Detecting change points in the stress‐strength reliability P(X < Y)

Hang XU, Leung Ho Philip YU, Mayer ALVO

Research output: Contribution to journalArticles

Abstract

We address the statistical problem of detecting change points in the stress‐strength reliability R=P(X<Y) in a sequence of paired variables (X,Y). Without specifying their underlying distributions, we embed this nonparametric problem into a parametric framework and apply the maximum likelihood method via a dynamic programming approach to determine the locations of the change points in R. Under some mild conditions, we show the consistency and asymptotic properties of the procedure to locate the change points. Simulation experiments reveal that, in comparison with existing parametric and nonparametric change‐point detection methods, our proposed method performs well in detecting both single and multiple change points in R in terms of the accuracy of the location estimation and the computation time. Applications to real data demonstrate the usefulness of our proposed methodology for detecting the change points in the stress‐strength reliability R. Supplementary materials are available online. Copyright © 2018 John Wiley & Sons, Ltd.
Original languageEnglish
Pages (from-to)837-857
JournalApplied Stochastic Models in Business and Industry
Volume35
Issue number3
DOIs
Publication statusPublished - May 2019

Citation

Xu, H., Yu, P. L. H., & Alvo, M. (2019). Detecting change points in the stress‐strength reliability P(X < Y). Applied Stochastic Models in Business and Industry, 35(3), 837-857. doi: 10.1002/asmb.2413

Keywords

  • Dynamic programming
  • Multiple change-points detection
  • Stress-strength model

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