Advances in Applied Probability
- Adv. in Appl. Probab.
- Volume 35, Number 1 (2003), 207-227.
Recursive filters for a partially observable system subject to random failure
We consider a failure-prone system which operates in continuous time and is subject to condition monitoring at discrete time epochs. It is assumed that the state of the system evolves as a continuous-time Markov process with a finite state space. The observation process is stochastically related to the state process which is unobservable, except for the failure state. Combining the failure information and the information obtained from condition monitoring, and using the change of measure approach, we derive a general recursive filter, and, as special cases, we obtain recursive formulae for the state estimation and other quantities of interest. Up-dated parameter estimates are obtained using the EM algorithm. Some practical prediction problems are discussed and an illustrative example is given using a real dataset.
Adv. in Appl. Probab. Volume 35, Number 1 (2003), 207-227.
First available in Project Euclid: 27 February 2003
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60K10: Applications (reliability, demand theory, etc.)
Secondary: 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 90B25: Reliability, availability, maintenance, inspection [See also 60K10, 62N05]
Lin, Daming; Makis, Viliam. Recursive filters for a partially observable system subject to random failure. Adv. in Appl. Probab. 35 (2003), no. 1, 207--227. doi:10.1239/aap/1046366106. http://projecteuclid.org/euclid.aap/1046366106.