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Stochastic Bounds and Dependence Properties of Survival Times in a Multicomponent Shock Model

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  • Li, Haijun
  • Xu, Susan H.

Abstract

Consider a system that consists of several components. Shocks arrive according to a counting process (which may be non-homogeneous and with correlated interarrival times) and each shock may simultaneously destroy a subset of the components. Shock models of this type arise naturally in reliability modeling in dynamic environments. Due to correlated shock arrivals, individual component lifetimes are statistically dependent, which makes the explicit evaluation of the joint distribution intractable. To facilitate the development of easily computable tight bounds and good approximations, an analytic analysis of the dependence structure of the system is needed. The purpose of this paper is to provide a general framework for studying the correlation structure of shock models in the setup of a multivariate, correlated counting process and to systematically develop upper and lower bounds for its joint component lifetime distribution and survival functions. The thrust of the approach is the interplay between a newly developed notion, majorization with respect to weighted trees, and various stochastic dependence orders, especially orthant dependence orders of random vectors and orthant dependence orders of stochastic processes. It is shown that the dependence nature of the joint lifetime is inherited from spatial dependence and temporal dependence; that is, dependence among various components due to simultaneous arrivals and dependence over different time instants introduced by the shock arrival process. The two types of dependency are investigated separately and their joint impact on the performance of the system is analyzed. The results are used to develop computable bounds for the statistics of the joint component lifetimes, which are tighter than the product-form bounds under certain conditions. The shock model with a non-homogeneous Poisson arrival process is studied as an illustrative example. The result is also applicable to the cumulative damage model with multivariate shock arrival processes.

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  • Li, Haijun & Xu, Susan H., 2001. "Stochastic Bounds and Dependence Properties of Survival Times in a Multicomponent Shock Model," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 63-89, January.
    • Handle: RePEc:eee:jmvana:v:76:y:2001:i:1:p:63-89
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    Cited by:

    1. Fierro, Raúl & Leiva, Víctor & Maidana, Jean Paul, 2018. "Cumulative damage and times of occurrence for a multicomponent system: A discrete time approach," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 323-333.
    2. Li, Haijun, 2003. "Association of multivariate phase-type distributions, with applications to shock models," Statistics & Probability Letters, Elsevier, vol. 64(4), pages 381-392, October.
    3. Lirong Cui & Haijun Li, 2006. "Opportunistic Maintenance for Multi-component Shock Models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(3), pages 493-511, July.
    4. Masih-Tehrani, Behdad & Xu, Susan H. & Kumara, Soundar & Li, Haijun, 2011. "A single-period analysis of a two-echelon inventory system with dependent supply uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 45(8), pages 1128-1151, September.
    5. Ji Hwan Cha & Maxim Finkelstein, 2019. "Optimal preventive maintenance for systems having a continuous output and operating in a random environment," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 327-350, July.
    6. Mercier, Sophie & Pham, Hai Ha, 2017. "A bivariate failure time model with random shocks and mixed effects," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 33-51.
    7. Haijun Li & Susan H. Xu, 2001. "Directionally Convex Comparison of Correlated First Passage Times," Methodology and Computing in Applied Probability, Springer, vol. 3(4), pages 365-378, December.
    8. Kulik, Rafal & Szekli, Ryszard, 2005. "Dependence orderings for some functionals of multivariate point processes," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 145-173, January.
    9. Nader Ebrahimi, 2004. "Indirect assessment of the bivariate survival function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(3), pages 435-448, September.
    10. Michel Denuit & Esther Frostig & Benny Levikson, 2007. "Supermodular Comparison of Time-to-Ruin Random Vectors," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 41-54, March.

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