In: New Developments in Applied Statistics Research ISBN 978-1-60456-175-3

Editor: M. Ahsanullah, pp. 171 -184 © 2008 Nova Scicncc Publishcrs, lnc.

Chapter 13

MOMENTS OF RESIDUAL LIFE AND SOME

CHARACTERIZATION R ESULTS

Ramesh C. Gupta 1 and S.N.U.A. Kirmani2

1
Dcpartment of Mathematics and Statistics
Universiry ofMaine
Orono, ME 04469-5752
2
Department of Mathematics
University of Northem lowa
Cedar Falls, lowa 50614

Abstrae!
In life testing situations, the additional life time given that a component has sur-
vived upto time t is callcd 1he residual lifc function ( RLF) of the componen!. More
specifically, if X is the life ofa componen! , then the random variable X, = X - ti X >
t is called the residual life function. In thi; papcr thc momcnts of X 1. are studicd and it
is investigated ifthe first, second or general moment of X, charactcrizcs thc distribu·
tion. lt is shown that , in addition to the mean residual life, the second residual moment
also charncterizes 1he distribution. Also, the variancc res idual lifc function and, in thc
case of equal means, the residual coeflicient of variat ion determine the distribution.

Keywords: Failure rate, induced distribution, mean residual life function, variance residual
life function, residual coefficient variation.

1. Introduction
In life testing situations, the additional life time given that a componen! has survived upto
time t is called the residual life function ( RLF) ofthe component. More specifically, if X
is the life ofa componen!, then the random variable (r.v.) X,= X - ti X > t is called the
RLF. In the insurance business, this random variable reprcsents the amount of claim if the
dcductible for a particular policy is t and X is the random variable rcprcscoting thc loss.

As mentioned in Bcrgcr et al. ( 1988), thc variable of interest may not be a lifetime and
t = O and need not corrcspond to "birth or a new compoocot". For example, considera
 Moments of Residual Li fe ... 173

o}(t) - Var(X - tlX > t)

- _2)
F(t
100100 F(y)dydx - ¡tp(t), t ?; O.
t X
2

We refer to Gupta and Kinnani ( 1998), Gupta and Kinnani ( 2000), Launer ( 1984) and
Gupta et al. ( 1987) for details about the MRLF and thc VRLF.

The functions defined above high light different aspects of surv ival and residua l life
distributions.The hazard rate and the mean residual lite function are rclated by

rF(t)= l+µf- (t) . (2)

J•F(t)
Furthcr, thc hazard rate, thc MRLF and the VRLF are tied together by the relation

:ta}(t) = rp(t){a}(t) - J•}(t)}, (3)

scc Gupta ( 1987).

Jt is wcll known that rp (t) determines the distribution function uniquely and hence
µp(t) also characterizes the distribution. In addition F(t ) and µF(t) are connected by

(4)

Thus rp(t), µF(t) and F(t) are equivalen! in the sense that, given one ofthem, tbe otber
two can be detennined. Hence in the analysis of survival data, one sometimes estimates
rF(t) or µF(t) instead of F(t) according to the convenience ofthe procedure available.

In addition to the above functions, the residual coefficient of variation is given by

"IF(t) = ap(t)/µp(t) .Furthcr, the MRLF, thc VRLF and the residual coefficien.t ofvaria-
tion are connected by the relation

:ta¡,(t) = µF(t)( I + ¡1f-(t))h}(t) - !), (5)

see Gupta (1987).

3. Mean Residual Life Function

As has bcen mcntioned before, the MRLF characicrizes lhc distribution. In particular il is
well known that the constancy ofthe MRLF characterizes tbe exponential distribution. The
MRLF or thc life expectancy has been employed in life length studies by various authors
eg. Hollander and Proschan ( 1975), Bryson and Siddiqui ( 1969) and Muth ( 1977). For
more detai Is and development of MRLF, we re fer to Gupta and Kinnani ( 1998) and the
174 Ramcsh C. Gupta and S .N.U.A. Kinnani

references therein. More recently, Bradley and Gupta ( 2003) have studicd thc limiting
behaviour oíthe MRLF and Chaubey and Sen ( 1999) have given a smooth cstimator oftbc
MRLF by expressing the MRLF in tem1s of the failure rate for certain class of distributions.

We show below that the MRLF can be convenient ly expressed in terms of tbe failure
ratc for a large fami ly of distributions. This family, to be called the Generalized Pearson
family, consists of distributions wbosc pdfs satisfy tbe differential equation

J'(x) -x +A g'(x)
(6)
f( x) = Bg(x) - g(x)'
wher,e A and 8 are constants and g is a differentiable function. The function g(x) uniquely
determines /(x) and in particu larg (x) = ao + a 1 x + a2x2 yields the Pearson family of
distributions. As is easy to verify the nonnal, gamma, beta and Maxwell distributions
belong to thc Pcarson family.
Clearing thc fractions in (3.1) yields

-xf( x) = - Af(x) + Bg'(x) f( x) + Bg(x)/'(x).

lntegrating thc above, wc get

E(X 1 X > x) =A + Bg(x)rp(x) . (7)

or equivalently,

µp(x) = A - x + Bg(x )rp(x ). (8)

Tbus ¡t( x) has bccn cxprcssed in terms of r F( x) . In view of tbe uniqueness property
of the MRLF, the above relationship characterizes the family of densities (3. 1). Corre-
sponding rcsults of Abdul-Rchman ( 1993), El-Arishy (1993 ,1995), McGill ( 1992), Nair
and Sankaran (1991), Osaki and Li (1988) and Ruiz and Navarro (1994) follow as special
cases. For detai Is, see Gupta and Bradley (2003 ).

4. Residual Second Moment and Derivates

Before proceeding funher, we define the sequence of induced distributions as follows:

Let F(x) be the survival function of a non-negative random variable X with MRLF
givcn by ¡tp(t). We now define a scqucnc.c { F 1 , F2 ... } of survival functions induced by F
as follows:

00
Fn(l) = J, Fu- 1{1i}d11' (9)
l"n- J
wbere µnis the mean of the distribution Fn- Assumc that E(X ,.) < oo for the largest n
used above so that µ 1 , µ 2 , .. ., ¡i.,,, w ill ali be finite. We now present the following resul.t.
176 Ramcsh C. Gupta and S.N.U.A. Kirmani

g(t)
"h- 1(t) = 1 + g'(t) ( 18)

Hcncc g(t) dctcnnincs J\l¡,._ 1 (t). Arguing in this manner rccursivcly, it is casy 10 scc
that g(t) dctcnnines M 1 (t). the MRLF. Hencc i\/i,(1) detennines the origina l distribution.
Also see Gupta and Gupla ( 1983) and Theorem 2 of Stein and Oattero ( 1999). As a special
case Ah(t) = l/>.i(t)/2</>1(t) characterizes thc distribution.

Bcsidcs A/2(1.), it can be shown tha1 <f>2{t) also charactcrizcs 1hc distribution. For this,
wc use 1hc following rcsuh ofGupia and Kinnani ( 2002).

Thcorcm 2 711e rmin o/ 1/te failure ra1e and 1/te mean residual lije fimction characterizes
!he distribution.

Corollary 3 The seco11d residual mome111characterizes1he dis1ribwio11.

Proof. Using cquation ( 4.4) , wc havc

<f>2(t) - 21•1(t)f12(L)
2v2 (t)
r2(t) '

whcrc r 2 (t) is lhc failurc ratc of1he second induced distribu1ion. The above theorem shows
that <t>2 (t) dctennines lhe induced distribution and hence detennines the original distribu-
tion. •

4.1. Cbaracterization Results Based on Residual Coefficient of Variation

=
lf F is the expone111ial dis1ribution with ratc A, 'l'p(t) o p(t)/ t•F(t) =
J for all A > O.
Menee, a lifc distribu1ion is not uniqucly dctem1ined by i1s res idual coefficient of variation.
Mowcvcr, as shown in Gupla and Kinnani (2000), if F and C are continuous Jife dis1ri-
bu1ions wilh ¡1,,(0) = =
1•c;(O) ( i.c. if1hcy havc cqual mcans) and "IF(t) "rc(t) for all
t > 0,1hcn F = C. Thc rcquircmcnt ¡1 p(O} = 1•c(O) is implicil in scc1ion 3 ( in particular,
scc cxamplc 3. 1) of Gupta and Kinnani (2000). As shown in Gupta and Kinnani (2000)

l'F(t)( I + lflF(t)) =fo' .Pr(x)dx + l'F(l + 1/Jp(O})- t, ( 19)

where 1/J p(t) = "l'} (t). lt follows that if "1F(t) = 1/Jc(t) = l/l(t) for ali t,then
 Moments ofResidual Lile.. . 177

(1 +1/.>(t))(¡tF(t) - µc(t)) = l'F(l + 1/.>(0)) - l'c (l + 1/J(O)) , (20)

for ali t > O. But the right hand side of the above does not depend on t. Consequently,

(1 + ?/.>( t) )(¡tF( t) - µe( t)) = ( 1 + 1/.>{0) )(µF(O) - µc (O)). (21)

When /tF(O) = µc(O); /tp(t) = 1•c (t ) for all t 2: O and hence F = G.

For some examples, see Gupta and Kim1ani (2000).

We now presentan interpcrtation of 1/.>(t) .

An Jnterpertation of ?/.> (t)

Recalling that E((X - t) 2 1X > t) = 2¡1(t)µ¡¡(t ), where µ(t) is the MRLF and µ 0(t)
is the MRLF of the first induced distribution, we can write

(22)
Tbus

2110(t)
?/.> ( t) - µ(t)
- 1

- 2p0(t)ro(t) - 1
- 2(( 1 + µó(t)) - 1
- 2Ji(¡(t) + 1 (23)

Tbe above result shows that 1/J(t ) is monotonic increasing ( decreasing) if p 0 (t) is
convex ( concavc). ln fact it can be shown that

T heorem 4 ?/.>( t) is mo1101011ic increasing ( decreasing) if µ( t) is convex ( concave).

For proof, scc Gupta and Kirmani (2000).

4.2. Characterization Results Based on Residual Variance

We first state a general theorem which w ill be helpful in establishing our results

Theorem 5 l e/ the function f be defined and conlinuous in a domain D e R 2 , and fer f

sarisfy a lipschitz condirion ( with respect to y) in D, name/y

lf (x , Y1) - f(x, Y2)1 '.:'. I<ly1 - Y2I, J< >O, (24)

for every point (x, y 1) and (x, r12) in D, Then the fimction y=ef>(x ) satisfying tite initial
=
value problem y' f( x , y) and y(xo) = YO, x E R is 1miq11e.
178 Ramesh C. Gupla and S.N.U.A . Kirmani

Corollary 6 lffand §t are conti1111011s in D, 1he11 theso/111io11 y= q\(x) is 1111iqe in R 2 .

For proof, see Gupta and Kim1ani (2003).

Wc now present the following rcsuhs

Tbcorem 7 Let F and G be strictly increasing lije distributions with /LF(to) = /Lc(to)for
someto ?: O,mulu}(t) =ub(t)forall t ?: O. Then, F =C.

Proof. For convcnicnce in writing, lec gr.(t) denote the VRLF u}.(t). Then it can be
verified that

2 gf.(t)
ftF(t) = - ( ) + 9F(t) ,
rp t
(25)

see Gupta and Kirmani (2000).

Using the fact that rp(t) = (1 + ¡1'p(t))/ µp(t), the above equation can be writtcn as

1 ( ) g'p(t)µF(t)
J.Lp t = - µp
2 ( ) J. (26)
t - 9F ( t ) -

Similarly,

, (t) _ _ g(;(t)µc(t) _ 1 (27)

µe - 1•b(t) - gc(t) ·
Suppose now that gF(t) = gc(t) = g(t), say.
Then , for ali t ?: O,
µ'p(t) = f(t, µF(t)), µ(;(t) = f(t , µc(t)), where
yg'(t)
J(t, y)= - y 2 ( ) - 1. (28)
-g l

lt follows by Theorem 4 .1 chat µp(t) = ftc(t) for ali t 2: O and, hencc, F = G. •

Remark 8 Note thatthe case µ}(t ) = 9F(t) implies that 9F(I.) is constan/ and hence F is
exponential. We hove assumed that µ}(t) -f 9F(t) .and µb(t) -f gc(t) in the above proof

The following example demonstrates an importan! class of distributions for which the
VRLF o}(t) depends on t only through the MRLF µp(t) .

Example 9 Suppose gF(t) = 'l/J(¡ip(t.)).

In this case, the differentail equation (4.2 J) becomes

¡.'p(t) = ., ~(µp(t)) - µ}(t) . (29)

ftp(l) + !/¡ (¡;p(t))µp(t) - 'l/J(JLp(t))
 Moments of Residual Lifc ... 179

Sp ecia/ Case

1/JÜ•p(l)) = a¡1}(t) +bµp(t) +c,a,b,c> O. (30)

Note 1hatfor 1=0, ir represe111s a use/11/ class o/dis1rib11tions/or which the variance is
a quadratic fimction o/ the mea11. see Morris ( 1982). For lhis class

,,, ( t ) = (a - 1)¡1}(t) + b¡tp(I.) +e

-'---~-"-"'"-'--'....,,,--'-'-'-"'-- (31)
F (1 + a)µ}(t) - e
For b=c:=O. the above reduces to

(L - 1
µf..(t) = a+ 1· (32)

This gives

1
J•r-(l) = -a+I
(L -
- t + /J,(J > o, b > o. (33)

This is the li11ear MRLF class studied by Oakes and Dasu (1990 ). see a/so Konvar
(1992).
Since a>O. we write a =!? and µ = ¡t(O) = b, and the above equation becomes

(34)

Case/: k=I. /11 this case µp(t ) = µ a11dX has an exponential distrib111io11.
Case//: k>I. In this case, denoti11g (k 2 - J)/{k2 + 1) by d. we hove ¡1p(t) = clt +
µ ,where d> O. A/so rp(t) =
{l + d)/(dt + µ). Hence X has a Pare/o
dis1riln!!ion.
Case/JI. k< l. lnthiscase· µp(t) = dt+ µ, whered < 0.Alsorp(t) = (I + d)/(dt+
µ),with d < O. Hence X has afinite range disrributian with survivalfuncrion oftheform
F(t) = {l - i)9,o < x ::; k,k > 0 , 0 > O;see!ia//andWel/11er(l979).

4.2.1. Monotonícity oí Residual Variance

Let us recall that

~o-}(t) = µp(t) ( I + µf..(t))(-y}(t) - 1), (35)

From the abovc, it is clear that

(l)u}(t) isincreasing ifandonlyif -yp(t) ;:: J.
(2)u}(t) isdecreasingifandonly if ;p(t) ::; l.
(3) cr}(t) = <? ~ l'F(t) = e~ F is cxponential
We now present the following definition

Definition JO F is said to have i11creasing ( decreasing) variance residual lije. JVRL (

DVRL). ifu}(t) is i11creasi11g ( decreasi11g).
 Momcats of Residual Life ... 181

Remark 13 For other proqfs, see Dallas ( 1979) and Gupta and Gupta ( 1983).

Remark 14 Rao and Shanbhag ( 1994) show that E IG(x - y) IX ;::: y] = c, for ali y ;:::
O, where the fimction G satifies some mild condi1ions, characterizes the distribution, see
theorem on section 5.2.6, page 108 of Rao and Shanbhag (1994).

In the previous section, we have shown that besides the mean residual life function,
the second residual momemt also chractcrizcs thc distribution. Thc general moments, in
general , do not characteri ze tbe distribution without certain stringent condi tions, However,
the partial moments characterize the distribution as bclow.

S. l. Partial Moments

The partía! momenL~ are defined by

00
1/Jdt) = J,
t
k
(x - t) dF(x) , k = l , 2, ... (38)

This means thal

(39)
Assuming that the kth derivative of 1fik(t ) exists and p (;) (oc) = O for j > O, we have
the following result.

Thcorcm 15 Under the conditions stated above,

(40)

Proof. Applying Taylor's theorem to F(x ) , we gel

P(x)

(41)

This givcs thc desired result. •

Remark 16 Foro/her proofs, see Gupla and G11p1a ( 1983) and Navarro et al. ( 1998) .
182 Ramcsh C. Gupta and S.N.U.A. Kinnani

6. Sorne Remarks

Lct F1 (x) = P(X1 > x) = P(X - l > x lX > /.) and lct F(x ) = P(X > x). Then
F 1 (x) = F( x + t)/ F(t ). The distribution functioa F; = l - F(t) arises in a number of
contexts. Thus, if Xci) :::; X (z) :::; ... :::; X(n) are the order statistics of a raudom sample of
n observat ions from a continuous distributions F, thc conditional distribution of the spacing
X (i+i) - X(i) given X (i) = lis the samc as t he unconditional distribution ofthe smallest
ordcr statistic in a random sample of size n - i from the di stributiou F 1• Hence, onc can
fonnulatc analogucs ofthc rcsults ofthe previous sections from thc conditional distribution
of X(,+i) - XciJ given X(•) = t.

On a similar note, let X 1, X 2 , ... be a sequence of independent and identically dis-

tributed random variables with common cont inuous distribution function F. Lct El,¡ denote
the n th upper record of this sequence ( see Nevzorov (2001 )). Then the condilional distri-
bution of R,¡+ 1 - El,¡ given El,¡= l coincides with the residual distribution rl . Again, it is
straightforward to obtain analogs of thc results of thc prcvious scctions for thc conditional
distribution ofthe gap Rn+I - n,,given R,, = t.

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