Conference Paper (Czech conference)
serial: ROBUST'2000. Sborník prací jedenácté letní školy JČMF, p. 357-367 , Eds: Antoch J., Dohnal G.
publisher: JČMF, (Praha 2001)
action: ROBUST'2000 /11./, (Nečtiny, CZ, 11.09.2000-15.09.2000)
project(s): GA402/98/0742, GA ČR, VS97084, GA MŠk
The contribution deals with a stochastic process which cumulates random increments at random moments. We derive its martingale - compensator decomposition and then we propose the estimator of characteristics of distribution of increments. An application deals with the process of growing damage of a technical device leading to a break of device when cumulated damage exceeds a certain level. We also discuss the problem of prediction of the cumulative process behaviour.