A Hierarchical Bayesian Multivariate Wiener Process Model With Dependent Degradation Rates and Volatilities
Abstract
Multidimensional degradation processes commonly arise in complex engineering systems such as aerospace equipment, military devices, and new-energy vehicles. These systems exhibit degradation behaviors characterized by multidimensionality, dependence, and heterogeneity. To effectively capture these features, this paper proposes a parameter-dependent multivariate Wiener process degradation model that simultaneously accounts for correlations among multiple degradation characteristics, dependencies between degradation rate and volatility, and individual heterogeneity within subsystems. A hierarchical Bayesian inference framework based on Gibbs sampling is developed for joint parameter estimation and uncertainty quantification. To address estimation bias issues in high-dimensional covariance structures, a hierarchical inverse Wishart prior is introduced, improving the accuracy of covariance estimation, particularly under small-variance conditions. Furthermore, a Monte Carlo–based reliability estimation scheme is proposed to approximate the first-passage time distribution of multidimensional systems. Extensive simulation studies demonstrate the superior estimation accuracy and credible interval coverage of the proposed method compared to traditional priors. Finally, applications to real-world engineering degradation data validate the model's practical effectiveness, showing that neglecting the dependence between degradation rate and volatility can lead to substantial bias in reliability assessments and maintenance decisions.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Probability and Risk Models
Stochastic processes and financial applications
Publication details
- Journal / source
- IEEE Transactions on Reliability
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Volume
- 75
- Pages
- 1420–1433
- Publication date
- 1 January 2026