TY - JOUR
T1 - On multivariate copula modeling of dependent degradation processes
AU - Fang, Guanqi
AU - Pan, Rong
N1 - Funding Information:
The work by Fang was partially supported by the Characteristic & Preponderant Discipline of Key Construction Universities in Zhejiang Province (Zhejiang Gongshang University – Statistics). The work by Pan was partially supported by the National Science Foundation (NSF) grant 1726445.
Publisher Copyright:
© 2021 Elsevier Ltd
PY - 2021/9
Y1 - 2021/9
N2 - Multivariate degradation processes have been observed in many engineering systems. Most existing multivariate degradation modeling techniques, such as multivariate general path models or multivariate Wiener process models, assume an underlying Gaussian dependence structure. Unfortunately, in reality, the dependencies among degradation processes are often nonlinear, asymmetric and greatly tail-skewed, and thus limit the usefulness of the conventional modeling techniques in practice. To overcome these limitations, in this paper, we develop a copula-based multivariate modeling framework. Three fundamental copula classes are applied to model the complex dependence structure among correlated degradation processes. Statistical inference and model selection techniques, including two graphical diagnostic tools, a test of independence and a goodness-of-fit test, are employed to identify the best model. The advantages of the proposed modeling framework are demonstrated through simulation studies. And we also discuss the effect of ignoring tail dependence on system failure probability assessment. Finally, the applications of the copula-based multivariate degradation models on both system reliability evaluation and remaining useful life prediction are provided. The proposed methodology is illustrated using a numerical example.
AB - Multivariate degradation processes have been observed in many engineering systems. Most existing multivariate degradation modeling techniques, such as multivariate general path models or multivariate Wiener process models, assume an underlying Gaussian dependence structure. Unfortunately, in reality, the dependencies among degradation processes are often nonlinear, asymmetric and greatly tail-skewed, and thus limit the usefulness of the conventional modeling techniques in practice. To overcome these limitations, in this paper, we develop a copula-based multivariate modeling framework. Three fundamental copula classes are applied to model the complex dependence structure among correlated degradation processes. Statistical inference and model selection techniques, including two graphical diagnostic tools, a test of independence and a goodness-of-fit test, are employed to identify the best model. The advantages of the proposed modeling framework are demonstrated through simulation studies. And we also discuss the effect of ignoring tail dependence on system failure probability assessment. Finally, the applications of the copula-based multivariate degradation models on both system reliability evaluation and remaining useful life prediction are provided. The proposed methodology is illustrated using a numerical example.
KW - Degradation process
KW - Elliptical copula
KW - Exchangeable Archimedean copula
KW - Gaussian copula
KW - Multivariate model
KW - Remaining useful life prediction
KW - System reliability
KW - Vine copula
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U2 - 10.1016/j.cie.2021.107450
DO - 10.1016/j.cie.2021.107450
M3 - Article
AN - SCOPUS:85111011223
SN - 0360-8352
VL - 159
JO - Computers and Industrial Engineering
JF - Computers and Industrial Engineering
M1 - 107450
ER -