Brown's converse conjecture on concave renewal functions and DFR distributions

Let F(t)F(t) be a distribution function on R+=[0,)\mathbf{R}_+=[0,\infty) with F(0)=0F(0)=0, and let M(t)M(t) be the renewal function satisfying

M(t)=F(t)+0tM(tx)dF(x),t0.M(t)=F(t)+\int_0^t M(t-x)\,\mathrm{d}F(x),\quad t\geq 0.

A distribution on R+\mathbf{R}_+ is DFR (decreasing failure rate) when its survival function is log-convex on R+\mathbf{R}_+. Brown's conjecture. If the renewal function M(t)M(t) is concave on R+\mathbf{R}_+, then F(t)F(t) is DFR. The forward implication, that DFR implies concavity of the renewal function, is known; Brown's converse question asks whether concavity is sufficient for the DFR property.

Sources & referencesView supporting material

Primary source

Yaming Yu, “Concave Renewal Functions Do Not Imply DFR Inter-Renewal Times”, arXiv:1009.2463 (2010).

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