Aiming at the solving problem of improved nonhomogeneous Poisson process( NHPP) model in engineering application,the immune clone maximum likelihood estimation( MLE)method for solving model parameters was proposed. Th...Aiming at the solving problem of improved nonhomogeneous Poisson process( NHPP) model in engineering application,the immune clone maximum likelihood estimation( MLE)method for solving model parameters was proposed. The minimum negative log-likelihood function was used as the objective function to optimize instead of using iterative method to solve complex system of equations,and the problem of parameter estimation of improved NHPP model was solved by immune clone algorithm. And the interval estimation of reliability indices was given by using fisher information matrix method and delta method. An example of failure truncated data from multiple numerical control( NC) machine tools was taken to prove the method. and the results show that the algorithm has a higher convergence rate and computational accuracy, which demonstrates the feasibility of the method.展开更多
The parameter estimation problem for an economic model called Constantinides-Ingersoll model is investigated based on discrete observations. Euler-Maruyama scheme and iterative method are applied to getting the joint ...The parameter estimation problem for an economic model called Constantinides-Ingersoll model is investigated based on discrete observations. Euler-Maruyama scheme and iterative method are applied to getting the joint conditional probability density function. The maximum likelihood technique is employed for obtaining the parameter estimators and the explicit expressions of the estimation error are given. The strong consistency properties of the estimators are proved by using the law of large numbers for martingales and the strong law of large numbers. The asymptotic normality of the estimation error for the diffusion parameter is obtained with the help of the strong law of large numbers and central-limit theorem. The simulation for the absolute error between estimators and true values is given and the hypothesis testing is made to verify the effectiveness of the estimators.展开更多
基金National CNC Special Project,China(No.2010ZX04001-032)the Youth Science and Technology Foundation of Gansu Province,China(No.145RJYA307)
文摘Aiming at the solving problem of improved nonhomogeneous Poisson process( NHPP) model in engineering application,the immune clone maximum likelihood estimation( MLE)method for solving model parameters was proposed. The minimum negative log-likelihood function was used as the objective function to optimize instead of using iterative method to solve complex system of equations,and the problem of parameter estimation of improved NHPP model was solved by immune clone algorithm. And the interval estimation of reliability indices was given by using fisher information matrix method and delta method. An example of failure truncated data from multiple numerical control( NC) machine tools was taken to prove the method. and the results show that the algorithm has a higher convergence rate and computational accuracy, which demonstrates the feasibility of the method.
基金National Nature Science Foundation of China(No.60974030)the Chinese Universities Scientific Fund(No.CUSF-DH-D-2014059)
文摘The parameter estimation problem for an economic model called Constantinides-Ingersoll model is investigated based on discrete observations. Euler-Maruyama scheme and iterative method are applied to getting the joint conditional probability density function. The maximum likelihood technique is employed for obtaining the parameter estimators and the explicit expressions of the estimation error are given. The strong consistency properties of the estimators are proved by using the law of large numbers for martingales and the strong law of large numbers. The asymptotic normality of the estimation error for the diffusion parameter is obtained with the help of the strong law of large numbers and central-limit theorem. The simulation for the absolute error between estimators and true values is given and the hypothesis testing is made to verify the effectiveness of the estimators.
