RENEWAL THEORY
Renewal Theory
by D. R. Cox
Imperial College
UnJ,ersity of Londo"
SCIENCE PAPERBACKS
and METHUEN & CO. LTD
T 3.1
3.2
Some general formulae
The probability generating function
3
3
57.33 3.3 The asymptotic distribution of Nt 4
4
3.4 The number of renewals in a random time
~C;g
4
T
4 The moments of the number of renewals
19b 4.1
4.2
The renewal function
The asymptotic form of the renewal function
4
4
4.3 A more detailed study of the renewal function 4
4.4 The renewal density 5
Distributed in the USA by Barnes & Noble Inc 4.5 The variance of the number of renewals 5
4.6 The higher moments 5
v
5.1 The backward recurrencetime' 61 10
9.1 Introduction
5.2 The forward recurrencetime 62 9.2 Some results based on the laws of large
5.3 The limiting distribution of recurrencetime 63 numbers 10
5.4 An alternative derivation of the limiting 9.3 Some limiting results based on the relation
distribution 10
65 between Nt and S r
5.5 An application to the number of renewals in an 9.4 Some exact results 10
arbitrary interval 10
66 9.5 Failuretimes which may be negative
11.1 Introduction 11
7 Alternating renewal processes
80 11.2 Some simple strategies 11
7.1 Introduction 11.3 A strategy involving idle time 12
80
7.2 The renewal functions 11.4 Strategies involving wear 12
82
7.3 The type of component in use at time t 82
7.4 Equilibrium alternating renewal processes 85
7.5 The precision of systematic sampling 86 Appendix I Bibliographical notes 12
ix
CHAPTER 1
Preliminaries
1.1. Introduction
Renewal theory began as the study ofsome particular pro
problems connected with the failure and replacement of comp
such as electric light bulbs. Later it became clear that essent
same problems arise also in connexion with many other appl
of probability theory and moreover that the fundamental
matical theorems of renewal theory are of intrinsic interes
theory of probability. Hence much recent work in the subje
specifically connected with the replacement of components
same time, however, with the current surge of interest in the
matical problems of operational research, new problems co
with the replacement of components have been formulated
within the framework of renewal theory in the original sense
The plan of this monograph is as follows. In Chapters 25
with the principal general formulae of renewal theory. Thes
treated from an applied mathematical point of view; that i
not give rigorous proofs of the results under the most genera
tions possible. In Chapters 69 some extensions of the fund
models of renewal theory are given. Chapters 19 form a s
tained course in renewal theory for those whose interest is in
probability theory, not necessarily in connexion with ope
research.
Chapters 10 and 11 are more specialized. Chapter 10 de
models of failure. Chapter 11 discusses a number of proble
nected with the replacement of components, in particular
study of replacement strategies. Problems of statistical analy
nected with renewal theory are not considered in this monog
I~(U)dU}'
\
f(r) or
6
\
\
](rf· \
\
\
§"(x) = exp { 
0.4 \
\
,,
~(x)exp{ I~(U)dU}'
0.2 ,...
... .... = 
............ _.. from which f(x)
But the event' x < X ~ x + Ax and x < X' is the same as the event ![" so that, by (8),
'x < X~ x+Ax'. Thus ~(x) = p.
~(x) = lim prob(x < X~ x+Ax). 1 Conversely it is easily shown from (11) that if ~(x) is con
.<Ix+O+ Ax prob(x < X) distribution must be exponential. Thus the exponential di
is characterized by a probability of immediate failure o
f(x) ponent not depending on the age of the component. This
=.
!F(x) (8) ence of age makes the mathematical problems of renew
B
virtually trivial when the distribution is exponential, as we shall see
repeatedly in the rest of the monograph. studying strategies of replacement. When working graphicall
Figure 1.2 shows some typical forms for cp(x) for nonexponential numerically with estimates of cp(x) from data, it is often useful to
distributions. If cp(x) is an increasing function of x (Fig. 1.2a), we may .'F(x) at the same time, because it is not immediately apparent
say that there is positive ageing; the older the component, the more cp(x) what is the range of failuretimes in which the majorit
likely is immediate failure. If cp(x) is a decreasing function of x failures occur.
(Fig. 1.2b), we say that there is negative ageing; the older the com Finally we shall define in the usual way the mean, vari
ponent, the less likely is immediate failure. One possible explanation moments 'and semiinvariants of failuretime, and so far as pos
use the conventional notation. For example, with E denoting m
matical expectation,
t
",cx) p. = E(X) = f
00
xf(x)dx,
o
a 2 = E(Xp.)2,
= f
o
e'x f(x)dx. (1)
H IX is a positive integer, this is (IXI)!
Except for the sign of a, the Laplace transform is the mo
generating function used in mathematical statistics. Proce
It is convenient sometimes to use the alternative notation 9'{f(x); a}, formally, we have that, provided that So < 0,
that is
9'{f(x);a} == r(a). 00 sr xr)
(2) r(s) = E ( ~ (1)',
r=O r.
Note that, in this new notation, the Laplace transform is a function CIO sr
of a and not of the argument x occurring to the left of the semicolon. = ~ (I)'p.;;
We sometimes use t instead of x for the argument of the fun~tion r=O r!
whose Laplace transform is taken.
the rth moment of X about the origin, as it exists, is given by t
Now, sincef(x) is a p.d.f., it follows from (1) that
efficient of ( a)' Ir! in the Taylor expansion ofr(a) (Cramer,
f*(O) =I p. 177). To obtain the moments, p." about the mean, e'Pf*(s) s
be expanded. As an example, take again the exponential distrib
and moreover that 0 <r(a) " I for all a ~ o. Sometimes it is useful with Laplace t.ransform pl(P + s). The Taylor expatll!ion is
to consider f*(a) as a function ofthe complex variable a, and then it co
can be shown to be analytic in a halfplane, Re (a) > So, where So ~ O. ~ (1)' sr/pr,
This is enough to justify many of the formal manipulations that we r O
shall make. whence p.; = r!/p'. In particular the mean, p., is tIp and the var
As an example, c~nsider the exponential distribution (2.12). The (]2, is
corresponding Laplace transform is (]2= P.2 _ p.2
f pepxesxdx
CIO
= I/p2.
= L. (3)
o p+a Thus for the exponential distribution (] = p..
So far we have considered the Laplace transform only for func
Note that it is often useful in recalling formulae to regard Xas having that are p.dJ.'s. However, the definition (I) extends immediat
the dimensions of [tUne], f(x) and s as having the dimensions of arbitrary functions defined over (0, 00), provided that the in
[timer I, the Laplace transform itself being dimensionless. converges. Thus for a given function k(x), we define k*(s
Another example, which will tum out to be important later, is 9'{k(x);s} by
co
Z{
p(PX)CXIePX}
r(Ot) ;a
p«
= (p+a)CX (Ot,p > 0). (4) k*(s) == Z{k(x);s} = f e
o
sx
k(x)dx.
This transform is widely used in applied mathematics, particularly in the second line following because the expectation of the product of
the solution of differential and integral equations. The function k*(s), mutually independent random variables is the product of their
as a function of the complex variable s, is analytic in a halfplane separate expectations. .
Re(s) > So, although no general statement can be made about the The corresponding explicit formula for the p.d.f. of XI + ... + Xn IS
value of So. quite complicated, being
The following further results are important and quite easily proved.
It is supposed that s is such that all integrals are convergent. Then
.2"{xm;s} = F(m+ 1)/sm+1 (m > 1), (8)
f '"... J ft(UI)h(uzUI) .. ,/,,(XUnt)dUt ... dunt. (16)
.2"{k'(x);s} = sk*(s)k(O), (9) fr(x) being defined as zero for negative x. This i~t~gra.l, ca~led the
.2"{k(r)(x);s} = srk*(s)sr I k(0)sr 2 k'(0)_ ..• _k(rt)(0), (10) convolution offt (x), ., . ,f,.(x), will not be used expliCItly m this book,
it always being easier to work with the Laplace trans~orm ~15). .
An important special case arises when the Xr are Identically dls
.2"{[ k(U)dU;S} = k*(s)/s (Re(s) > 0), (1 J) . tributed, so that we can write fr(x) = f(x) , say. Then the p.d.f. of
XI + ... + X"' to be denoted by f(,,)(x) and called the nfold convolu
tion of f(x), is such that
.2"if k(U)dU;S} = {k*(O)k*(s)}/s (Re(s) > 0). (12) (17)
(ti) Sums of independent random variables That is, the functions f(n)(x) and (18) have identi~al. La~lace trans
The main importance of Laplace transforms in renewal theory is in forms. We shall see in the next subsection that thIS Impltes that th
connexion with sums of independent random variables. Let X" ... , X n two p.d.f.'s are the same.
be nonnegative random variables independently distributed with
p.d.f.'s Ji(x), ... '!n(x). The Laplace transform of the p.d.f. of (iii) The inversion problem
XI + ... + Xn is, by definition, Suppose that we have calculated the Laplace tr~sform k*(s) of*a
E[exp{s(XI+ ... +Xn)}] = E(eSX1 ... eSX,,) as yet unknown function k(x). The problem offindmgk(x) from k (s
is called the inversion problem. A crucial result is that for all types o
= E(eSx') ... E(e, XH ) function that we shall consider in this book, and in particular for a
continuous functions, the function k(x) is uniquely determined b
=n(s) .. '/:(s), (15)
k*(s), with the understanding that two functions that differ only a set
where the sum is over the poles of the integrand inside the con
of xvalues of measure zero are counted as equivalent.
But there is only one such pole, at s =  p, and the residue the
It follows that if, as at the end of (ii), we can recognize a function
pe px• Hence
k(x) for which k*(s) is the Laplace transform, our problem is solved.
k(x) = pe Px (x > 0).
Extensive tables (Bateman Manuscript Project, 1954) are available
giving the Laplace transforms of common functions and giving k(x) It can be shown similarly that k(x), defined by (20), is zero for x
corresponding to common forms of k*(s).
Explicit formulae for k(x) in terms of k*(s) are sometimes useful
and the most common such inversion formula is (Widder, 1946, p. 66;
van der Pol and Bremmer, 1955, Chapter 2)
c+loo
k(x) = 2~i
cloo
f Sx
e k*(s)ds; (19)
k(x) = 1.
2m
f
c+loo
pesx

p+s
ds, (20)
(iv) Asymptotic expansions
We shall commonly find that, although we can find a qwte sl
. .
c/oo
expression for the Laplace transform, k*(s), of the function. ~(
which we are interested, the inversion ·cannot be done expliCit
where c >  p. In particular the line of integration can be taken to be
simple terms. It is then natural to look for asymptotic relations
the imaginary axis. Now convert the line into a closed contour by
usually as x+oo, or occasionally as x+O.
taking the limit of the line from c  iR to c + iR completed by a semi
One method that can sometimes be used is to work with
circle of radius R to the left of the imaginary axis (Fig. 1.3). It is easily
complex inversion formula (19), applying some general ru:!mp
shown by the usual arguments that if x > 0 the integral round the
technique to it, such as the saddle point method (de BrulJn, 1
semicircle tends to zero as R + <Xl and hence, by the theorem of
residues, Chapters 5,6). More usually, however, we shall exploit the ge
principle that in the equation
I e SX
k(x)dx,
o
(b) the behaviour of k(x) as x t~nds to infinity is associated with
the behaviour of k·(s) for s near zero. 1.4. Special distributions
These results should be qualitatively clear from the definition of (i) Generalities. Many of the general results in renewal the
k·(s). Thus if s is very large,e SX is negligible except when x is very be used for arbitrary p.d.f.'s, f(x). Nevertheless it is very u
small, so t~at k·(s) will depend on the behaviour of k(x) near zero. have in mind a number of special mathematical forms tha
The mam result of this type used in renewal theory is that if as used to represent the distribution of failuretime. The specia
s~o, for constants A and B, butions (ii)(iv) below are of importance because they much
the general formulae of renewal theory. The remaining distr
A B (v)(vii) are included because they are often useful in other p
k·(s) = 2++ 0 (1) (23)
s s .' about failuretimes, such as the study of replacement strateg
The symbols p, ex and a will be used for parameters of distri
then as x ~ ex>, k(x) = Ax+B+o(l). The interpretation will depend on the particular distributio
(24)
consideration, but all are always positive, p always has the dim
~n (23),0(1) denotes ~ function of s bounded as S~O, whereas 0(1) [timer I, ex is dimensionless and a is used instead of ex wh
m.(24) denotes a functIOn of x tending to zero as x~ ex>. A result of integral values are allowable. All p.d.f.'s are taken to be
this type, enabling the limiting behaviour of k(x) to be deduced negative x.
from that of k·(s), is called a Tauberian theorem. The circumstances under which the various special distr
In a formal waY.the passage from (23) to (24) is easy, because I/~ may be expected in practice are discussed in Chapter] O. The
and lis are r~pectIvely the Laplace transforms of x and 1. However, section is confined to a descriptive account of the propertie
the theorem IS only true under restrictions on k(x) sufficient to exclude distributions.
rapid ~sci11ations in k(x) as x~ ex>. Except in very simple cases, (ii) Exponential distribution. This has already been use
Taubenan theorems are therefore difficult to handle. For this reason example several times in the preceding two sections. The
rigorous proof of the general theorems of renewal theory under th~ pe Px, the survivor function e Px, the agespecific failure
mo~t general .conditions requires delicate mathematical arguments constant and equal to p, and the Laplace transform is p
whIch we shall not go into in this monograph. Further, the mean and standard deviation are both equal to
. There is, however, one situation in which the rigorous proof of (24) . that the coefficient of variation is one. We shall call pe Px
IS easy. Suppose that ponential distiibii#Q1i;withratej,)ar.a rneterp •./,.
(iii) Spedar1!:itti'figiaif'distribiiii~';; .The p.d.t is
(25) p(px)aI e  px
,
(aI)!
where K·(S) is a rational function of the complex variable s bounded
at ex> and with all its poles having negative real parts. where a is a positive integer. By (3.4) the Laplace transform
It is now quite easy to prove (24) by splitting K.(S) into partial
fractions or by applying the complex inversion formula of the pre (p~s)a.
ciated facts. The first is the simplicity of the Laplace transform (2). First there is a simple generalization of the s~ial Erlang
The second is the following connexion of the distribution (1) with bution in which the exponential distribution~ m .the a st
the exponential distribution, which is, of course, the special case parameters Pb ••• , Pa' The Laplace transform IS then
a= 1.
PI" ·Pa
Let failure take place in a stages, the times Yt. •.. , Ya spent in these (PI+S)···(Pa+ s)
stages px
being independently exponentially distributed with the p.d.f.
pe • We suppose that at the end ofthe first stage, after time Y The p.d.f. is best obtained by expressing (3) in partial fractio
h
the second stage is started, and so on, failure occurring at the end of
the ath stage. Thus the failuretime, X, is Yt + ... + Ya • As proved in "" A/PI,
(3. I 8), the distribution of X is then the special Erlangian distribution ~P/+s
(I). There is no need for the stages to have physical significance;
whenever the p.d.f. of failuretime is (I) we can always make mathe.
matical calculations as if failure occurred in the a stage process just
where A
/  11 Pi .
j,pl
. (P'JPi)
described. This idea was introduced into the theory of congestion in The p.d.f. is therefore ~ A/PiePIX,
telephone systems by A. K. Erlang and has been widely used since to
simplify probability calculations in the theory of queues (Cox and with the usual modifications if two or more Pi are equal. F
Smith, 1961, section 5.2). It is important in renewal theory for value of a it is easily shown that any mean and any frac
essentially the same reason. We shall call (I) the special Erlangian efficients ofvariation between 1 and 1/ v' a can be produ~d b
distribution with a stages. · f {PI'} The main practical interest is likely to be b
m sm
ch Olceo '
There are two important generalizations of (1) and we defer the f . II  2
o a, especla . y a  , , . 3 4 Using these values
..' we can 0 tam
d
discussion of descriptive properties until we deal in (v) with the second matically very simple form for a distributIon bavmg any es
r
of these generalizations, the distribution. and any coefficient of variation between 1 and t . .
(iv) General Erlangian distribution. A mathematical characteristic For the second type of generalization, suppose that WlthPr
of (iii) is the simplicity of the Laplace transform. A physical charac 8 the failure mechanism enters the first stage, with p.d.f.
teristic is the interpretation in terms of stagehystage failure. Both •  p,X and that with probability 1 fJ the mecharu
these properties are retained in the family of general Erlangian dis time,
the p, e stage
second d f Pz
, WI'th p..., X Let failure occur at
e  p.. .
tributions, which is defined as that of distributions of continuous the single stage, whichever it may be. Then the p.d.f. IS
nonnegative random variables for which the Laplace transform
8pI e p,x+(1fJ)pze P'x
of the p.d.f. is a rational function of s, that is, is the ratio of two
polynomials: .
and ·the Laplace transform
It can be shown that any distribution of failuretime can be
fJp
approximated arbitrarily closely by a general Erlangian distribution.
, + (lfJ)pzp,pz+fJpIs+(l8)pzs.
= )
The most useful of the more general distributions are, however, those p,+s pz+s {p,+s){Pz+s
that give coefficients of variation that cannot be reasonably approxi
mated by a special Erlangian distribution. Two particular cases will It can be shown that by suitable choice of 8, Ph pz we ca
be mentioned briefly here. distributions having any desired mean and any fractional c
of variation between 1 and 00.
be simulated using quite simple members of the general Erlangian
family and, for such distributions, we shall see that formal solution
say, where y(t (X) = 1
, H(X)
f u(1<1 e Udu
of the problems of renewal theory is usually in principle quite simple. o
The reason is that the Laplace transforms of the functions in which we
are interested in renewal theory are rational functions of j.(s) and is called the incomplete gamma function.
hence, for the present distributions, are rational functions of s. The
inversion problem for rational functions is, in principle, easy, even if
the details are cumbersome in particular cases.
f'·2 f,_2
(v) Gamma distribution. A second generalization of (iii) is to pdf pdf
replace the parameter a restricted to the values I, 2, ... by a parameter
a taking any real positive value. We then obtainthe p.d.f. of a r as OJ
distribution, namely
p(PX)I%lepx
rea) . (6)
f
X
p(PV)I%lePVdv _
r«X)
If
 rea)
M
1%1
u e
ud
u (7)
(e)
exp {(px)"'},
F(x) = 1 ~ ePx(px)'. (10)
L,
r~O
r! and therefore by the p.d.f.
exp(px)",I exp {  (px)"'}.
Another way of expressing (10) is to introduce a discrete random
variable Z having a Poisson distribution of mean px. Then (10) is The connexion with the th~ory of extreme values will be discuss
equivalent to the equation section 10.2; strictly (12) is only one of three possible types of extr
value distribution, but it is the one usually most relevant to fai
prob(X ~ x) = prob(Z ~ a). (11)
times.
The agespecific failure rate, being the ratio of (13) to (12), is
A probabilistic proof of (11) using the stage interpretation of the
special Erlangian distribution will be given in section 3.1. cf>(x) = exp(px)",I.
(d) When p = ! and ex = lb, where b is an integer, the distribution
(6) is known in mathematical statistics as the X? distribution with b If ex> 1, there is positive ageing with cf>(x) varying from zer
degrees of freedom.  infinity as x increases. If IX. < 1, there is negative ageing.
(e) The agespecific failure rate, cf>(x), can be calculated from (6) It follows from (12) that
and (10). If 0< ex < 1, there is negative ageing, with
prob(X'" > x) = prob(X > xII"'}
cf>(x) + 00 as x + 0, cf>(x) + p as x + 00,
= exp(p"'x),
whereas if ex > 1, there is positive ageing with
showing that X'" has an exponential distribution with paramete
In other words, the distribution specified by (12) can be obtained
cf>(0) = 0, cf>(x) + p as x + 00.
an exponential distribution by a very simple power law transfo
Many empirical distributions can be represented, at least roughly, tion of the time scale.
by suitable choice of the parameters ex and p, and this, combined with The rth moment of the distribution is
the relative simplicity of the distribution, makes it a most useful one. co
For many of the problems of renewal theory there is a very substantial
further advantage in using a special Erlangian distribution, i.e. in
exp'" f x,+",I exp { (px)"'} dx
o
taking ex integral. To obtain numerical answers for nonintegral ex it
may sometimes be preferable to interpolate numerically between and, if we put (px)'" = u, this becomes
solutions for integral a, rather than to proceed directly with the theory <0
for the value of ex concerned.
(vi) Extremevalue distribution. Another twoparameter family of !p' f u'l"'e"du = !r(~+
p' ex
1).
distributions containing the exponential distribution as a special case o
c
p
(16)
is included in Table 1.1. The value of Y1 +  1·14 as a. + 00 and the is the standardized normal probability integral. The result
coefficient of variation tends to zero. The skewness is, however, that the random variable log X is normally distributed
positive provided that a. < 3'6 and tends to infinity as a.+O.
logp and variance a., and hence the name log~normal d
given to (18).
Table 1.1. Some moment properties of
The mean of, the distribution is p leIX / 2 and the coe
the Weibull distribution
variation is y'(e IX 1). For small values of a., the distributio
coefficient of
IX variation, (17) normal. For large values of a., the· distribution has larg
'Yl skewness. The properties of the lognormal distribution are
0·5 2'24 6'6
0·75 135 in detail by Aitchison and Brown (1957).
H
1·00 1'00 2'0 One important special property of the distribution concer
specific failure rate, which from (18) and (19) is equal to
1·2 0'84 1'5
14 0'72 1'2
16 0'64 1 [{IOg(PX)}2] 1
0'96
18 0'58 0'78 Xy'(27Ta.) exp , 2a. x 1 Gro~=pl
2 0'52 0·63
5 0·23 0'25 It can be shown that (21) increases to a maximum an
00 0 114 creases to zero as x+ 00 (Watson and Wells, ]961). The l
distribution is sometimes useful in empirical problems
(vii) Lognormal distribution. Consider now the family of p.d.fo's
with renewals because (a) statistical problems connected w
1 exp [ {log (pX)}2] , (18) normal distribution are often easily solved by a log transf
Xy'(27Ta.) 2a.· and (b) it is sometimes desired to represent fairly simp
specific failure rate having a maximum.
The corresponding cumulative distribution function is Finally, it is useful to compare briefly the three two
r
families of distributions, the distribution, the Weibull d
{log (pV)}2]'!:!. and the lognormal distribution. In all three families the p
2a. v can be adjusted to give assigned values to the mean and coe
variation. The comparison can be made first in terms of th
behaviours of the agespecific failure rates already noted. Secondly.
the density functions as x ~ co are respectively of order approxi
mately e  px, exp { (pX)IX} and x (logx)/(21X). Thus it is plausible that CHAPTER 2
for a given mean and coefficient of variation the lognormal distribu
tion has the longest' tail'. The Weibull distribution comes next if and The Fundamental Models
only if the coefficient of variation exceeds one, i.e. if and only ifot in
the Weibull distribution is less than one. 2.1. The ordinary renewal process
Suppose that we have a population of components and that
A similar conclusion is obtained from the relation between the
time, X, is a continuous random variable with p.d.f.[(x). It i
coefficient of skewness 1'1 and the coefficient of variation. For th~ r to be stressed that the terms component and failuretime can b
distribution
many different interpretations. Suppose further that we start
1'1 = 2 x coeff. of variation,
new component at time zero. This component fails at time X
for the lognormal distribution Let it be replaced immediately by a new component with failur
X 2 • say. Then the second failure will occur after a total time X
1'1 = 3 x coeff. of variation + (coeff. of variation)3, Let this process be continued, a component being replaced im
the value for the Weibull distribution being given in Table 1.1. ately on failure by a new component. The failuretime of the rt
ponent used is Xf and the rth failure occurs at time S" where
Sf = XI +.. .+Xf ·
If {Xt. X 2 , ••• } are independent identically distributed rando
ables, all with p.d.f. /(x), we call the system an (ordinary) r
process.
If, in particular, the distribution is exponential (section \
with p.d.f. pe Px, we call the ordinary renewal process a P
process of rate p. The main properties are derived from first pri
in section 3.
We now define, for the ordinary renewal process, a num
assobiated random variables whose study is the object of t
part of this book.
(i) Time up to the rth renewal. For some fixed value of r, w
wish to know the time at which the rth renewal will occur.
precisely the random variable, S" defined in (1).
(ii) Number o/renewals in time t. Fix a time t and define the r
variable, N as the number of renewals occurring in (0, t). t No
"
t It is, with continuous failuretimes, equivalent to use the open
(0, t). In future, we shall not usually bother to distinguish between t
and closed intervals, although in discrete problems the distin
important.
25
(v) Higher momenls 0/ N I . For some purposes we require als
variable, N I , is often the thing about the process of most interest. higher moments of NI> especially the variance.
More generally, we may take two fixed time points II> t2 (/\ < tv and (vi) Backward recurrencelime. Let t be a fixed time point. D
define
the random variable UI as the length of time measured backw
(2) from t to the last renewal at or before I. If there have been no ren
to be the number of renewals in (tl> 12). We shall see that, formally, up to t, UI is defined to be I. Thus Ui is the age of the compon
the properties of Nihil can be obtained in much the same way as use at t (see Fig. 2.1a).
those of N I •
(iii) The renewal/ullction. We are sometimes particularly concerned (
with the mean value of N I • The function
(a) t
(3)
is called the renewal function. Note that, for the more general random )(
variable Nth I"we have from (2) that
(b) t
(4) FIG. 2.1. Definition ofrecurrencetimes U" V"
(iv) Renewal densily. Consider for any time I, the function 17(/) (a) Backward recurrencetime, U,;
defined by (b) Forward recurrencetime, V"
with Ko(t) = 1. Therefore the probability distribution of N can be Now if the Laplace transform with respect to I of kr(/) i
obtained explicitly for all r. Equation (3) is, in particular, verylSuitable that of Kr(/) is k~(s)/s. Hence, on applying a Laplace tran
for computmg the probability distribution of NI numerically for small to (2), we have that
values of r.
The simplest special case of (2) is obtained by taking the renewal G*(s,,) 1 12:"" ,,I('I)k~(s).
= +
s s ,1
proc~ss to be a Poisson process of rate p. Then, by (1.3.18), Sr has the
specIal Erlangian distribution with r stages. Also it is known, from
the elementary argument in section 2.3, that N has the Poisson The formula (3) applies to ordinary, modified and
distribution of mean pt. Equation (2) then states the relation (1.4.10) renewal processes. By the results of section 2.5, the func
between the sum of terms in the Poisson distribution and the incom equal, for those three processes, to {f*(s}}', to fT(s){/*(s
plete gamma integral. {l/*(s)}{/*(sWI/(f's). Hence, we have for the ordin
Suppose next that we have an ordinary renewal process with the process
failuret~:e di~tribution o~ the special Erlangian type with a stages. 1/*(s)
Then NI = r If and only if the number of stages completed in the G*(s h  ,
o ,'oJ  s{l U*(s)}
36
D
I m
G!(s,O = 1 U·(s)+ 'It(s)IT(s) p(pu)mePU "" (pt)'e P'
(u' 'oj
G0 "'du , (8)
+~ I
l==raa
([ra+a) I!
o
or, on taking coefficients of ~r,
probeN}') = r) = ~ f
I
{prob(N!O) = rI) pt
+
a
'2:2 } (ptie
a

I!
p
,
.
o I=,aaI
Further
prob(N!o) = r)}du (r = 1,2, ...), (9)
1 aII (a/)'
(pt)'e P
prob(N,(') = 0) = 
prob(N,(e) = 0) = 1~f' f I
(i ~ ~}(Pt):~
u
o =
A p~rely probabilistic proof of these results is indicated in th 1=0 1=0
exercises. e
For small values of r and a, these formulae are
Sup~ose .th~t ~e di~tribution of failuretime is the special numerical calculation, working from tables of cumu
Erlanglan dlstnbution WIth a stages. Then, on substitutin (l 4) in
(9), we have that g. to the Poisson distribution.
, It follows from (4), (5) and (6) that whenever /*(s),
prob(N,(e) = r) = ~ f {'II
o m=zraQ
,a+aI}
"" (pu)m e  pu
L
m,a
m.,du.
IT(s), are rational functions of s, the Laplace tra
generating function can be expanded in partial funct
inverted in terms of elementary functions.
3.3. The asymptotic distribution of N, This generalizes to an arbitrary renewal process the familiar
A simple general result about thelimiting distribution of N, as t ~ co of the Poisson distribution that
can be obtained directly from (1.2), which links the random variables
N, and S" and from (2.5.9) which gives the limiting distribution of variance = I.
S" as r ~ co. The argument applies equally to ordinary, modified and mean
equilibrium renewal processes and assumes only that the variance of
the distribution of lifetime is finite. Of course, (4) is a limiting result only, whereas (5) is exact.
Write To use the limiting result (3) numerically we need to k
large I has to be before the normal approximation .is ad~ua
Then can be assessed either by investigating special cases In which
distribution of Nt can be computed, or by calculating the
prob(N, < r/) = prob(S,. > I) (I) measures of nonnormality, in particular the i'l measure of
= prob{S,,r,p. >
ayr,
_y,(I+ y(tp.)
y,a )1/2}. (2)
(section 4.6). For numerical work with the distribution of
a normal · approximation, it would usually be preferabl~
directly from (1.2) and the normal approximation to the di
Now fix y, = y and let t~ co. Then we have from (2) that of S,. i.e.
,p.r)
lim prob(N, < r/) = lim prob{s,.r,p. > y} prob(N, < r) '" 1G ( uyr .
1+«> /+«> ayr,
/ .
Gm = f G{/,Oq(t)dt. (I)
>..k ( 8)k1
Gm = (kl)! as {G·(s, {)}S=A'
o
Example. Let Tbe the lifetime of a whole piece of equipment. The We can now substitute in (4) the expressions (2.4){2.
number of renewals of a particular component required in this time Laplace transform G·(s, {) for ordinary, modified and eq
is N. It is assumed that the process determining the lifetime of the renewal processes. We deal here only with ordinary ren
whole equipment is independent of the failure of components. cesses, for which
Example. Skellam and Shenton (1957) mention the following
problem connected with the degradation of polymer chains. Consider
molecules whose length T is a random variable. When one end of a
molecule is activated, links of the chain split off until a side reaction
stops the pr<>CeS$. Let the lengths split off in successive activations be
independent random variables {XI> X 2 , ••• } all with the same distri
Suppose first that k = 1, i.e. that Thas an exponential dis
Then
bution. Then N + I is the number of activations necessary to dis
integrate one molecular chain.
Suppose that the p.d.f. q(t) is of the s~ial Erlangian type with
k stages, '
>..k1kIeA, so that the distribution of N is geometric with common ra
where >.. = 1/E(T). There is a simple generalization of this re
q(t) = (k1)! ' (2)
p.d.f. of T is a linear combination of exponential terms.
process is a Poisson process,/*(s) = p/(P+s). Then
CHAPTER 4
GO<O = (k~kl)!( ~rt {(P+stp)t}._.\
The Moments of the Number of Renew
>.k
(7) 4.1. The renewal function
In the present chapter we consider the moments, and espe
a negative binomial distribution. More generally, if the distribution mean value, of N" the number of renewals in the time inte
of failuretime is of the special Erlangian type with a stages, fairly The renewal function, H(t), defined as E(N,), is given by
simple results can be obtained from (5) provided that k and a are both QO
rather small. H(t) = ~ rprob(N, = r)
r=O
QO
I: r{Kr(t)Kr+l(t)}
r=O
QO
= I: Kr(t),
rI
H*(s) =~ L k~(s).
rl
H:(s) = 1/*(s)
p.Sl
2:QO
rl
{j*(sW 1
1
=2·
p.s
[45]
t if p. and a are the mean and standard deviation of failuretim
Hit) =. (3)
as s+O,
p.
Hence, for any equilibrium renewal process the expected number of Hence
renewals in (0, t) is proportional to t. More gep.erally, because the 1 sp.+ i;(p.2+ a 2)+ 0(s2)
number of renewals in (t, t') is Nt'  Nt> it .follows that the expected H~(s) = ;1£ ir(p.2+ q2)+ 0(s3)
number of renewals in any interval is proportional to the length of
~+! ~p.\o(!).
the interval.
=
Consider now an ordinary renewal process, for which s2p. s 2p.2 . s
k~(o)(s) = {f*(s}}'.
Formal inversion of (2) gives that as t+oo
Then H*(s) _ f*(s) (4) I ~_p.2 :
o  s{1f*(s)}' Hit) = +2. +0(1).
1£ 2p.
It follows incidentally from (4) that a given function H(t) can be the
renewal function for at most one distribution of failuretime. Equation (3) is in fact true provided that q2 is finite, alth
Equation (4) can be inverted exactly in simple cases. For the noted in section 1.3 (iv), a rigorous justification is difficult. H
Poisson process,f*(s) = p/(s+ p) and we find that a rigorous proof that Ho(t) '" tip. is fairly easy, because H
monotone function of I.
Ho(t) = t!p. = tp . . (5) Some general qualitative conclusions can be r~ched from
Note that in contrast to the equilibrium renewal process, the Poisson (a) If a = p., then Ho(t) = I/p.+ 0(1). This generalizes the r
process is the only ordinary renewal process for which H(t) is pro the exponential distribution, a particular distribution with a
portional to t. which Ho(t) = Ijp..
For the special Erlangian distribution of failuretime, with (b) If a < p., the second term in (3) will be negative, and
f*(s) = pOj(p +s)o, we have ticular if a ~ p., we have
tip.
(6) Ho(t) :::: +0(1).
p.
The general result, analogous to (4), for a modified renewal process This can be given a simple intuitive meaning in that to sta
is new component rather than an •average' component is equi
H*(s) _ l1(s) saving onehalf a failure.
s{l f*(s}} . (7)
m  (c) If a::> p., the second term in (3) is positive. The intuitive
here is that a distribution with coefficient of variation of m
4.2. The asymptotic form of the renewal function one is likely to have appreciable probability near zero failu
Consider now the form of the function Ho(t) for large I. To study this, and that to start with a new component is therefore worse
we examine the behaviour of the Laplace transform H~(s) for smalls start with an •average' component.
result is approached. The following rough argument is applicable expansion (2,2). That is
when a <C p.. The first renewal is quite likely to occur in the range
1 1 a2_p.2
(p.a, p.+a). Hence Ho(t) changes from near zero to near one as t H!(s) = sp.
2+'2· 2 +.d!(s),
moves through the interval. The second renewal is quite likely to s p.
occur in the interval (2p.  a y2, 2p. + a y2) and the rth renewal in the where .d:(s) is a rational function of s with poles at Sh S2,
interval (rp. aYr,rp.+ aYr). Now it is clear that (3) will be inade follows from (2) that complex s) must occur in conjugate pair
quate so long as the rth interval has little overlap with the (r1)th that Re(s) < O. For the last point, note that if Re(s) > 0
and the (r+ l)th. A reasonable minimum requirement forthe applic
<10 <10
ability of (3) is therefore that r should be such that
1/·(s) 1 ~ I leSXI I(x)dx < II(x)dx = I.
ayr > p., i.e. r > p.2/~. o 0
In terms of I ~ rp., this means A separate argument easily shows that there can be no p
I > p.3ja2.
imaginary roots of (2), when failuretime is continuously distrib
(5)
We draw three conclusions for Erlangian distributions.
We shall make a more detailed investigation of this in the next section, (i) In principle (3) can be inverted explicitly in finite terms.
.d~(s) is in partial fractions, a simple root s) gives a term propor
4.3. A more detalled study of the renewal function to I/(ss), inverting into eSt'. A multiple root leads to a term
The study of Ho(t) from its Laplace transform (I .4) is typical of many Since Re(sl) < 0 these terms tend to zero exponentially fast as t
problems arising in renewal theory. 1t will therefore be discussed in (ii) The limiting formulae (2.3) is therefore rigorously prove
some detail in this section, partly in order to illustrate the methods the error term is exponentially small in t.
to be followed in dealing with other similar problems. We work all (iii) When the full inversion of (3) is very complicated, we ca
the time from the equation the next term to (2.3) by taking the nonzero roots of (2) with l
• s _ f*(s) real part. There are three main cases:
H o( )  s{1f*(s)} (1)
(a) a single simple (real) root SI leads to a correction term pr
First suppose that the distribution of failuretime is Erlangian, so tional to eS" ;
(b) a pair of conjugate complex simple roots Sl> S2 = s' ± is"
that /*(s) is a rational function of s, i.e. is the ratio of two poly
to a correction term proportional to e6" cos (s" t + E);
nomials. Then so too is H!(s). We can therefore split H!(s) into
(e) a single multiple root SI of order r+ I leads to a correction
partial fractions, obtaining terms
proportional to tT e8" .
(a) from the pole at s = 0,
If s} is a simple nonzero root of (2), the corresponding term
(b) from the poles at Sl, S2, ••• , the nonzero roots of the equation
partial fraction expansion of (1) is
(2)
H!(s) = v'P . . .
s{ v'(P+s) v'p}
We apply the complex inversion formula, but in comple
line into a closed contour we must exclude the branch poin
achieved by taking the contour C shown in Fig. 4.1. We co
as starting ats = c on the real axis with v'(1 +s/p) defined as
positive there. .Then
= pI lI
_+_e sin   + v'3cos (Ptv'3)}
3pt/ 2{(Plv'3)  . (9)
1= _1_
211';
fest H*fs)ds
0'"
3 3 3v'3 2 2 c
t a 2 _,.,.2
1=+
,.,. 2,.,.2
= 2pt+l,
since, in this case,
1
x ( i';x';p i';x';p
l)dx
s=c+i.R
';pe pt
7T
f
00
';xe xt
"'2 dx
(p+x)
o
H(t)
o
=t +
,.,.
~_,.,.2
2,.,.2
1
  27Ti
 (f + fJ ';peS'ds
s{';(p+s) ';p}
, 00
L, Ls h(t) = ~ k,(t) ,
,=1
where Ll and ~ represent the first and second paths along the
negative real axis from  p to  00. On LI> ~ the phases of s are as can be seen directly from the considerati.on that kr
respectively 7T and 7T, so that at s =  p x probability that.the rth renewal occurs in (t, t+ LIt). It fo
that for an equilibrium renewal process the renewal densit
';(p+s) = i';xonL h ';(p+s) = ;';xonLz. and equal to 1/,.,..
E
For an ordinary renewal process The limiting result for the renewal density analogous to th
co section 2 for the renewal function is that
h~(s) = :L {r(.~w
r=l
1
lim h(f) = _.
/*(s) I+co p,
(2)
If*(s) ,
This limit is easily derived formally by letting s '+0 in (2) or
whereas for a modified renewal process rigorous proof for distributions in the general Erlangian fami
be obtained by applying the complex inversion formula an
h!(s) = f1(s) (3) culating the contribution from the simple pole of h*(s) at s =
If*(s) rigorous proof for very general distributions of failuretime i
cult, although the result (7) is true under very mild restrictions
These also follow directly from (1.4) and (1.3.13). p.d.f. of failuretime.
An alternative interpretation of (2) and (3) follows on writing (3) as It is possible to show by examples that in approaching.its lim
the function hit) may
h!(s) = n(s)+h!(s)/*(s). (4)
(a) be strictly increasing,
Invert (4) and recall from section 1.3 that the Laplacetransformofa
(b) be strictly decreasing,
convolution is the product of the separate Laplace transforms. Then
or (c) oscillate around IIp..
we have that
t
hm(t) = fi(t) + I hm(tu)f(u)du,
o
(5)
It is clear on general grounds that (c) will arise when the distri
of failuretime has relatively small dispersion. For then hoCt) wi
to be large near 1 = p., 2p., ..• and tend to be small near t =
or, for the ordinary renewal process, ip., ... . The rapidity with which the oscillations will die o
depend on the dispersion of the distribution.
t
hit) = f(t)+ I ho(/u)f(u)du.
o
(6) 4.5. The variance of the number of renewals
In section 3.3 we showed that the limiting normal distribution
This is called the integral equation of renewal theory, and in some has variance u't/p,3. We now examine the variance in more
treatments of the subject is taken as the starting point. For a direct Results are obtained in simplest algebraic form by workin
probabilistic proof of (6) note that the probability of a renewal in directly with the variance of Nt or with the second moment
(/,1+ At) is the sum of about the origin, but instead with
(a) the probability'/(t) At, that the first renewalis in (/,1+ At); t/J{t) = E{N,(N, + I)}.
(b) the sum over uof the probability that there is a renewal near
t  u followed by a failuretime of length u. Clearly var(N,) = Y,(/)H(t)H 2(t).
Now "'(t) = ~ r(r+ l)prob(N, = r)
,=0 (6) that
t
~J {Ho(U)~+t}dU.
00
"'*(s) = 2p2(S+ pi
° S3(S + 2p)2
2f HoCu)du+·
"'.(t) = 
2t (6)
Therefore
I' I'
o
fact o(t 1). This is true when fL3 < 00 (Smith, 1959); as indic
section 3 the term is often exponentially small.
These results are easily proved rigorously for distribut
we have that
failuretime that have rational Laplace transforms. The
var(Nt(O» = tpt+ nr ipte 2pt  nr e 4pt. (11) terms in the expressions (II) and (12) for the special Er
distribution with two stages are easily recovered as special ca
For the corresponding equilibrium renewal process we have
directly from (7) that '
f
t 4.6. The higher moments
In principle the arguments of the previous sections extend
var(Nt(e» = ; (t+!e 2P ,,)du
calculation of the higher moments or semiinvariants of N
o example, the Laplace transform oftherth factorial moment o
(12) be obtained by differentiating G*(s, ~) r times with respe
at ~ = 1.
The corresponding asymptotic results are derived in general by The general asymptotic result (Smith, 1959) is that the rt
expanding (4) and (5) near s = O. We have that invariant of Nt has the form
* 2 u2
ifis) = 23 [ l+s+s
2{ fL 2 3u4 IL3 }] +0 ( 1) ,
+2 (13)
fL S fL 12 4fL 3fL S
2 2 4
where Ar is a function of the first r moments of failuretime a
if:(s) = 3 2[I+sfL2+U + s2 {fL2+ U 2_ fL3 }]+0(!). (14)
S fL 2fL 12 4fL 6fL S a function of the first r + 1 moments. The value of A" but not
the same for ordinary, modified and equilibrium renewal pro
Therefore, formally, by the argument of section 1.3 (iv), The asymptotic proportionality to t is intuitively very pl
2 4 because the numbers of renewals in long adjacent intervals ar
ifo(t) =
P 2u t+ ( +43
2+3 1 3u 2fL3)
+0(1) (15) independent. Hence a semiinvariant for the number of rene
fL fL 6 2fL 3fL '
the combined interval is nearly the sum of the semiinvariants
t
2
fL2 + u
2
if.(t) = 2+  3 t+ 6+2
u
4
fL3 )(1
4  3 +0(1). (16)
separate intervals, and this implies asymptotic proportion
tin (1).
fL fL fL 3fL
The leading coefficient Ar is most easily derived by using
·
Then,smceH () 2 2 2
o t = t/p.+t(u fL )/fL +0(1) and H.(t) = t/p.,wehave from the general theory of random walk, the socalled funda
from (2) that identity of sequential analysis (Wald, 1947, p. 159). The ar
var (N~o» = u 3t +
fL
2
(1 +
12 4fL
4
5u 2fL)
 4  _3
3fL3
+ 0(1), (17)
used here is different in type from those in the remainder of th
because an essential property of renewal processes, that the
variables X j are positive, is not used. However, it is proba
possible to obtain the constants v" or exact results about N
(18)
Wald's identity.
E[exp{ sSM,Mllog!*(s)}] = 1, (2) CHAPTER 5
where MI = NI + 1 is the number of failures at the first renewal point
past t and SM, is the corresponding time. The proof follows Wald's RecurrenceTimes
exactly and will not be given here. For large t we can write in (2), 5.1. The backward recurrencetime
MI ~ N I , SM, ~ t. Then we have that
We recall that the backward recurrencetime U I was def
section 2.1 to be the age of the component in use at time t.
10gE[exp{Mllog!*(s)}] ~ st,
Example. Suppose that we have a number of independent
or 10gE[exp{pMI }] ~ ta(p), tions of the same renewal process, for example a number o
(3)
ponents of the same type in use on different machines. Suppo
where a(p) is the solution for s of the equation to investigate the distribution of failuretime a survey is m
time t to obtain the ages of the components currently in u
logf*(s) = p, distribution ofthe observations will be that of UI'
i.e. logf*{a(p)} = p. (4) Now if there is no renewal in (0, t), U I is equal to t. Hence
The lefthand side of (3) is the semiinvariant generating function of prob(U1 = t) = $l"1(t),
M I , i.e. the rth semiinvariant is the coefficient of (pY/rL Also where $l"1(t) is the survivor function for the first componen
logf*(s) is the semiinvariant generating function of failuretime, so for x < t, we have, asymptotically in Llx, that the probability
that if Kr is the rth semiinvariant of failuretime (4) is lies between (x,x+ Llx) is equal to the probability that th
renewal in the interval (tx Llx,tx) and that the com
S2 s3
KjS+K2   K 3  + = p introduced then has failuretime greater than x. Thus the p.d.f
2! 3!'" . continuous part of the distribution of U I is
h(t x) $l"(x).
The solution for s in terms of p is obtained by reversion of series as
The special case of (1) and (2) applying to a Poisson proce
discussed in section 2.3.
Consider now the limiting distribution of U I as t '> ro
Tables for facilitating the calculation of (5) are available; see, for
°
oF I(t) '> as t '> ro, the discrete part of the distribution
ignored. Further, for any fixed x,
example, Bleick (1942). It follows from (4) and (5) that the first four
semiinvariants of NI are asymptotically lim h(tx) = l/fL,
t+ct)
If.the mean failuretime, p., is infinite, U, has to be standardized by ~ ff(u+X)dU = ~ ff(V)dv = .$1'(x).
p. p. p.
a sUItable power of t before a limiting distribution is obtained. o '"
If the renewal process is an equilibrium renewal process the This is the same distribution as found in (1.3) for the
renewal density is constant and equal to IIp.. Hence the exact distri recurrencetime. We can therefore call the p.d.f. (2) t
bution of U, is the limiting distribution censored at t. This generalizes distribution "of recurrencetime, without specifying wh
the result found for the Poisson process in section 2.3.
ward or forward recurrencetime is meant.
Consider the exact result (1) for an equilibrium renew
5.2. The forward recurrencetime
We have that
We now consider the forward recurrencetime, V" defined as the time .$1'(t+X') 1
measured forward from t to the next renewal. In other words v: is fl(t+x) = , h(tu) = ,
the residual lifetime of the component in use at t. ' , P. J.L
Example. In the example of section 1, suppose that observation of so that the p.d.f. is
a component is started at time t and continued until the component ,
fails. The frequency distribution of the observations is .t hat of V,. .$1'(1+ x) 1 f
Example. Consider a queueing process in which service is available
  +  f(u+x)du = .$1'(x)
 " .
p. p. p.
only at serviceintervals, which form a renewal process. A customer o
arriving at time t will have to wait a time V, for the first serviceinstant. Thus the limiting distribution of recurrencetime applies
Example. For any "of the stochastic processes discussed in the any t, to an equilibrium renewal process. This is clear al
examples of section 2:4, the time measured from t until the process interpretation of an equilibrium renewal process as a
nc:xt enters the' zero' state is the forward recurrencetime of a renewal renewal process that started a long time before the time o
process.
5.3. The limiting distribution of recurrencetime
For V, to lie in the interval (x,x+ .ax), either Consider now the p.dJ. .$1'(x)/p. obtained in sections 1 a
limiting distribution of recurrencetime. The distributi
(a) the first component has failuretime in the interval (t+x,
Jshaped; if failuretimes arbitrarily close to zero have po
t+x+ .ax), or
ability, there is a unique mode of .$1'(x)/p. at x = O. The
(b) forsomeu, a renewal occurs in the interval (tu, tu+8u)and
distribution is easily shown to be the only one for which
the component then introduced has failure time in the interval
tion of failuretime coincides with .$1'(x)/p..
(u+x,u+x+ .ax). (It is supposed here that 8u ~.ax ~ 1.)
easily found from the Laplace transform, namely from the result Weibull type (section 1.4).
(2.2.1) that If we deal not with the limiting distribution of recurren
1/",(s) with Ut or Vt for finite t, a more complicated analysis is
~{~(x)/p.;s} = . (1)
sp.
5.4. An alternative derivation of the limiting distribution
Now the rth moment about the origin is the coeffiCient of (sY/r! in There is an instructive alternative derivation of the p.
the Taylor expansion of the Laplace transform. Hence, if and p.; m; which we now consider. First associate with the p.d.f,f(
denote the rth moments about the origin of the limiting distribution time, ·the p.dL xf(x)/p., said to correspond to lengthbias
of recurrencetime and of failuretime, then off(x).
, The statistical interpretation is that we sample from a
m; = ftr+1 . (2)
of failuretimes distributed according to f(x), the pr
selection of any individual in the population being pro
(r+ l)ft
its length, x. It is easily seen that this leads to the p.d.f
If mr and ftr denote moments about the mean and u 2 = P.2 is the the failuretime selected.
variance of failuretime, we have that Example. An idealized model of a textile yam is .an
parallel fibres, with p.dJ. of fibre length, f(x). The fibre
(3) arranged at random along a line. Take a particular cro
the yam, i.e. a particular point on the line, and consid
that intersect this crosssection. This is lengthbiased s
(4) p.d.f. oflength of the fibres selected is xf(x)/p..
Example. Suppose that in order to investigate the di
m3 = ft4+ft3(1_
4ft 2
u:)+ u2ft(1_
ft · 4 ft2
3u +p.4(
2 4
). (5)
failuretime in a renewal process we record the age at f
component in use at SOple fixed time t, a long time from
the process. Let this be done for a number of independen
. In particular, equations (3) and (4) give the mean and variance of the of the same renewal process (see the examples in sectio
limiting distribution of recurrencetime. Then the resulting observations will have the lengthbias
As indicated in the examples in sections I and 2, it may sometimes distribution.
be required to obtain the distribution of failuretime from the distri
bution of limiting recurrencetime. There are various ways this can be Consider for any renewal process a recurrencetime, W
done. One is to fit a smooth curve to the distribution of recurrence the following way. First, we take a sampling point chose
time and then to differentiate. For the moments of failuretime we can over a very tong time interval. Then W is defined as the tim
use the reciprocal of the estimated ordinate at x = 0 of the distribution from the sampling point forward to the next renewal.
of recurrencetime to estimate p. and then the relations (3)(5) to same properties would hold for the time measured from
estimate higher moments. Alternatively, a functional form could be point back to the previous renewal. It is clear that
assumed for one or other distribution and the parameters estimated, (a) if X denotes the failuretime of the component in w
say by maximum likeJ.i!lQ9d. One assumption that leads to moderately sampling point falls, then X has the lengthbiased p.d.f
so that Hm{t) = Hit+ to) Hito)
(b) conditionally on X = Xo, the p.d.f. of W is rectangular over
(O,xo)' and hm(t) = ho(t + to)·
Hence the conditional p.d.f. of W is Here quantities with suffix or superscript 0 refer to an
l/xo (0 ~ x ~ xo), renewal process, whereas those with an m refer to the
process starting after time 10'
o (xo < x). Suppose that the distribution of N,(m) is required. By
Laplace transform of the probability generating function
Thus the unconditional p.d.f. is
an arbitrary modified renewal process is
G*( ~) = {lU*(s)(l~fr(s)},
(1)
m s, s{l U*(s)}
5.5. An application to the number of renewals in an arbitrary interval Now to simplify (5) and (6) it is natural to apply a secon
A modified renewal process was defined in section 2.2 as having the transformation, this time with respect to 10' Define
p.d.f. of the first failuretime, XJ, not necessarily the same as that of 00
the failuretimes X 2 , X 3 , •••• One way in which such a process can
arise is by taking the time origin not immediately after the insertion
ftt(s;so) = f es"'ft(s;to)dto
o
of a new component as in an ordinary renewal process, but instead at
a time 10 later. The first failuretime in the modified process has then with a similar definition for G~t(s,~;so). We have direct
the distribution of a forward recurrencetime, V", as given by (2.1). that
Certain results for this special modified renewal process are G*t( ~. ~ = {l~f*(s)}/so(1~)trt(s;so)
obvious. First, m s, ,So s{lU*(s)}
(1)
AI Al ++
+2 At 0(1),
jft(s;so) = {f·(s)f*(so)}{1+h~(so)}. (9) .,.• t(s· so) =
't'm' S3 S S
sos
This is a very general result, although it is not too easy to extract We have noW to invert the Laplace transformation with a
from it useful explicit formulae that cannot be obtained more simply For this remember that, by (4.1.4), the Laplace trans
by direct arguments. In principle, however, for general Erlangian renewal function Ho(t) in the ordinary renewal process i
distributions (11) can be inverted explicitly. A closely related result
to (11) can be obtained for the function tPm(t) considered in section 4.5 /*(s) 1 1
     +
s{l/*(s)}  s s{l/*(S)}
.
in connexion with the variance of the number of renewals. In fact if,
for a modified process starting at to,
1
Hence .!l'{l+Hit);s} = s{l/*(S)}
j ~{l~f*(S)}·
we have by the arguments of section 4.5 that
and .!l'(t+ Ho(u) du; s) =
2ft(s; to) (12)
tP~(s; to) = s{1f*(s)}2'
Hence the inverses of At. Al,At are
whence
.t . _ 2{f*(s)f*(so)} (13)
tPm(s,SO)  s(sos){If*(s)f{I/*(so)}
; I
I. (i) in the present chapter, a process formed by superpos
Aiu)du+o(l), (16) ordinary renewal processes;
(ii) in Chapter 7 an alternating renewal process in whic
o
components of two types, not necessarily with the same d
where (17) of failuretime, and in which a component of one type
replaced on failure by a component of the other type;
(iii) in Chapter 8, a cumulative process, in which w
is the difference between Ho(l) and its asymptotic expression, and is
failure in an ordinary renewal process is associated a random
typically exponentially small in t. In deriving (16) it is assumed that
Wi> which mayor may not be correlated with the failuret
Ao{t) is o{rl); see section 4.5.
component. For example, Wi might be the cost of replac
Thus the calculation of the limiting variance as 1 ~ 00 requires only
component. We then study the cumulative sum of the W
the calculation of the renewal function of the corresponding ordinary
failures that have occurred up to the time instant
. under cons
renewal process.
(iv) in Chapter 9, some miscellaneous generalizations.
Procus 3 J
I
I I I
j¥
I
I , {G(t,~W,
I
I
I
I
I II
I I I
¥
,I
If, I
, where G(t,O refers to an individual process.
I I
Pooltd
Output I
I
~
I
~ "
,'e',
I
,t, If ,'(
I
,',
I
~
In section 3.1, we used the relation (3.1.1) between N
" time up to the rth renewal, to calculate for a single ren
the properties of Nt. Now if S rep) denotes the time up to
FIG. 6.1. Superposition of three renewal processes.
in the pooled process, the properties of S,(p) are not dir
able. We therefore use (3.1 .1) in reverse to relate Sr(p)
sequence of pulses from anyone neuron forms a renewal process, the particular the survivor function for Sr(p) is equal to
combined sequence of pulses at the central nerve cell has the structure prob(Sr(P) > t) = prob(N,(p) < r),
to be analysed below. A similar superposition of sequences arises in
some types of spontaneous subthreshold activity at motor nerve which is equal to the sum of the coefficients of ~o, ... ,
endings. Thus Fatt and Katz (1952) found that at the tips of certain Equation (3) is useful for exact calculation if p and r are
manybranching nerve endings, there are a large number of active and the distribution of failuretime is a special Erlangian
spots, each giving rise to localized electrical pulses in the muscle fibre for which G(t,O can be computed explicitly.
with which they make common contact. We can also obtain from (3) a general asymptotic resu
Example. Suppose that p similar components are in use simul For large t, the N!I) in (1) are independently normally dis
taneously and that initially a stock of r1 spare components is meant/p. and variance u 2 t/p.3. Hence N,(p) is asymptoti
available. Then, unless more spares are obtained, the system can with mean pt/p. and variance pu2 tfp.3. We can now reve
operate for a time determined by the occurrence of rth renewal in ment of section 3.3 and show that Sr(p) is asymptotically
the pooled output. mean PT/p and variance u2r/p2.
6.4. The mean time up to the rth renewal In particular, where p = 2, we have that
It follows from (3.3) that
E(S,(2» = r+ i.
~ ~
1: {'prob(S,(p) > t) = 1: {'prob(Nt(p) < r) If p. is the mean failuretime, equal to 2 when p = I,the ge
,=1 ,~I
for this type of distribution is
~
pE(S,(p» = (r+pl)p.
f
~ ~ (pl) x expected forward recurrence
and hence L"
,=1
E(Sr(p» = 1~ {
0
{G(t, O}p dt. (2)
where the forward recurrencetime is that of one of the c
not forming the rth failure. If rIp is not small, it is rea
As an example, suppose that the distribution is special Erlangian approximate by the expected limiting recurrencetime !{
with two stag~ and, for simplicity, with p = 1. Then Thus
p.
dujPl.
§"(X)(I"" .F(u)
p_ .
p.
(1)
output, and take as a standardized variable Ypl E( Yp) =
say. Then the survivor function for Zp is, from (5.2)
x
Now, as noted in section 5.4, the formula relating the limiting p.d.f.
of recurrencetime to the survivor curve of failuretime applies to
j
9O(X;).( 9O~U) dujPI
much more general processes than renewal processes. In particular; xp/p
it applies to the pooled output. Therefore, since the mean interval
between successive renewals is p.lp, we have that xp.
XIS/P
/F(u)
jPI
= 90(;) 1 f ,;du
~(x) _ §"(x>(I"" du
  p
/F(u) jPl, (2)
(
p.lp p.
x
p. x
The limit of this as p+ 00 with and p. fixed is x
, e
r'}
continuous as u+O+ and 90(0) = 1. A similar argume
where ~(x) is the survivor function corresponding to g(x). Thus
to show that, asymptotically, adjacent intervals in the
~  ~ [ ,(x{["~'l do
are independently exponentially distributed.
g(xl (3) Some results assessing the rapidity of approach to
given as exercises.
large telephone exchange is the pooled output
period 1= vfL/P, as P + 00 with v and fL fixed. We suppose. thatthe sequences arising from single subscribers. Hence th
component processes are equilibrium renewal processes and make the can be expected to be locally a Poisson process m
very mild restriction on failuretime that as x+O pendently of the form of the individual sequences.
that we have for statistical analysis a sequence of
F(x) = O(x/3)
pooled output of independent processes. The
for some {1(O < (1 ~ I). Then in a single ordinary renewal process behaviour, in particular of the intervals between su
will give little or no information about the form
Gil, 0 = 1+ 0(1/3), processes.
{
I + v('l)
P
+0(_1 )}P
p1+/3 .
,.., exp{v(~l)},
(6)
be the estimate of the probability that a Type I cOmpone
where, by (4), or, equivalently, of iLt/(iLl +iL2).
Example. Consider one or more machines, each of whic
{ltr(s)} {l f!(s)}
(7) instant, either running or stopped. A widelyused metho
s2{1tr(s)f!(s)} mating the proportion of time machines are running is
machines at isolated time points, to record as 'running' or
In general if 7T~)(t) is the equilibrium probability, given .that a
with an obvious generalization if there are more than two
Type i component is in use at the time origin, that a Type j com
to estimate by the proportion of sampling points that are
ponent will be in use t later, then
It is important that the sampling points are fixed by a m
subject to observer biases. Sometimes randomization is n
(e)(t) _  iLl
7T1I   +1lT(t)
, avoid trouble from possible periodicities, but in many a
1'1 + iL2 iLl systematic sampling of each machine, i.e. observation at ex
time intervals, .::I, will be appropriate. The question then ar
7TW(t) = ~ 1lT(t), 7T~1(t) = ~+ 1lT(t). (8) the precision of the resulting estimate depends on .::I. If we a
iLl + iL2 iL2 iLl + iL2 iL2 the 'running' and 'stopped' intervals on each machine
The determination of 1lT(t) raises the usual inversion problems. In alternating renewal process, the following theory show
particular if the failuretime distributions are special Erlangian with variance of the estimate depends on .::I. The assumption th
the same value of p and with al and a2 stages, then iLl = adp and machine defines an alternating renewal process, while rea
the present purpose, will usually lead to an underestimate
al a2 {(p+s)O'_pO'}{(p+s)O'_pO,} variance of the estimate, because of the neglect of longte
1lT*(s) = (9) in raw material, etc.
p(al +az)s s2{(p+s)o.+o'_po,+a,}
~l ~2 2 00 1 ~1~2
var ( Z) "' .( _,2+ ( _, L
00
'fIT(k.d). (7) i.e. L 'fIT(k.d) = 'fIT*(0)   + O(.d),
n~l+~']J n~l+IL']Jk=l k=l 2~1+~2
For the alternating Poisson process, we have that since, in (4.8), 7T~~)(O) = 1.
Hence, using the exact form (6) for var(Z), we have tha
~l ~2
'fIT(t) = exp   • (t t) long period of observation to, as .d +0,
ILl + IL2 ~l ~2 2'fIT*(O)
var(Z) '" .
tO~l+~,)
whence
It can be shown that the retention of the term arising from
adds to the expression (10)
where ,,= exp(~~). ILl ~2
(8)
2'fIT*/(O)
(IL22Ul2+2 2)
ILl U2 ,
var,..,
(Z) (12) CHAPTER 8
to(1L1 +ILz}3
a result that can also be obtained from first principles. Cumulative Processes
For the alternating Poisson process, this becomes
2 2 2 8.1. Introduction
var(Z),.., . ILl1L2 • (13)
to(ILI + ILz}3
In the previous chapters there has been associated with th
ponent one random variable, Xi' the failuretime. We thin
We therefore have from (9) and (13) that the ratio of the variance as a point event occurring after time XI' Suppose now tha
of Z for n observations spaced LI apartto the variance for continuous variable Wi is associated with the failure of the ith comp
observation of the same section of the process is and XI possibly being dependent. It is assumed that {Wi
pendent and identically distributed and that Wi is indepen
H:/ :Jx!~~. (14) (j:f:. i). Consider the random variable Zt defined at time t
Nt
This can be derived alternatively from (8) and (9) by letting LI+O. ~ Wi (Nt = 1,2, ...),
Table 7.1 gives some numerical results based on (9) and (14). Z, = 1=1
o (N, = 0).
Table 7.1. Systematic sampling of the alternating Poisson
process to estimate proportion oftime Type I components are That is, the Wi are summed for all components that have
in use. Ratio of variance of sample estimate to that based on
(0) same number of independent observations and (b) con before t. The stochastic process of values {Z,} is called a
tinuous observations for the same length of time (equation process (see Fig. 8.1).
(14». Example. If the Wi are identically equalto one, Z, = Nt, t
1'1/1'2 = 1 1'1/1'2 = 2'5 1'1/1'2 = 00
of renewals up to t.
(0) (b) (0) (b) (0)
Example. Consider an industrial replacement problem
LI/1'2 (b)
0·2
be the cost of replacement for the ith failure. Then Z, is th
5·07 1·01 7·19 101 10'03 1·00
0'4 2·63 1'05 366 1·03 5·06 101 of replacements up to time t.
0·6 1'86 H2 2·52 1·06 343 1'03 Example. Suppose that the input into a queueing or stora
0·8 1·51 1·20 1·97 HO 2'63 1·05 is formed as follows. There is a series of arrival instants
Poisson process, or more generally a renewal process. The
1·0 1'31 131 165 116 2·16 108
1·5 HO 1·66 1·28
customers, or amount of material, arriving at the ith·arri
134 1'57 118
2'0 1'04 2·07 113 1·58 131 131 is Wi' The random variable Z, is then the number of cus
3·0 1·00 3·01 1·03 2·16 110 166 amount of material, to have arrived by time t. We often
be independent of Xi'
Example. Consider a component subject to wear prod
series of blows. Let the blows occur in a Poisson proces
91
time t. the same as the total stopped time up to t, Z; say. Acc
Smith's more general definition, Z; itself is a cumulative pr
The general concept of a cumulative process and the asymptotic asymptotic properties of Zt and Z; are the same.
results to be sketched below are due to Smith (1955, 1958). His
definition is, however, more general in that the process {Zt} is not In these examples Wi ~ O. This is, however, not in genera
in the following sections.
i
WI
distribution is discrete, it will usually be simpler to work
probability generating function, E(,w), but this can
recovered by writing p =  log' in .g(P).
Similarly, write ·[(p;t) for the moment generating func
1 The function ·[·(P;s) will be the Laplace transform with re
i.e.
co
FIG. 8.1. A cumulative process.
x Renewal.
I e st E(ePZ')dt.
o
The conditional distribution of Zt> given Nt = r, is the r
required to change only at renewal instapts. Provided that (1) holds
volution of the distribution of Wi' Hence
when t is a renewal instant, and some regularity conditions are
satisfied, the process is a cumulative process.
E(ePZ'IZt == r) = {.g(p)y,
Examp[e. Consider the renewal process formed from failures of
Type II components in an alternating renewal process. The ith and, therefore,
failuretime is then X; + XI, the sum of the corresponding Type I and
Type II failuretimes. Let WI = Xi'. Then Zt is the sum of all Type II co
·[(p;t) = E(e Pz,) = I: {·g(p)}'prob(Nt = r)
failuretimes up to time t, excluding the failuretime of a Type II com ,=0
a~gument *g (p ). !he Laplace transform of thill with respect "to t is dardized variable
given for the ordmary renewal process in (3.2.4), from which
*/*(p;s) = If*(s)
s{l  *g(P)f*(s)} (5)
we get, as t + ex) ,
This: .while an attractive general formula, is unlikely to lead to e P'/2{1 + o(l)}.
expliCIt answers except to rather simple problems.
The ~p.lace transforms of the moments of Z, can be found by Thus Z, is asymptotically normal with mean and varian
expandmg m powers ofp. Alternatively, we may argue in terms of the
elementary properties of conditional expectations and variances as fLwtlfLx and a;tl fLx+ fL;a; tlfL!'
follows. ' The expressions (12) are, of course, obtained directly fro
Since, if /Lw and a; are the mean and variance of W, on replacing H(t) and var(N,) by their asymptotic value
The same type of argument shows that the limiting di
E(Z,I N, = r) = rfLw, var(Z,1 N, = r) = ra;, (6) (N"Z,) is bivariate normal with correlation coefficient,
we have that (7)(9),
= H(t) fLw,
E(Z,) = E(N,) fLw
var(Z,) = H(t)a;+var(N,)/L;,
(7)
(I + ~i) 1/2'
(8)
cov (Z" N,) = var (N,) /Lw' where Yw = awl fLlY and y x = a xl /Lx are the coefficients
(9)
of Wand X.
The mean and variance of N, have been studied in Chapter 4.
Further, for given large r, Z, is nearly normal with mean and 8.3. The cumulative process associated with a Poisson pr
variance (6). Hence its moment generating function is nearly The most important special cases of the results of section
the renewal process is a Poisson process, of rate p, sa
(10) moment generating function of Z, is
The ~conditional moment generating function is the expectation of *l(p, I) = E(e Pz,)
(10) WIth. respect to the distribution of N" which itself is nearly 00
P
nO~1 WIth mean t/fLx and variance ta;//L!. For clarity, we write /Lx = "" {*g(pW(ptYe '
and a x for the mean and variance of failuretime, previously denoted L...
r~O
r!
2
by fL and a . The expectation of (10) with respect to the asymptotic
distribution is = exp{pt*g(p)pt}.
When the distribution of W is discrete there is an exactly
ing equation for the probability generating function of Z"
*g(P) in (1) being replaced by the probability generating
W. The semiinvariant generating function of N, is the log of (1) and 8.4. The first passage time
the rth semiinvariant, being the coefficient of ( pYlr!, is pt times Insomeapplications,forexamplethatofsectionlO.4,weareinte
the rth moment about the origin of W. not' directly in the distribution of Z, for fixed t but rather in the
The following are among special cases of possible interest in Tb , say, taken for the process {Z,} to reach or cross a barrier at
applications. the socalled first passage time. General methods for investi
(i) Twopoint distribution for w. Suppose that prob(W = 1) = 0, first passage times have been much discussed in the theory o
prob(W = 2) = 1 O. Then the probability generating function for chastic processes (Kemperman, 1961). Here, however, we sha
Z,is only with the relatively trivial situation where all the increme
exp {ptO{ + p/(1 8){2 pt}, (2) are positive. It is then impossible for the process {Z,} to r
the barrier and therefore
from which the distribution of Z, is easily found.
(ii) Geometric distribution for w. Suppose that the probability Tb > t if and only if Z, < h.
generating function of W is (1 8){/(1  00. Then the probability This is a generalization of the relation (3.1.1) which was f
generating function of Z, is mental to the discussion of N, for renewal processes. Indeed
increments Ware identically one, Z, = N, and Tb = Sb, the tim
Pt({l)} to the bth renewal, for integral b. In this special case, the prop
exp { (100 . (3)
of Tb can be obtained directly and we use (1) to investigate Z,.
(iii) Exponential distribution for w. This is sometimes a plausible as also in section 6.3, we argue in the other direction, from Z,
model for the wear process mentioned in section 1. H the rate para For simplicity, suppose that the distribution of W is contin
meter is A, the moment generating function for Z, is, from (1), H q(x;b) denotes the p.d.f. of Tb and, as in section 3, l(x;t) the
of Z" then, by (1),
b
f q(x;b)dx f [(x;t)dx.
<Xl
f .q(p; f ·[(p;t)eS
<Xl <Xl
(5)
·q·(p;s) = b) e sb db, ·[·(P;s) =
The first term in (5) corresponds to a discrete probability e P' at o 0
Z, = 0, and the second term to a p.d.f. Then an application to (2) of a Laplace transformation with r
to t shows that
) (P~A) e p,Ax Id2v'(ptAx)}, (6) 1·q(p;b) = j[.(X;P)dx,
P 0
where In(y) denotes a Bessel function of imaginary argument. b
Similar results hold when the steps W have a special Erlangian
distribution.
i.e. that ·q(p;b) = 1p f [·(x;p)dx.
o
Now Am+I/(S+A)m + I is the Laplace transform of AeAb(
1 P'*l*(s;p).
*q *(P; S ) =  Hence
(3)
S s
Equation (2.5) gives *l*(p;s) and we therefore have that
( ·h) e
qx,  pxAb L0() m+I
P
m!
m (M)m
x .
m!
m=O
*q*(P;s) = P , (8)
SP+PA+SP
p (spx)
q*(x,s. ) = exp  __
(9)
Now average over all Xl> •.. , X, that lead to Xl + ... + X,
S+A S+A
Finally, taking expectations with respect to Nt, and using where 'TJx is the deviation from the regression line at x and
E(Nt) '" t/iLx, var(Nt) '" to';/IL!, we have that
E('Y)x) = E(X'Y)x) = 0, E('Y)~+O'~ . x) = O';(1p;x
(7)
The last quantity is the mean square deviation from regressi
The difficulty in repeating the argument lies in assessing th
butions of 'Y)x to (5) and calculating the variance (6). We sha
into details. The results and rigorous argument are due
(1955).
As an illustration, consider the last example of section 1,
(8) Zt is nearly the total time up to t for which Type Il compon
in use, Nt being the number of Type IT renewals. Since
O'WILXPwx) () = Xi + XI', Wj = Xi',
cov (Z" Nt ) '" ( ILw ax var Nt Xi
we have that
0'WiLx pwx) 0'3; I . JLx = iLl + IL2' iLw = JL2,
(
'" ILw
ax JLx
(9)
0'; = O'I+O'~, Pxw = 0'2/(O'I+a0 1/2, 0'; = O'~.
It follows that the asymptotic correlation coefficient is Hence
i'w E(Zt)"'~'
1 Pwx iLl + IL2
corr(Zt,Nt) "" ( 2 i'x )1/2 (10)
(Z ) I( O'~ iL iL~ O'I)
I+
1+i'w2 2p wx i'w var t"'" (iLl +IL~3 '
i'x i'x
where i'w = O'w/ILw and i'x = O'x/ILx are the coefficients of variation of (IL2 O'I  IL I O'b
corr(Z"Nt) ,..., 2 2 2t?o 2~
WandX. .y {0'1+0'~(iL2 I +ILI 2)}
The argument of section 2 can be used to make it plausible that the For the alternating Poisson process,
limiting distribution is bivariate normal, and this is indeed so.
The formulae (7)(10) hold without the assumptions (I) and (2) of 2tILI JL~
var(Zt) '" ( _\3' corr(Z/>Nt),..., 0.
linear regression of Wor X, the quantity Pwx still being defined as the iLl + iL21
correlation coefficient between Wand X. To deal with the more
general situation, we replace (1) by the leastsquares regression line Thus, the number of Type n renewals and the total time for
of Won X (Cramer, 1946, p. 272), writing Type II component is in use are asymptotically independent
In the next few sections we consider the extent to which the results
and methods of renewal theory, especially those concerning the
number of renewals, Nt> require the full force of A, Band C. For
simplicity we continue to deal only with failuretimes having a con
tinuous distribution, although nearly all the discussion applies with In general assumptions A and B can be relaxed to a gre
only minor change if the distribution is discrete. We shall outline (I) will still hold. In most of these cases the limiting ren
various generalizations, especially of the asymptotic theorems of
renewal theory. Full details will not be given, because it is not clear will be I/fL·
Very .
similar remarks apply to the result of sectlOn7
which, if any, of the generalizations are likely to be sufficiently useful alternating renewal process the probability that a Type
to warrant thorough study. is in use a long way from the time origin tends to
9.2. Some results based on the Jaws of large numbers fLd(fLl + fL0·
The result of section 4.2 that
H(t) = E(Nt ) ~ tlfJ 9.3. Some limiting results based on the relation betwee~
(I)
A more useful limiting result than (2.1) is the asymptotic
is an almost direct consequence of the physical interpretation of the Nt with mean tlfL and variance (12 tlfL3 (sect~on 3.3.). For
mean failuretime, fJ, as a longrun average, combined with assump assumption C, plus the asymptotic normality of S"
tion C of section 1. For if r is any very large number
S, = XI+"'+X,
(2)
• 2
[102J with mean rfL and vanance ra .
F all certain situations involving correlated failure
pendent but not identically distributed random variables are well deal~wi~ by the use of Erlangian distributions. For ex
known (Loeve, 1960, section 21). If we add to these conditions the and X 2 be two failuretimes of the form
requirement that
E(X1) + ... + E(X,) ~ r/L, var (Xl) + ... + var (X,) '" ru 2, (2)
X2 = Z ab+l + ... + z a+Za+l+ ... +
the required result about Nt will follow.
where the Zi are independently ~xpo~e~tiallY. ~s~~~~~
If we have correlated failuretimes, the asymptotic normality of S,
will follow under fairly weak assumptions. We require also that meter Then XI and X 2 have IdentIca SpecI
tions ~ili a stages and the correlation coefficient betwe
is bla. Further
,
var(S,) = k var(Xi )+2 ~ cov(Xi,Aj) '" ru 2• (3)
X I fX2 = {ZI+",+Zab+ Z a+1+",+ Z 2a
i=1 i>j +2{Za_b+I+",+Za}
2
The quantity u is no longer directly related to the variance of an and hence has Laplace transform
individual failuretime. Some special cases are given as exercises.
2b
C:sf C:2Sr
a
9.4. Some exact results 
We have seen in sections 2 and 3 that limiting results about Nt can be
obtained under much weaker assumptions than A, B. However, to Su ose now that b < la, that any two adjacent fail
obtain exact results about Nt it will nearly always be necessary to find pP. . bl d that any two nonadj
correlation coeffiCIent a an . 'alErlangian
some explicit properties of XI + ... + X, for every r, for example an timesareindependent.. Then,ag7fo(;s)pec~ (2) The las
expression for the p.d.f. or for the Laplace transform. The formulae we have a representation exten mg an :'1
of section 3.1 can then be used. Situations where explicit calculation are the first b Z '..
s lor X i+" and .so on'Then
.
S, IS easld y b
is possible are likely to be very special. The following are three sum of ra  2rb +2b Z's, each With coeffiCIent one, an r
examples. with coefficient two.
First, there may be a small number of different types of component Hence the p.dJ. of S, has Laplace transform
occurring in a simple order, for example cyclic order. This is a direct
(p+s
~),a2'b+2b (_p_)'bb.
generalization of the alternating renewal process studied in Chapter 7.
Secondly, suppose that the failuretimes are independent and that p+2s
the p.d.f. for the ith component is of the special Erlangian type with . H (t) in the analogue
af stages, and with rate parameter p, the same for all components. Considertherenewalfunctlon, 0' • 41
renewaI proce.ss Then , by the argument of sectIOn . ,s
Then S, has the same type of distribution, with al + ... +a, stages. to the sum of (5) from r = 1 to 00. Hence
Hence, exact properties of Nt can be found, especially if the partial
sums of the sequence {ai} have simple explicit expressions. This seems pQ(p+2si
a very artificial situation.
t + 00 fo hi h ' 1 er e ffiltmg form of H (t) as At time 'T = 1, it moves to Xl' At time 'T = 2 it jump
, r w c we expand (6) as s+O. We get that 0 its position now being defined by 8 2 = Xl + X 2• A
position is 8, = Xl + ... + X,. We now have a simple
H.')
o \s
p
= :2+ b aI
as as 2as
 + 0(1) ' one dimension in discrete time. The ordinary ren
Chapter 2is the special case where all the steps in t
are in the same direction.
whence o t · = P t+ {b
H() aI}
    +0(1) (7) The quantity 8, previously studied as the time to t
a a 2a ' now the position of the particle after r steps, and is ea
quantity previously denoted by Nt, the number of r
a~ ~+;002NTh
ow thee mean and variance of failuretime are IL = alp and
a  a p • us 7) can be written now has two possible generalizations;
7T/(x),the conditional probability that failure is of Type i given that One special case of these formulae is when the un
failure occurs at x; Ij(x) are exponential with parameters PI' Then
fi(x), the joint probability  p.d.f. that failure is of Type i and
occurs at x; 7Tj = P;/(Pl + pz),
f(x), the p.d.f. of failuretime; the p.dJ. of failuretime is exponential with parame
7Th the probability that failure is of Type i. failuretime and type of failure are independent.
the Type i failure. In the second, singlerisk, model thes
X, and type of failure in terms of the underlying distributions /j(x). distributions are the underlying distributions of failur
Conversely, corresponding to a given joint distribution of X and type doublerisk model
of failure, there is a unique pair of distributions [j(x).
For the survivor function of X is SW"(x) = 7TleA,x+7T2e>',x
= 2'1(X)2'2(X). (9) so that from (11), the p.d.f. [leX) of the underlying d
Type I failuretime is
Therefore, by (2) and (9),
/;(x) [j(x) ~te>',x exp 
( JX ~l \ \
SW"(x) = 2'j(x) = q,j(x). (10) 7TleA,X+7T2e>',x 0 7TI+7T2e(I\·I\,)
PI (X
 iP ( )
) I x f
:x
'\'(u) A(u) iPo(u)
iP (u)
1
du, (7)
buted random variables independent of the renewal proces
is additive, we have a cumulative process of the type di
o section 8.3 and the theory of first passage times in sectio
where apply.
o
f xf(x)dx+tc .1F(tc) =
0
f .1F(x)dx.
Strategy B. Detailed analysis will be necessary also to f
mum value of tb' All that we can say from (5) is that t
consistent with (4) the better. A good approximation to
Consider a very large number m of components. The expected total tb will usually be given by that value for which Ho(tb) fall
cost involved in replacing them is its limiting form (4).
For Strategy C, we have from (3) that Cc+c./p. as
m.1F{tc} cp + m{l .1F(tc)} cs'
f
00
The expected length of time for which the components are in use is .1F(x)dx = p..
te o
m f .1F(x)dx
o
Hence a sufficient condition that Cc is preferable to CA
an increasing function of tc for large tc' Now
Hence the mean cost per unit time of Strategy C is
o
f .1F(x)dx
It is possible to find simple sufficient conditions for Strategies Band
C to be preferable to Strategy A. First, by (4.2.3), as tb + 00,
Ib 0' p.2
Hitb) = p. + p.2
2 +0(1). (4)
The optimum value of te can be found in a more detailed investi The condition that it should be profitable to allow idl
gation of C c made from the simple formula (3). take td > 0, is that the partial derivative of CD with respec
be negative at td = 0, i.e. that
11.3. A strategy involving idle time Cs > ci·
In some applications where strategies similar to B are used the
following complication may arise. If a failure occurs just befor~ one In particular if ci = 0 it is always profitable to allow idle
of the planned replacement points tb, 2tb, ... , it may be preferable to Assuming (4) to be satisfied, we can find the optimum
postpone replacement until the planned replacement point. As a denoted by i d , by equating the partial derivative to zer
result the system will be idle for a certain time, or, perhaps more equation
realistically, may function less efficiently. Let the cost of a period of
idle time oflength t be cj+ ci t, where possibly cj = O. This can be solved for td when the survivor function and
We consider Strategy D defined as follows. known. However, it is likely very often that tdwill besm
Strategy D. Let replacements be made as in Strategy B, except that when
if a failure occurs in an interval (rtb  td, rtb), the system is left idle
up to time rtb (r = 1,2, ... ).
If the functions Hit) and hit) vary little over a per
To evaluate CD, the cost per unit time for this strategy, note that
treat hitbX) as constant in (3) and also can write
the mean number of service replacements per period tb is Hitb  td)'
It remains to find the contribution of idle time to the mean cost per Ho(tb  td) ,.., Hitb)  tdhitb)'
unit time. Now for any period the idle time is equal to
Thus
where Utb is the backward recurrence time of section 5.1. The p.d.f. of
= CB +hitb)
  ( cstd+citd+~Ci
1 " 2)
td' I
tb
Utb is hitbX)§'(X) for x < tb, where ho(t) is the renewal density.
Hence the contribution of idle time to the mean cost per period is When tdis given its optimum value (6), we have that
ho(tb) (c s ci)2
td
The mean failuretime is (>.+ cP 1)/{cp. (A + cPo}} and hence the cost
per unit time for Strategy A is For the second calculation, consider the stocha
by the wear of the component currently in use
c  CPt(>'+cpo)cs ponent with zero wear fails, no transition in t
A  (>'+CPt) • because the new component has zero wear.
assumptions, the transition probability densities a
Thus CE < CA if and only if
the process is the simplest type of Markov process
If poet), Pt(t) are the probabilities of zero and u
(2) consideration of transitions occurring between (t
Po(t+ At) = Po(t){I>'.1t}+ Pt(t)CPl .1
The condition most favourable to Strategy E is that in which failures
never occur at zero wear, CPo = 0, but occur very soon after transition and Po(t)+Pt(t) = I, PoCO) = 1.
to unit wear, i.e. CPt ~ >.. Then (2) becomes cplcs < l.
>.
1.'0calculate the cost per unit time for Strategy F, consider one Hence P.(t) = >'+CPt{le<,\+<P.)t}
penod of length t,. Since the component in use at the beginning of a
C = Cs H oC tj)+Cp Pl(tj)
F APPENDIX I
tj
Chapter 5. Recurrencetime problems are important in stochastic Chapter 11. The extensive operational research lite
processes generally and Bartlett (1955, pp. 5667) has given a rather ment theory is reviewed by Dean (1961). Replace
general discussion. Takacs (1960) has given an argument equivalent measured wear is considered by Mercer (1961) and b
to that of section 5.4. Owen (1949) and Skellam and Shenton (1957) Crookes (1961) has discussed the formulae of sect
have discussed the number of renewals in an interval not starting at more detail and has given tables and graphs for us
the origin. special Erlangian distribution of failuretime.
~ ar(IIX)sa
SI",
and that Ht(s) ~ ar(1 IX) , Extend this to show that if Nt, Mu refer to interv
implying that as t '; co t+T+U), then for small positive T a term tT(,.,,2u
ta. ta. sin (1X1T) added to the covariance. (Section 4
Ho(t) ~ ar(l IX) r(1 + IX) alX1T 21. Examine the argument and results .of section
(Sections 4.2,1.3 (iv» process is a Poisson process.
(4.5.17) when to = o. Prove that for the special Erlangian distribution «Pij», and with p.d.f. of failuretime in the ith statef
with two stages, for which .d it) = 1 e  2pt, the variance of the number the renewal density for 'failures' of Type i and let "IT
of renewals in (to, t +(0) is, for large t, ability that the system is in state i at time t. Suppose
starts in state 1 at t = o. Prove that
1pt+t ne 4pt ,.
(Sections 5.5, 4.5) ,
23. Construct realizations of about 200 events each for (a) a
Poisson process with p = 1 and (b) the pooled output of 5 ordinary 1 0
f
h!O) = 8 11 /,(t) + ~ hj(tU)Plifi(u)du
your results for the statistical anlaysis of such series? (Section 6.1)
24. Examine the asymptotic form of the interval between suc Reduce these equations by a Laplace transformati
cessive events in a pooled output of renewal processes by writing, in whenfi(x) = Ple PIX (i = 1, ... , k), the equations for
(6.6.1), the usual ones for a Markov process. (Se
.?F(U) = l/out!ou 2  ••• ,
27. Obtain the Bessel function representation (8.3.6
where 10, 10, ... refer to the p.d.f. at u = O. In particular, show that (8.3.5) in powers of Ij(A+ p) and inverting term by term
(6.6.1) can be written (Se
28. Let U, and V, be respectively the backward a
ex{ 1+ (x !X2~O  ILlo) + 0 (~)} currence times at time t for the {Xn } process in the cum
with linear regression defined in the first part of section
and that the corresponding p.dJ. is therefore (8.5.3) can be written exactly as
e X{l  02x+tx
P
2)(IILI0)
+0 (I)}
p2
.
(Section 6.6)
25. Prove that the asymptotic distribution of intervals in the and hence show that
pooled output is exponential as P+ 00, when the individual renewal
processes are independent, but ·not necessarily identical, the indi
vidual survivor curves oF/(x) being such that, .JiI(x) ~ .?F/(x) ~ £r(x),
where .JiI(x) and fA(x) are survivo.r functions. Prove also that when the
individual renewal processes are identical, .successive intervals in
the pooled output are asymptotically independently exponentially cov(Z"Nt ) = ( ILw pwxawILx) var (N) paw
t   CO
distributed. (Section 6.6) ax ax
II:
var(Zt) = O';(1P;x}E(Nt)+(l'wPwx::I'~r var(Nt) APPENDIX III
2 0'2
+PWX wvar(Ut)
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WIDDER, D. v. (1946). The Laplace transform. Princeton University
Press. Author Index
Aitchison, J., 23, 135 Khintchine, A. J.,
Bartlett, M. S., 107, 126, 130, 135 Levy, P., 126, 136
Bleick, W. E., 60, 135 Loeve, M., 34, 104
Bovaird, R. L., 127, 135 LOtka, A . J., 125,
Bremmer, H ., 7, 12, 137 Lukacs, E., 34, 137
Brown, J. A. C., 23, 135
Bntijn, ~. <J. de, 13, 135 Mahnquist, S., 129
Buckland, W . R., 127, 135 Mendenhall, W., 1
Mercer, A., 115, 1
Cane, V. R., 126, 135 Miller, II. D., 134
Cox, D. R., 16, 1259, 131, 135, 136
Cramer, H., 7, 9, 34, 35, 100, 136 Owen, A. R. <J., 8
Crookes, P. C. I., 127, 136 Page, E. S., 126, 1
Daniels, H . E ., 35, 136 Pahn, C., 126, 137
Dean, B. V., 127, 136 Shenton, L. R., 42
Doob, J. L., 125, 136 Skellam, J. G., 42,
Erlang; A. K., 16, 125, 136 Smith, C. S., 126,
Smith, W . . L., 16,
Fatt, P., 72, 136 1257, 129, 135
Feller, W., 2,40, 125, 126, 131, 136 Takacs, L., 126, 13
Frechet, M., 125, 136 Tweedie, M. C. K.
Goodman, L. A., 80, 136 van der Pol, B., 7,
Gumbel, E. J., 22, 127, 136
Wald, A., 59, 60, 1
Jensen, A., 125, 136 Watson, <J. S., 23,
Katz, P., 72, 136 Wells, W. T., 23, 1
Kemperman, J. H. B., 97, 107, 136 Widder, D. V., 7,1
Subject Index
Agespecific failure rate Agespecific failure
definition of, 3, 4 lognormal distr
exponential distribution, for,S, 128
108, 109 relation with oth
extremevalue distribution, for, 21 replacement stra
gamma distribution, for, 20 117,119
139
Agespecific failure rate  cant. Edgeworth expansion, 35 Failuretimes, correlated, 1046, Lengthbiased sa
several types of failure, for, 111, Electronic computer, 126 134 Lifetesting, 127
112 Equilibrium renewal process negative, 106, 107 Lognormal distr
Agewear specific failure rate, 113, alternating, 85, 86 ratio of means, estimation of, 80, 131
115 definition of, 28 81
Alternating Poisson process, 83, 88, number of renewals, in, 38, 39 First passage time, 979, 107, 115 MittagLeffler se
90, 101 renewal function, for, 45, 46 Forward recurrencetime, see Re Models of failure
Alternating renewal processes time to rth renewal, in, 33, 34 currencetime, forward Moments, defini
definition of, 71, 80 variance of number of renewals, number of rene
examples of, 80, 81 for, 569 Gamma distribution
limiting behaviour, in, 846, 103 Erlangian distribution agespecific failure rate, for, 20 Negative binomi
properties of, 826, 101 general compared with other distribu Negative failure
systematic sampling, application application of, 114, 115, 123 tions, 23, 24, 128 Neurophysiology
to, 8690 definition of, 16, 17 definition of, 18 Number of renew
Animal ethology, 126 model of wear, associated with, properties of, 1820 asymptotic dis
115 renewal theory, for, 513, 131 103,104
Backward recurrencetime, see Re particularcasesof,17,114,123 see also Erlangian distribution, expected valu
currencetime, backward properties of, 17, 128 special function
Bessel function, 96, 99, 133 special Genetics, 81, 84 general proper
Branch point, 513 application of, 33, 34, 369, Idle time, replacement strategies higher momen
424,46, 50, 51, 57, 58, 74, involving, 120, 121 interval not
Central1imit theorem, 34, 40, 104 75, 86, 104, 105, 127, 132 Integral equation of renewal theory, 6670
Collective marks, method of, 131 bivariate, 104, 105 54, 82, 83, 126 pooled output
Conveyor belting, 127 definition of, 15, 16 probability ge
Correlated failuretimes, 1046, 134 properties of, 16, 18 Labour turnover, 29 of, 379, 74
Cost of replacements, 11724 Expectation of life, 128 Laplace transform random time,
Counter, electronic, 31, 32, 41, 42, Exponential distribution,S, 15, 29, analytical properties of, 8, 10,49 variance of, 40
81, 125 31, 43, 63, 83, 96, 98, 108, 112, application of, 33, 37, 38, 43,
Crossingover, 81 113, 129, 132 4551, 54, 5660, 6770, 826, Planned replacem
Cumulative distribution function see also Poisson process 938, 105, 106, 123, 130, 131, Poisson distribut
definition of, 3 Extremevalue distribution 134 78
relation with other functions, 35 agespecific failure rate, for, 21 asymptotic expansions derived Poisson process,
Cumulative process compared with other distribu from, 14 46,57,62,73,7
associated with Poisson process, tions, 23, 24, 128 complex inversion formula, for, 98, 115, 127, 1
95,96 definition of, 21 12, 13, 513, 55 see also Expon
asymptotic properties of, 99101, probabilistic model, for, 109, definition of, 89 Poisson process,
133,134 110 inversion of, 1113,4853 90
definition of, 71, 91, 92 properties of, 21, 22 moment generating function, Pooled output, se
examples of, 91, 92 recurrence time, for, 65 as a, 9 renewal proces
independent increments, with, special properties of, 10 Probability dens
935 Failure, many types of, 109, 110 sums of random variables, ap definition of, 2
probabilistic models of, 10815 plied to, 10, 11 relation with
Deterministic theory, 26, 126 two types of, 11 OH Tauberian theorems for, 14 35
Discrete time, renewal theory for, Failure rate, agespecific, see Age Law of .large numbers, strong, 84,
2, 107, 125, 131 specific failure rate 102, 103 Que.ues, 32, 62, 9
Random walk, 59,106,107,127 Replacement, cost of, 71, 91,11724
Ratio delay method, 87 Replacement strategies, 1, 11624,
Recurrencetime 127
backward based on wear. 1224
application of, 120, 121 Reversion of series, 60
definition of, 27
properties of, 61, 62, 126, 133,
134 Saddlepoint method, 35
forward Semiinvariants, 7, 59, 60, 73, 96
application of, 6670, 75 SemiMarkov process, 81, 126, 133
definition of, 27 Sequential analysis, fundamental
properties of, 62, 63, 126, 133 identity of, 59, 60, 126
limiting distribution of, 636 Snap round method, 87
Regression, linear, 99101, 133 Spare parts, 72
Renewal density Stable law, 34
alternating renewal process, for, Stopped time of machine, 80, 87,
82 93, 101
application of, 121 Strategies of replacement, 1, 11624,
definition of, 26 127
integral equation for, 54 Superposed renewal processes
limit of, 55, 103, 126 examples of, 71, 72
properties of, 535 limiting properties of, 779
Renewal function properties of, 739, 126, 132
alternating renewal process, for, Survivor function
82 definition of,3
application of, 11719, 123 relation with other functions, 35
asymptotic form of, 468, 126, Systematic sampling, 8790
130
definition of, 26
Tauberian theorem, 14
gamma distribution, for, 513
Textile yam, model of, 65
general Erlangian distribution, Time up to rth renewal
for, 48, 49
pooled output, in, 74, 75
Laplace transform of, 45, 46
properties of, 335
Renewal process
alternating, 71, 8090
equilibrium, definition of, 28 Wear, models of, 91, 92, H3I5,
examples of, 29, 31, 32 127
modified, definition of, 28 replacement strategies based on,
ordinary, definition of,25 1224
~t~6variables associated with, Weibull distribution, see Extreme
value distribution
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