Module MO-Component 8

Chapter 4-Section 4.1.1: Fitting procedure for the

Gamma process
Master course ‘Advanced Maintenance and Service Logistics’
Lecturer: Geert-Jan van Houtum
OVERVIEW
Chapter 4: Degradation models

Component 8 is about:
• Section 4.1.1: Fitting procedure for the Gamma process

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4.1.1 Fitting procedure for the Gamma process

Given:
Samples of the degradation paths of m items (components),
n measurements per item

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4.1.1 Fitting procedure for the Gamma process (cont.)

Notation:
• Item i, measurement j: time ti,j , degradation level xi,j
• Define:
• ti,0 :=0 and xi,0 :=0 for all i=1,…,m
• ∆ti,j = ti,j − ti,j-1 and ∆xi,j = xi,j − xi,j-1 for all i=1,…,m and j=1,…,n
• The ∆xi,j are samples for Gamma distributed variables (with
different shape parameters)

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4.1.1 Fitting procedure for the Gamma process (cont.)

To be estimated: (alternative) parameters µ and σ

Special case: ∆ti,j = t for all i=1,…,m and j=1,…,n

Then:
• All ∆xi,j are samples of a Gamma distribution with mean µt and
variance σ2t
• Unbiased estimator for µt (by standard statistics):
1 𝑚𝑚 𝑛𝑛
� � ∆𝑥𝑥𝑖𝑖,𝑗𝑗
𝑚𝑚𝑚𝑚 𝑖𝑖=1 𝑗𝑗=1

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4.1.1 Fitting procedure for the Gamma process (cont.)
Special case (cont.):
• Unbiased estimator for µ:
1 1 𝑚𝑚 𝑛𝑛
𝜇𝜇� = � � ∆𝑥𝑥𝑖𝑖,𝑗𝑗
𝑡𝑡 𝑚𝑚𝑚𝑚 𝑖𝑖=1 𝑗𝑗=1
• Unbiased estimator for σ 2t (notice: mean of ∆𝑥𝑥𝑖𝑖,𝑗𝑗 is 𝜇𝜇t): �
1 𝑚𝑚 𝑛𝑛 2
� � ∆𝑥𝑥𝑖𝑖,𝑗𝑗 − 𝜇𝜇𝑡𝑡
�
𝑚𝑚𝑚𝑚 𝑖𝑖=1 𝑗𝑗=1
• Unbiased estimator forσ 2:
2
1 1 𝑚𝑚 𝑛𝑛 2
𝜎𝜎� = � � ∆𝑥𝑥𝑖𝑖,𝑗𝑗 − 𝜇𝜇𝑡𝑡
�
𝑡𝑡 𝑚𝑚𝑚𝑚 𝑖𝑖=1 𝑗𝑗=1

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4.1.1 Fitting procedure for the Gamma process (cont.)
The following theorem gives the estimators for µ and σ 2 for the
general case.
Theorem 4.1. Unbiased estimators for µ and σ2 are given by
∑𝑚𝑚 ∑ 𝑛𝑛
𝑖𝑖=1 𝑗𝑗=1 ∆𝑥𝑥𝑖𝑖𝑖𝑖
𝜇𝜇̂ = 𝑚𝑚 𝑛𝑛
∑𝑖𝑖=1 ∑𝑗𝑗=1 ∆𝑡𝑡𝑖𝑖𝑖𝑖
2
∑𝑚𝑚 ∑ 𝑛𝑛
∆𝑥𝑥𝑖𝑖𝑖𝑖 − 𝜇𝜇∆𝑡𝑡
𝑖𝑖=1 𝑗𝑗=1 ̂ 𝑖𝑖𝑖𝑖
𝜎𝜎� 2 =
1 2
∑𝑚𝑚 ∑ 𝑛𝑛
∆𝑡𝑡𝑖𝑖𝑖𝑖 − 𝑚𝑚 𝑛𝑛 ∑ 𝑚𝑚 ∑𝑛𝑛
∆𝑡𝑡
𝑖𝑖=1 𝑗𝑗=1 ∑𝑖𝑖=1 ∑𝑗𝑗=1 ∆𝑡𝑡𝑖𝑖𝑖𝑖 𝑖𝑖=1 𝑗𝑗=1 𝑖𝑖𝑖𝑖
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Example 4.1

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Example 4.1 (cont.)

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Example 4.1 (cont.)

• ∆ti,j = 4 for all i=1,…,m and j=1,…,n. Hence simplified formulas

applicable.
• We find the following unbiased estimator for µ (in 10-5 m):
1 1
𝜇𝜇̂ = ∑𝑚𝑚 ∑ 𝑛𝑛
𝑖𝑖=1 𝑗𝑗=1 ∆𝑥𝑥𝑖𝑖,𝑗𝑗
𝑡𝑡 𝑚𝑚𝑚𝑚
1 1
= ∑6𝑖𝑖=1 𝑥𝑥𝑖𝑖,11
4 6×11
1
= 311 + 417 + 300 + 444 + 530 + 403 = 9.1098
264

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Example 4.1 (cont.)

• We find the following unbiased estimates for µ and σ2:

1 1 2
𝜎𝜎� 2 = ∑𝑚𝑚 ∑𝑛𝑛
𝑖𝑖=1 𝑗𝑗=1 ∆𝑥𝑥𝑖𝑖,𝑗𝑗 − 𝜇𝜇𝑡𝑡
�
𝑡𝑡 𝑚𝑚𝑚𝑚
1 1 6 11 2
= � � ∆𝑥𝑥𝑖𝑖,𝑗𝑗 − 9.1098×4 = … (Excell) … = 234.7164
4 6×11 𝑖𝑖=1 𝑗𝑗=1
• Next, we can compute unbiased estimators for the corresponding
α and β:
𝜇𝜇�2 (9.1098)2 𝜇𝜇� 9.1098
𝛼𝛼� = 2 = ̂
= 0.3536, 𝛽𝛽 = 2 = = 0.0388
𝜎𝜎� 234.7164 𝜎𝜎� 234.7164

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Example 4.1 (cont.)

Sample paths of
fitted Gamma process:

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TAKEOUT
Chapter 4: Degradation models

Component 8 is about:
• Section 4.1.1: Fitting procedure for the Gamma process
You are expected to be able to calculate estimators for the parameters of
a Gamma process

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