Aging Renewal Point Processes and Exchangeability of Event Times-Reference-Cited by-同舟云学术

Aging Renewal Point Processes and Exchangeability of Event Times

Published:2024-05-14 Issue:10 Volume:12 Page:1529
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

Vanni Fabio¹^ORCID,Lambert David²

Affiliation:

1. Department of Economics, University of Insubria, 21100 Varese, Italy

2. Department of Mathematics, University of North Texas, Denton, TX 76203-5017, USA

Abstract

In this paper, we investigate the impact of latency aging on exchangeable (invariant under permutation of indices) inter-arrival times arising from mixed renewal point processes (statistical mixtures of point processes with renewal inter-arrival times) and explore the implications for reliability and survival analysis. We prove that aging preserves the exchangeability of inter-arrival times. Our data analysis, which includes both surrogate data and a Bayesian approach to high-frequency currency exchange-rate data, shows how aging impacts key survival analysis metrics such as failure survival, renewal, and hazard rate functions.

Publisher

MDPI AG

Link

https://www.mdpi.com/2227-7390/12/10/1529/pdf

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