Computation of the mean value and variance functions in geometric process
Journal of Statistical Computation and Simulation, vol.86, no.5, pp.986-995, 2016 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 86 Issue: 5
- Publication Date: 2016
- Doi Number: 10.1080/00949655.2015.1047778
- Journal Name: Journal of Statistical Computation and Simulation
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Page Numbers: pp.986-995
- Keywords: geometric function, geometric process, Monte Carlo estimation, variance function
- Bilecik Şeyh Edebali University Affiliated: Yes
Abstract
Geometric process (GP) is widely used as a non-stationary stochastic model in reliability analysis. In many of applications related with GP its mean value and variance functions are needed. Since there are no analytical forms of these functions in a lot of situations their computations are of importance. In this study, a numerical approximation and Monte Carlo estimation method based on the convolutions of distribution functions have been proposed for both the mean value and variance functions.