate the unknown parameters. An attractive algorithm is established to compute the estimator under this pseudo‐likelihood formulation. We establish the asymptotic properties of the estimator, including consistency, convergence rate and asymptotic distribution. Random effects can be incorporated into the model to represent the heterogeneity of degradation paths by letting the mean function be random. The Wiener process model is extended naturally to a normal inverse Gaussian process model and similar pseudo‐likelihood inference is developed. A score test is used to test the presence of the random effects. Simulation studies are conducted to validate the method and we apply our method to a real data set in the area of health structure monitoring.

Suggested Citation

  • Xiao Wang, 2009. "Semiparametric inference on a class of Wiener processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 179-207, March.
    • Handle: RePEc:bla:jtsera:v:30:y:2009:i:2:p:179-207
    DOI: 10.1111/j.1467-9892.2009.00606.x
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