Modeling method of failure dependent system based on time varying copula function

Mengli Xing; Dan Xu; Jiaolan He

doi:10.21595/vp.2017.19172

Modeling method of failure dependent system based on time varying copula function

Mengli Xing^*
, Dan Xu
, Jiaolan He

^*Corresponding author for this work

School of Reliability and Systems Engineering

Beihang University

Research output: Contribution to journal › Conference article › peer-review

Abstract

This paper aims at solving the dynamic correlation of the complex dependence system with multiple failures. A correlation model and parameter estimation method based on time-varying copula function are proposed to solve the joint distribution between the interaction mechanism. In particular, three types of definition method for the time-varying copulas' parameters are introduced. Finally, a comparative study and applicability analysis are performed to validate our proposed method.

Original language	English
Pages (from-to)	76-81
Number of pages	6
Journal	Vibroengineering Procedia
Volume	14
DOIs	https://doi.org/10.21595/vp.2017.19172
State	Published - 1 Oct 2017
Event	28th International Conference on Vibroengineering - Beijing, China Duration: 19 Oct 2017 → 21 Oct 2017

Keywords

Complex dependence system
Joint distribution
Time-varying copula

Access to Document

10.21595/vp.2017.19172

Cite this

@article{41b36e0edcc1498db75f7f9a2741c708,

title = "Modeling method of failure dependent system based on time varying copula function",

abstract = "This paper aims at solving the dynamic correlation of the complex dependence system with multiple failures. A correlation model and parameter estimation method based on time-varying copula function are proposed to solve the joint distribution between the interaction mechanism. In particular, three types of definition method for the time-varying copulas' parameters are introduced. Finally, a comparative study and applicability analysis are performed to validate our proposed method.",

keywords = "Complex dependence system, Joint distribution, Time-varying copula",

author = "Mengli Xing and Dan Xu and Jiaolan He",

note = "Publisher Copyright: {\textcopyright} JVE INTERNATIONAL LTD.; 28th International Conference on Vibroengineering ; Conference date: 19-10-2017 Through 21-10-2017",

year = "2017",

month = oct,

day = "1",

doi = "10.21595/vp.2017.19172",

language = "英语",

volume = "14",

pages = "76--81",

journal = "Vibroengineering Procedia",

issn = "2345-0533",

publisher = "EXTRICA",

}

TY - JOUR

T1 - Modeling method of failure dependent system based on time varying copula function

AU - Xing, Mengli

AU - Xu, Dan

AU - He, Jiaolan

N1 - Publisher Copyright: © JVE INTERNATIONAL LTD.

PY - 2017/10/1

Y1 - 2017/10/1

N2 - This paper aims at solving the dynamic correlation of the complex dependence system with multiple failures. A correlation model and parameter estimation method based on time-varying copula function are proposed to solve the joint distribution between the interaction mechanism. In particular, three types of definition method for the time-varying copulas' parameters are introduced. Finally, a comparative study and applicability analysis are performed to validate our proposed method.

AB - This paper aims at solving the dynamic correlation of the complex dependence system with multiple failures. A correlation model and parameter estimation method based on time-varying copula function are proposed to solve the joint distribution between the interaction mechanism. In particular, three types of definition method for the time-varying copulas' parameters are introduced. Finally, a comparative study and applicability analysis are performed to validate our proposed method.

KW - Complex dependence system

KW - Joint distribution

KW - Time-varying copula

UR - https://www.scopus.com/pages/publications/85037329189

U2 - 10.21595/vp.2017.19172

DO - 10.21595/vp.2017.19172

M3 - 会议文章

AN - SCOPUS:85037329189

SN - 2345-0533

VL - 14

SP - 76

EP - 81

JO - Vibroengineering Procedia

JF - Vibroengineering Procedia

T2 - 28th International Conference on Vibroengineering

Y2 - 19 October 2017 through 21 October 2017

ER -

Modeling method of failure dependent system based on time varying copula function

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this