METHUEN'S MONOGRAPHS

ON APPLIED PROBABILITY AND STATISTICS

GeneralEditor: M. S. BARTLETT, F.R.S.

RENEWAL THEORY
 Renewal Theory

by D. R. Cox
Imperial College
UnJ,ersity of Londo"

SCIENCE PAPERBACKS
and METHUEN & CO. LTD

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('q ., ,;
 First published 1962
© 1962 by D. R. Cox
Reprinted 1967 Contents
Science Paperback edition 1967 Preface page ix

Printed in Great Britain by 1 Preliminaries

Butler & Tanner Ltd, Frome and London
1.1 Introduction 1
The paperback edition is sold subject to the condition that it 1.2 The distribution of failure-time 1
shall not, by way of trade or otherwise, be lent, re-sold, hired 1.3 Laplace transforms 7
out, or otherwise circulated without the publisher's prior con- 1.4 Special distributions 15
sent in any form ofbinding or cover other than that in which it
is published and without a similar condition including this 2 The fundamental models 25
condition being imposed on the subsequent purchaser
2.1 The ordinary renewal process 25
2.2 Two other models 27
2.3 The Poisson process 29
2.4 Some further examples of renewal processes 31
. 2.5 The time up to the rth renewal 3

3 The distribution of the number of renewals 3

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 recurrence-time' 61 10
9.1 Introduction
5.2 The forward recurrence-time 62 9.2 Some results based on the laws of large
5.3 The limiting distribution of recurrence-time 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 Failure-times which may be negative

6 The superposition of renewal processes 10 Probabilistic models of failure 10

71
6.1 Introduction to.1 Introduction 10
71
6.2 The pooled output of several renewal processes 71 10.2 Failures of many types 10
6.3 Some general properties 10.3 Two types offailure 11
73
6.4 The mean time up to the rth renewal 74 10.4 Dependence of failures on wear 11
6.5 The interval between successive renewals 75
6.6 A large number of component processes 77
11 Strategies of replacement 11

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

8 Cumulative processes Appendixll Exercises and further results 12

91
8.1 Introduction
91 .
8.2 Independent increments 93 Appendix ill References 1
8.3 The cumulative process associated with a
Poisson process
95
8.4 The first passage time
97 Index 1
8.5 A general limiting result
99
 Preface
Renewal theory arose from the study of 'self-renewing aggr
but more recently has developed into the investigation o
general results in the theory of probability connected with
independent non-negative random variables. These results ar
cable to quite a wide range of practical probability problem
object of this monograph is to present the main results in an
mathematical way. That is to say, the emphasis is on formu
can be used to answer specific problems rather than on p
theorems under conditions of the utmost generality.
The monograph is intended for students and research wo
statistics and probability theory; and for others, especially
operational research, whose work involves the application
ability theory. To understand the monograph, familiarity w
mentary probability theory is essential. It is also desirable
about the simpler properties of the Laplace transform; the
results are, however, reviewed in one of the preliminary sect
Sections and equations are numbered according to the fo
system. Sections are numbered within chapters, equation
sections. Cross. references are given with minimum dup
For example, in section 5.5, a reference to equation (11
equation (11) of that same section; equation (2.1) means e
(1) of section 5.2; equation (4.4.2) means equation (2) o
4.4.
I am very grateful to Dr Walter L. Smith for arousing an
taining my interest in renewal theory and to Mr H. D . Miller
helpful comments on the manuscript.
D.
Birkbeck Col/ege, London
September 1961

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 2-5
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 6-9 some extensions of the fund
models of renewal theory are given. Chapters 1-9 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

1.2. The distribution of failure-time

Suppose that we have a population of components, each com
characterized by a non-negative random variable, X, c
1
 tof(x). One such is the cumulative distr~butionl.unction, F(x?, g
such as electnc light bulbs, valves, etc., the failure-time being the age
the probability that a component has faIled by tIme x. That IS
of the component at which some clearly defined event called failure
occurs.. Ho~ever, we sh~ see later that the terms component F(x) = prob (X ~ x)
~d fadure-tlme can be gIVen many different concrete interpreta-
tIOns. x
The random variable, X, is non-negative and there are in practice = ff(u)du.
two main cases to consider: o
(a) there is positive constant, h, such that the only possible values
of X are {O, h, 2h, ... }; Clearly F(x) is a non-decreasing function of x with F(O
(b) the random variable has an (absolutely) continuous distribu- F( CXl) = 1. Equation (3) gives F(x) in terms of the p.d.f., f(x).
tion over the range (0, CXl), its distribution being determined by a versely, on differentiating (3),
probability density function (p.d.f.).
f(x) = F'(x),
. The m~in problems of renewal theory for (a), renewal theory in
discrete tIme, have been very carefully discussed by Feller (1957 determiningf(x) for a given F(x).
Chapter 13). In the present book we shall, therefore, concentrate o~ For some purposes it is slightly more convenient to work wit
(~)~ ~en~wal the~ry in continuous time. There are, of course, possi- function complementary to F(x). This is the survivor function, F
b]lit]es mtermed]ate between (a) and (b). The main such case of
pr~~tical interest ~eems ~o be that in which there is a discrete prob- F(x) = prob(X > x)
~b]lity at z~ro. fadure-t1ffie, the remaining probability being con-
tin~ously distnbuted. Results for this situation are usually easily = I-F(x)
denved from the results for a general continuous distribution.
co
We suppose, then, except when explicitly stated otherwise
that .the random variable X has a p.d.f. f(x), zero for negative x: =f f(u)du,
that ]S x

giving the probability that a component has not failed up to tim

f(x) = lim prob(x < X ~ x+ Jx), Clearly F(O) = 1, F(CXl) = 0 and F(x) is a non-increasing fun
<1.>'->0+ Jx (1)
of x. Also
co
f(x) = -F'(x).
with f f(x)dx = 1. (2) Figure 1.1 shows the functions f(x), F(x) and F(x) for a ty
o distribution. Both functions F(x) and F(x) often arise very natur
for example in considering the probability that a component
Moreover the failure-times XI> X 2 , • •• of different components will
be assumed mutually independent. survive a guarantee period, Xo.
Another fUllction equivalent tof(x) is the age-specific failure
The distribution of X is determined by the p.d.f.,f(x), but it is for </>(x), defined as follows. Consider a component known not to
some purposes convenient to work with other functions equivalent failed at time x and let </>(x) be the limit of the ratio to Ax o
prob~~ility offailure in (x, x+ Ax). That is, in the usual notation for Because of (6), we can write (8) in the form
condttional probability,
!F'(x)
~(x) =- !F(x)
~(x) = lim prob(x < X ~ x+ Axlx < X).
(7)
,,1.1:-+0+ Ax d
= - dx {log!F(x)}.
f'O -' . ,,
,,
r f (r)
0.8
\
Hence, on using the condition !F(O) = 1 and integrating (9)
that

I~(U)dU}'
\
f(r) or
6
\
\
](rf· \
\
\
§"(x) = exp { -
0.4 \
\
,,
~(x)exp{ I~(U)dU}'
0.2 ,...
... .... = -
............ _-.. from which f(x)

(a) ( b) showing that ~(x) uniquely determines the p.d.f.,f(x).

FIo. 1.1. Functionsf(x), F(x), !F(x) for a typical distribution. We shall consider in section 4 special types of distrib
portant in renewal theory, but one immediate simple and i
(a) probability density function, f(x).
(b) . cum~ative distribution function, F(x). illustration of the above formulae is provided by the ex
------- SUrvIvor function, !F(x). distribution of parameter p, that is
I(x) = pe- px•
Thus, roughly speaking, ~(x) gives the probability of almost im- Note that in (12),f(x) is, as always, taken to be zero for n
mediate failure of a component known to be of age x. This function
is widely used in actuarial work. Now for any two events A and B, For the p.d.f. (12),

prob(AIB) = prob(A and B).

prob(B)

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.
Figure 1.2 shows some typical forms for cp(x) for non-exponential
distributions. If cp(x) is an increasing function of x (Fig. 1.2a), we may
say that there is positive ageing; the older the component, the more
likely is immediate failure. If cp(x) is a decreasing function of x
(Fig. 1.2b), we say that there is negative ageing; the older the com-
ponent, the less likely is immediate failure. One possible explanation
t
",cx)
studying strategies of replacement. When working graphicall
numerically with estimates of cp(x) from data, it is often useful to
.'F(x) at the same time, because it is not immediately apparent
cp(x) what is the range of failure-times in which the majorit
failures occur.
Finally we shall define in the usual way the mean, vari
moments 'and semi-invariants of failure-time, and so far as pos
use the conventional notation. For example, with E denoting m
matical expectation,
p. = E(X) = f
00

xf(x)dx,
o
a 2 = E(X-p.)2,

p.; = E(X') (r = 1,2, ...),

(a) (b) (c)
FIG. 1.2. Some typical age-specific failure rates, t/>(x).
(a) Positive ageing.
(b) Negative ageing.
(c) Initial period of negative ageing, followed by
positive ageing.
of this would be that some components are initially defective and
particularly liable to early failure. In general, the function cp(x) need
be neither strictly increasing nor strictly decreasing, although many
of the special distributions to be considered in section 4 do have
monotonic cp(x). In some contexts we may expect to find cp(x) having
the general form shown in Fig. 1.2c. That is, cp(x) first decreases quite
sharply and is then practically constant for some time, before
eventually increasing.
It must be stressed that the functionsj(x), F(x), .'F(x) and </>(x) are
mathematically completely equivalent. Most of the mathematical
results will be expressed in terms of one of the first three functions,
P.r = E(X-p.Y (r = 2,3, ...)
are respectively, the mean, variance, moments about the origi
mo~ents about the mean. The moments {p.;} can be express
termS of {p.r} and vice versa and in particular
Occasionally we use instead of the moments, the semi-inva
(Cramer, 1946, p. 185). The dispersion of a distrib~tion is ofte
veniently measured dimensionlessly by the coeffiCient of van
defined as a/p..
1.3. Laplace transforms
(i) Definition and main properties
One of the main mathematical tools used in renewal theory
Laplace transform. Detailed accounts of this are given, for exa
by Widder (1946) and, from a more applied point of view, by v
Pol and Bremmer (1955). Here a brief outline only is given
main results.
 f u«-le-udu.
CIO

r(a) = E(e-' x ) F(Ot) =

o
CIO

= f
o
e-'x f(x)dx. (1)
H IX is a positive integer, this is (IX-I)!
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 half-plane, 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 pe-pxe-sxdx
CIO
= L.
o p+a
Note that it is often useful in recalling formulae to regard Xas having
the dimensions of [tUne], f(x) and s as having the dimensions of
[timer I, the Laplace transform itself being dimensionless.
Another example, which will tum out to be important later, is
= I/p2.
(3)
Thus for the exponential distribution (] = p..
So far we have considered the Laplace transform only for func
that are p.dJ.'s. However, the definition (I) extends immediat
arbitrary functions defined over (0, 00), provided that the in
converges. Thus for a given function k(x), we define k*(s
9'{k(x);s} by
co

Z{
p(PX)CX-Ie-PX}
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 solution of differential and integral equations. The function k*(s),
as a function of the complex variable s, is analytic in a half-plane
Re(s) > So, although no general statement can be made about the
value of So.
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)
the second line following because the expectation of the product of
mutually independent random variables is the product of their
separate expectations. .
The corresponding explicit formula for the p.d.f. of XI + ... + Xn IS
quite complicated, being
f '"... J ft(UI)h(uz-UI) .. ,/,,(X-Un-t)dUt ... dun-t. (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(r-t)(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 n-fold convolu-
tion of f(x), is such that
.2"if k(U)dU;S} = {k*(O)-k*(s)}/s (Re(s) > 0). (12) (17)

When the general function k(x) is replaced by a p.dJ. f(x),

This is a most important result, which we shall use repeatedly.
equations (11) and (12) become As -an example suppose again that f(x) = pe-PX(x ~ 0), so tha
F*(s) = /*(s)/s, (13) /*(s) = p/(p+s). Then the Laplace transform off(n)(x~ is pn/(p+s)n
Now, by (4), this is the Laplace transform of the functIOn
.F*(s) = {l-/*(s)}/s, (14) ·
,,-1 -px
two important results. P(p X ) e . (18
Equations (9)-02) are proved by integration by parts. (n-l)!

(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 non-negative 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(e-SX1 ... e-SX,,) 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(e-Sx') ... 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 x-values 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
c-loo
f Sx
e k*(s)ds; (19)

where the path of integration is parallel to the imaginary axis, c being

chosen so that all singularities of k*(s) lie to the left of the line of
integration.
The uSe in renewal theory of the inversion formula (19) will be
illustrated in section 4.3. Here we give just one simple example. ,-c-lR
Suppose that k*(s) = p/(p+s). Then
FIG. 1.3. Contour of integration in complex s-planc.

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

k(x) = 2: {ReSidUeS Of; ::} , (21) k*(s) =

00

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.
These results should be qualitatively clear from the definition of
k·(s). Thus if s is very large,e- SX is negligible except when x is very
small, so t~at k·(s) will depend on the behaviour of k(x) near zero.
The mam result of this type used in renewal theory is that if as
s~o, for constants A and B,
A B
k·(s) = -2+-+ 0 (1) (23)
s s .'
then as x ~ ex>, k(x) = Ax+B+o(l).
(24)
~n (23),0(1) denotes ~ function of s bounded as S~O, whereas 0(1)
m.(24) denotes a functIOn of x tending to zero as x~ ex>. A result of
this type, enabling the limiting behaviour of k(x) to be deduced
from that of k·(s), is called a Tauberian theorem.
In a formal waY.the passage from (23) to (24) is easy, because I/~
and lis are r~pectIvely the Laplace transforms of x and 1. However,
the theorem IS only true under restrictions on k(x) sufficient to exclude
rapid ~sci11ations in k(x) as x~ ex>. Except in very simple cases,
Taubenan theorems are therefore difficult to handle. For this reason
rigorous proof of the general theorems of renewal theory under th~
mo~t general .conditions requires delicate mathematical arguments
whIch we shall not go into in this monograph.
. There is, however, one situation in which the rigorous proof of (24) .
IS easy. Suppose that
(25)
where K·(S) is a rational function of the complex variable s bounded
at ex> and with all its poles having negative real parts.
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-
1.4. Special distributions
(i) Generalities. Many of the general results in renewal the
be used for arbitrary p.d.f.'s, f(x). Nevertheless it is very u
have in mind a number of special mathematical forms tha
used to represent the distribution of failure-time. The specia
butions (ii)--(iv) below are of importance because they much
the general formulae of renewal theory. The remaining distr
(v)--(vii) are included because they are often useful in other p
about failure-times, such as the study of replacement strateg
The symbols p, ex and a will be used for parameters of distri
The interpretation will depend on the particular distributio
consideration, but all are always positive, p always has the dim
[timer I, ex is dimensionless and a is used instead of ex wh
integral values are allowable. All p.d.f.'s are taken to be
negative x.
The circumstances under which the various special distr
may be expected in practice are discussed in Chapter] O. The
section is confined to a descriptive account of the propertie
distributions.
(ii) Exponential distribution. This has already been use
example several times in the preceding two sections. The
pe- Px, the survivor function e- Px, the age-specific failure
constant and equal to p, and the Laplace transform is p
Further, the mean and standard deviation are both equal to
that the coefficient of variation is one. We shall call pe- Px
ponential distiibii#Q1i;withratej,)ar.a rneterp •./,.
(iii) Spedar1!:itti'figiaif'distribiiii~';; .The p.d.t is
p(px)a-I e - px
,
(a-I)!
where a is a positive integer. By (3.4) the Laplace transform
(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 failure-time, 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 failure-time 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'J-Pi)

described. This idea was introduced into the theory of congestion in The p.d.f. is therefore ~ A/Pie-PIX,
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 of-variation 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 stage-hy-stage 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
non-negative random variables for which the Laplace transform
8pI e- p,x+(1-fJ)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 failure-time can be
fJp
approximated arbitrarily closely by a general Erlangian distribution.
, + (l-fJ)pzp,pz+fJpIs+(l-8)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 obtain-the p.d.f. of a r as OJ
distribution, namely
p(PX)I%-le-px
rea) . (6)

The main properties of the r distribution are as follows:

I
(a) The mean and standard deviation are respectively a/p and 2 X~ I

v'(a)/p, so that the fractional coefficientof variation is 1/ v' a. Hence

(a) (b)
r
there is just one distribution with preassigned mean and standard
deviation. But if we restrict ourselves to integral (x, we can only obtain
fractional coefficients of variation I, 1/ v'2, 1/ v'3, t, ....
(b) When (X = I, the distribution is exponential, When 0 < (X < I,
the p.d.f. has infinite ordinate at the origin. When (X > I, the p.d.f. is fl.2
zero at the origin and has a single maximum at x = «X-I)/p. If we pdf
take the limit of (6) as (x, p ~ 00 with the mean (X/p fixed, and equal
say to p., the distribution is asymptotically normal around p. With a8 0.8
fractional coefficient of variation 1/ v' (x. The ultimate limiting form
is thus a degenerate distribution with all the probability concentrated
at x = p.. Four special cases are shown in Fig. 1.4, all but the first
being special Erlangian distributions.
(c) The cumulative distribution function, F(x), is equal to I

f
X
p(PV)I%-le-PVdv _
r«X)
-I-f
- rea)
M
1%-1

u e
-ud
u (7)
(e)

FlO. 1.4. Some special cases of the r distribution of mean on

o 0
(a) (X = !. (b) (X = 1.
= y(px, (X), (8) (c) (X = 2. (d) 1% = 10.
 For special Erlangian distributioDs, when ex is an integer 0, it can
be shown by integrating by parts that defined by the survivor function equal, for x > 0, to

exp {-(px)"'},
F(x) = 1- ~ e-Px(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 age-specific 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 age-specific 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 non-integral 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) Extreme-value distribution. Another two-parameter 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)

and the coefficient of variation is

r(l+2fa,) _ ]1/2
[ {r(l + 1/a.)}2 1 (17)
f
t
.
where G(t) 1 e- u'/2du
Gumbel (1958, p. 282) has tabulated the standard measure of skew- = y'(27T)
ness, YI> for the Weibull distribution and a brief extract from his table -00

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 log-normal distribution are
0·5 2'24 6'6
0·75 1-35 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
1-4 0'72 1'2
1-6 0'64 1 [{IOg(PX)}2] 1
0'96
1-8 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 -1-14 creases to zero as x-+ 00 (Watson and Wells, ]961). The l
distribution is sometimes useful in empirical problems
(vii) Log-normal 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 log-normal 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 age-specific 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
for a given mean and coefficient of variation the log-normal distribu-
tion has the longest' tail'. The Weibull distribution comes next if and
only if the coefficient of variation exceeds one, i.e. if and only ifot in
the Weibull distribution is less than one.
A similar conclusion is obtained from the relation between the
coefficient of skewness 1'1 and the coefficient of variation. For th~
distribution
1'1 = 2 x coeff. of variation,
for the log-normal distribution
1'1 = 3 x coeff. of variation + (coeff. of variation)3,
the value for the Weibull distribution being given in Table 1.1.
CHAPTER 2
The Fundamental Models
2.1. The ordinary renewal process
Suppose that we have a population of components and that
time, X, is a continuous random variable with p.d.f.[(x). It i
r to be stressed that the terms component and failure-time can b
many different interpretations. Suppose further that we start
new component at time zero. This component fails at time X
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
Let this process be continued, a component being replaced im
ately on failure by a new component. The failure-time 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 failure-times, 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

variable, N I , is often the thing about the process of most interest.
More generally, we may take two fixed time points II> t2 (/\ < tv and
define
(2)
to be the number of renewals in (tl> 12). We shall see that, formally,
the properties of Nihil can be obtained in much the same way as
those of N I •
(iii) The renewal/ullction. We are sometimes particularly concerned
with the mean value of N I • The function
(3)
is called the renewal function. Note that, for the more general random
variable Nth I"we have from (2) that
(4)
(iv) Renewal densily. Consider for any time I, the function 17(/)
defined by
= H'(t).
(5)
This is called the renewal density and specifies the mean number of
renewals to be expected in a narrow interval near I . Since the random
variables {Xr } are continuous, with no concentration of probability
at zero failure-time, the probability of more than one failure in an
interval of length .Jt is O(.Jli. It follows that
h(t) = lim prob {one, or more, renewals in (t, t+ At)} •
+
A 1-->0 At (6)
An alternative, deterministic, interpretation of 17(t) is that if we have
a very large number m of independent renewal processes in operation
simultaneously, m17(t) Jt is the number of renewals in the time
interval (/,1+ AI).
(v) Higher momenls 0/ N I . For some purposes we require als
higher moments of NI> especially the variance.
(vi) Backward recurrence-lime. Let t be a fixed time point. D
the random variable UI as the length of time measured backw
from t to the last renewal at or before I. If there have been no ren
up to t, UI is defined to be I. Thus Ui is the age of the compon
use at t (see Fig. 2.1a).
(---
(a) t
)(
(b) t
FIG. 2.1. Definition ofrecurrence-times U" V"
(a) Backward recurrence-time, U,;
(b) Forward recurrence-time, V"
(vii) Forward recurrence-time. SimilaJ,'ly; let VI be the
measured from t to the next renewal to occur after t (see Fig.
This random variable is called the forward recurrence-time. An
name is residual life-time; for VI is the remaining life of the
ponent in use at time t.
2.2. Two other models
The ordinary renewal process can be generalized in many ways,
of which will be considered in Chapters 6-9. There are, however
new processes differing only slightly from the ordinary ren
process, and it is convenient to deal with these immediately.
First suppose that, as before, failures occur at times
XI> X I +X2 , X t +X2 +X3,···,
where {XI, X 2 , ••• } are independent non-negative continuous ra
variables. Let XI have p.d.f.fl (x) and let X 2 , X 3 , ••• all have the
p.d.f,f(x). That is, we have all the conditions for an ordinary ren
 process, except that the time from the origin to the first failure has a
different distribution from the other failure-times. We call such a
process a modified renewal process.
One particular situation in which a modified process arises is when
°
the component in use at time t = is not new. In particular, suppose
that the time origin is taken a time y after the start of an ordinary
renewal process. Then the final failure-time in the modified renewal
process will have the properties of the random variable, V y, defined
in section 1. Further the number of renewals in (0, I) in the modified
process will be Ny,y+to in the notation of (1.2).
The second new model is a special case of the modified renewal
process. It will be proved in section 5.3 that, if 1 is large, the forward
recurrence time Vt in an ordinary renewal process has the p.d.f.
.F(x)/JL, where .F(x) is the survivor function and JL is the mean failure-
time. A modified renewal process in which Xl has the p.dJ. .F(x)/JL is
called an equilibrium renewal process. The physical interpretation is as
follows. Suppose that a simple renewal process is started in the past
(I -+ - 00) remote from the time origin t = 0. If observation of the
process is started at 1 = 0, the time to the first failure will have the
p.dJ. .F(x)/JL. Thus an equilibrium renewal process can be regarded
as an ordinary renewal process in which the system has been ruiming
a long time before it is first observed. Such processes often arise in
applications.
If the underlying process is a Poisson process of rate p, then
.F(x) = e- Px , JL = l/p and the p.d.f. of Xl is thus pe- px• Thus, for a
Poisson process, the ordinary renewal process and the associated
equilibrium process have identical structure. It is easily shown that
this is not so for any other distribution of failure-time.
We shall need for the subsequent calculations the Laplace trans-
form of .F(x)/JL. It follows from (1.3.14) that
1-/*(s)
.!l'{F(x)/JL;s} =- -. (1)
JLS
In section I we defined seven important quantities associated with
an ordinary renewal process. These definitions apply without change
to modified and equilibrium renewal processes. So far as possible we
shall use the notation of section 1, using a subscript or super
m or e where it is necessary to specify that an ordinary, mod
equilibrium renewal process is under consideration.
Real systems that are fairly well represented by Poisson p
are of wide occurrence and are well known. The following e
are of renewal processes that are not, in general, Poisson pr
Example. The simplest illustration of a renewal process is t
component such as an electric light bulb, valve, etc., a com
being immediately replaced on failure.
Example. Consider a labour force of m men. Let a 'compo
a man, 'failure' occurring when the man leaves the job, a repl
being made immediately. Suppose that at time 1 = 0, all the
new to the job. Make the further, rather dubious, assumption
failure-times are independent and with the same distributio
we have m independent ordinary renewal processes in op
simultaneously.
Example. Consider a stage of an industrial process which p
an output in batches. As soon as one batch is completed, pro
of the next batch starts. Suppose that the times taken to pr
batch are independent random variables; all with the same d
tion. Then we have a renewal process, interpreting' failure'
the completion of a batch.
Some more examples of renewal processes will be given in s
2.3. The Poisson process
The formulae for the properties of a renewal process with an a
p.d.f. f(x) take very simple explicit forms for a Poisson proc
when
f(x) = pe- Px,
and the process is an ordinary, or, equivalently, an equ
renewal process. Note that because, by (1.2.13), the age
failure rate for the exponential distribution, pe- Px, is cons
equal to p, there is at any time t, a probability pLlt+o(Llt) o
occurring in (t, t + LI t), independently of the age of the comp
use at time t. Further, since the failure-times of different com
are independent, the probability just mentioned is independe
 whole previous history of the process up to t. Hence the Poisson It remains to calculate the distributions of the recurrenc
process could be defined equivalently by the following conditions Ut and Vt. Th~ p.d.f. of Vt is pe- px, because, measuring from
(Feller, 1957, p. 401): the age-specific failure rate is constant and equal to p and (1.2
a. the probability of a renewal in (t, t+ Jt) is pJt+ o(Jt); gives the p.d.f. ofthe time up to the first subsequent failure.
To find the distribution of the backward recurrence time,
h. the occurrence of renewals in (t, t+ Jt) is independent of what
happens in the process before t; first that U t = t if and only if no renewals occur in (0, t), tha
c. the probability of more than one renewal in (t, t+ Jt) is o(Jt). prob(Ut = t) = !F(t) = e - pt.
First, the p.d.f. of S, has already been obtained in (1.3.18), being a Next, x < Ut ..;x+.dx if and only if a renewal occurs i
special Erlangian distribution with r stages. An entirely elementary t-x+ Jx) and the new component survives until after t. He
proof is suggested in the exercises.
. Secondly, the number of renewals in (O,t), Nt, has a Poisson prob(x < Ut ..; x+Jx)"" h(t-x)!F(x)Jx = pe-pxJ
distribution of mean pt, that is
by (3) and (4). Thus U t has an exponential distribution c~nso
(pt)me-pt
prob(Nt = m) = , (m = 0,1 , ... ). (1) that is with all the probability in (t, 00) collected in a dIscre
m. at t.k t~ 00, Ut has as its limiting distribution the orig
ponential distribution.
To obtain (l)from first principles, divide the time interval (O,t) into
a large number k of small subintervals of length Jt, where kJt = t.
As noted in section 1, there is a probability pJt+ o(Jt) of a renewal 2.4. Some further examples of renewal processes
in anyone of these subinterva~, and the occurrences in different We can now give, using the properties of the Poisson pr
subintervals are independent. Further, the probability of two onnore number of important examples of renewal processes.
events in the same subinterval is o(Jt). Hence, by the binomial Example. Suppose that there is a stream of particles occur
probability law, Poisson process of rate p. Consider a counter that works ac
to the following rules. At t = 0, the counter is blocked and
prob(Nt = m) = lim (~)(pJt)m(1
m
_ PJt)k-m (2) blocked for a time X{ having a p.d.f.fl(x). Any particle arr
k--..oo this time is not recorded. At time Xi, the counter is open and
and, on writing Jt = t/k and passing to the limit, (1) is obtained. particle to arrive, after a further time Xi, is counted. S
Two important properties of the Poisson distribution, for which particles occur in a PoiS$on process, X'\ has p;d.f. p e-: Px, in
there are corresponding results when the p.d.f. f(x) is arbitrary, are ently of Xi. The cycle is now repeated, the counter bemg blo
a time}(,' and then being open for a time X 2, before the next
(a) as t~ 00, the distribution of Nt is asymptotically normal; is count:d. Assume that X2: is independent of X; and has t
(b) the ratio var(Nt)/E(N,) is constant and equal to one. p.d.f.,fi(x).ln general the interval between the (i-I)th and
It follows directly from (1) that ticles counted is Xi + Xi. If we regard the counting of a Part
•failure', we have an ordinary renewal process, the p.d.f. of
H(t) = pt = t/p., h(t) = p = 1/p.. (3) time being the convolution offl(x) with pe- px. If we start
counter open, we have a modified renewal process in which
Further, the rth semi-invariant of Nt is equal to t/p.. failure-time has p.d.f. pe - px .
 This system is called the Type I counter. The main interest is in 2.5. The time up to the rth renewal
correcting the observed count in time t for blocked time. An interest- (i) General formulae
ing special case is when the blocked time is constant 'Y, so that The main properties of renewal processes are discussed in sub
the p.d.f. of failure-time is a displaced exponential distribution chapters. It is, however, convenient to deal immediately wit
pe-p(x-y) (x;;. y). However, in practice, this case would often be time of occurrence of the rth renewal, given for ordinary,
dealt with by switching out the counter for time 'Y following each and equilibrium renewal processes by
particle counted. No problem of correcting for blocked time would
then arise.
Example. Consider a counter in which, for simplicity, we suppose Hence, if kr(x) is the p.d.f., Kr(x) the cumulative distribution
the blocked time generated by a particle is a constant, 'Y. Suppose, of S"
however, that instead of the system of the previous example, a particle k~(s) = f1(s) {f*(s)}'- I.
arriving at time If during a blocked period extends the blocked period
In the ordinary renewal process,/1{s) = f*{s), so that
until If +y. That is, the counter does not become free until there has
been a period 'Y, without a particle arriving. The sequence of particles k(~)*(s) = {f*{s)}'.
counted is again, for a Poisson process of particles, a renewal process,
The corresponding formula for the equilibrium renewal p
but now the p.d.f. offailure-time is the convolution of an exponential
distribution with the distribution governing the time from the after using (2.1),
counting of a particle to the counter next becoming unblocked. This k~e)*(s) = {l-f*(s)} {f*(s)},-I.
system is called a Type IT counter; there are many generalizations. p.s
Example. Consider a queueing process in which customers arrive Now the inverse relation to (3) is
randomly. Suppose, for simplicity, that there is just one server and
that the times taken to serve different customers are independent W)(x) = fc4x),
random variables all with the same distribution. Suppose that at t = 0 i(r)(x) being the r-fold convolution of/ex), discussed in se
the server. has just become free. Say that a failure occurs at an instant Equation (1.3.12) gave a simple relation between the Lapla
when the server becomes free. Then the times between different form of a function and the Laplace transform of its integral,
failures are independent, because of the structure of the process, and this it follows that the inverse relation to (4) is that
have a characteristic probability distribution which is the convolution
of an exponential distribution and the so-called busy-period distri- k~e)(x) = {F(r_l)(x)-F(r>Cx)}/p.,
bution. Hence we have an ordinary renewal process.
where F(r)(x) is the cumulative distribution function corre
Example. Suppose that we have a stochastic process in continuous
toi(r>Cx ).
time and a particular state Eo of the process. Consider the sequence
of instants at which the process just enters Eo. If the intervals between
(li) Special cases
these instants are independently distributed all with the same distri-
If the distribution of failure-times is of the special Erlan
bution, we have a renewal process. The random variables defined in
(1.4.1) with a stages, so that
section 2 then give, for example, the number of times Eo is entered in
time t, the length of time from t until the state Eo is next entered, and
soon.
/*(s) = (.-L)a,
p+s
S~o) has the special Erlangian distribution with ra stages and the same method (Daniels, 1954) can be used to improve and
parameter p. This is clear immediately from the Laplace transform, adequacy of the approximation
or from the •stage' interpretation of failure. For in order that r re-
newals occur, exactly ra stages must be completed and the distribution prob(Sr < x) ~ G(x-pr)
of S r is hence known from the theory of the Poisson process. a.yr .
To simplify (6), the p.d.f. for the equilibrium renewal process, we
based on (9). The asymptotic result (10) applies to ordinary
can use (l.4.1O) expressing F(r)(x) in terms of the Poisson distribution. and equilibrium renewal processes. An improved appro
It follows, since p = alp, that
based for example on an Edgeworth expansion,will, ho
or-I -px m different for the three processes.
Me)(x) = ~ e (px) p, (8)
L
rn=ar-Q
m! a

which for moderate values of r, a and px is convenient for numerical

work, using tables of the Poisson distribution.
When the distribution of failure-time is of the general Erlangian
form, so thatf*(s) is a rational function of s, the transforms (3) and
(4) are rational and hence can be inverted in terms of simple functions.
The same applies to the modified renewal process, provided that
bothfl(x) andf(x) are in the general Erlangian family.
Especially simple results are obtained for the modified renewal
process if both fl(x) and f(x) are special Erlangian distributions,
having the same rate parameter p.

(iii) Asymptotic results

If the distribution of failure-time has mean p and variance u 2, it
follows from the centrallirnit theorem (Cramer, 1946, p. 213) that
as r--'>- co, the random variable Sr is asymptotically normally distri-
buted with mean pr and standard deviation u.yr. That is, for every
fixedy .
y

!~ prob(Sr < pr+yu.yr) = .y(~7T) J

~oo
u
e- '/2du = G(y), (9)

say. If the distribution of failure-time has infinite variance, the

limiting distribution will be a stable law (L06ve, 1960, p. 326; Lukacs,
1960, p~ 97).
 ra+a-l. Hence, since the number of stages complete
CHAPTER 3
follows a Poisson distribution of mean pt,

The Distribution of the Number ,a+a-l (pt)m e - p'

prob(N(o)
, = r) = L..,
" ml
of Renewals m=ra

An alternative simple algebraic proof can be based

3.1. Some general formulae 2.5 (ii).
In order to study NI> the number of renewals in (0, t), it is simplest to It is convenient to defer to the next section discussion
use the connexion between NI and the random variable S" the time number of renewals in the corresponding equilibriu
up to the rth renewal, studied in section 2.5. For it is clear from the process.
definitions of NI and Sr that
3.2. The probability generating function
NI < r if and only if Sr > t. (1) For some purposes it is convenient to convert (1.3) into
Thus prob (NI < r) = prob (Sf> t) for the probability generating function of Nt. Let

= 1- Kr(t), (2) G(I, '> = 1:"" ,rprob(N, = r)

,=0
where Kr(x) is the cumulative distribution function of Sr. Hence
"" ,,-1<, -1) Kr(/).
= 1+ l:
prob(NI = r) = Kr(t)-Kr+1(t), (3) ,- 1

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)}{/*(sW-I/(f's). Hence, we have for the ordin
Suppose next that we have an ordinary renewal process with the process
failure-t~: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)me-PU "" (pt)'e- P'

and for the equilibrium renewal process

s{l- 'res)} ,
(5)
f
o
'-'----du = 1- L
m! /-0 I!
.

Hence, for r = 1,2, ... ,

G:(s,') =!+ (,-I){l-r(s)} t (,a+a-I m ,a-I in}(P i
1 ~-I
s JLS2{1- U·(s)}
(6)
prob(N,(e) = r) = ~ m~a 6-m-~a 6 t

= ~+ JLS G:(s, ,). (7) t ,a+a-I (pti e- P'

= - "" (ra+a-/)--'-...:--
It f~llows from (7), on using the result for the Laplace transform
a L
I=,a
I!
of an Integral, that ,a-I (pt)' e - P'

Ge(t, 0 = 1+f'- '-I f

I

(u' 'oj
G0 "'du , (8)
+~ I
l-==ra-a
([-ra+a) I!

o
or, on taking coefficients of ~r,

probeN}') = r) = ~ f
I

{prob(N!O) = r-I) pt
+-
a
'2:2 } (ptie-
a
-
I!
p
,
.
o I=,a-a-I
Further
-prob(N!o) = r)}du (r = 1,2, ...), (9)
1 aI-I (a-/)-'----
(pt)'e- P
prob(N,(') = 0) = -
prob(N,(e) = 0) = 1-~f' f I

prob(N(o) = O)du. (10)

a
1=0
/!

(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 failure-time 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=zra-Q
,a+a-I}
"" (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 life-time 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 non-normality, 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) '" 1-G ( uyr .
1-+«> /-+«> ayr,
/ .

= G(y), (3) As an example, consider the Type I counter (section 2.

and ai be the mean and variance of blocked time. Then the
by the asymptotic normality of Sr. Thus we have proved that N, is variance offailure-time are P.I + Ijp and ai+ Ijp2, where p
asymptotically normally distributed with mean tIp. and variance of arrival of particles. Hence N the number of particles c
2
a t/p.3. There is a minor analytical difficulty in the above argument " distributed with mean an
time I, is asymptotically normally
in that, since r, must be an integer, we ought really to consider a respectively
limiting process in which y, = y+ €/ where €, is the smallest value
such that r, is an integer. pI (l + ai p2) pI
and (1
Again the simplest special case is for the Poisson process of rate p, 1 + p., p + P.I P)3 •

for which a = p. = l/p. The limiting normal distribution has mean

and variance equal to pl. This is the familiar limiting normal form of A large-sample estimate of p can therefore be obtained by
the Poisson distribution (Feller, 1957, p. 176). It happens here that the mean and N i.e. by writing
the exact and asymptotic means and variances are equal. "
~I • N,
It follows from the form of the asymptotic mean and variance that -L,.
1 +p.,p
= N p=
I-N,p.1
.
for the limiting distribution . "
variance a 2 t p. a2 This formula for phas an obvious intuitive explanation, s
mean '" p.3·'= p.2· (4) is the expected amount of-blocked time arising from N, c
 from (7)
The argument to be given below is easily generalized if q(t)
var (N,) (l + O'I p2) combination of expressions (2).
E(N,) ,.., (l + #1-1 p)2 (9) Now
ao
If 0'1 < #1-1> which would normally be so, expression (9) is less than
one, so that there is apparent under-dispersion relative to the Poisson
G·(s, 0 = f G(t,Oe-"dt,
o
distribution.

3.4. The IIIIIDber of renewals in a random time so that

So far we have considered the number N, of renewals in a fixed
interval (0, t). Suppose now that Tis a random variable independent 'of
the renewal process {XI, X 2 , ••• } and that N is the number of renewals This formula can in fact be given a meaning for non-integ
in (0, T). Ifq(t) is the p.d.f. of Tand G(t, {) the probability'generating suitable definition of derivatives of fractionid order. It fol
function of N" the probability generating function of N is (1)-{3) that
ao

Gm = f G{/,Oq(t)dt. (I)
>..k ( 8)k-1
Gm = (k-l)! -as {G·(s, {)}S=A'
o
Example. Let Tbe the life-time 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 life-time 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, '
>..k1k-Ie-A, 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) = (k-1)! ' (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)!( -~r-t {(P+s-tp)-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 failure-time 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),
r-I

after using (3.1.3) for the probability distribution of N,. O

Laplace transforms, it follows, in the notation of section 3
QO

H*(s) =~ L k~(s).
r-l

We now deal separately with ordinary, modified and eq

renewal processes. In fact, the answer is simplest for the eq
process and therefore we consider that first. In this case
k~(s) = {l-/*(s) H/*(S)}'-I /(Ju),
and it follows that

H:(s) = 1-/*(s)
p.Sl
2:QO

r-l
{j*(sW- 1

1
=2·
p.s
[45]
 t if p. and a are the mean and standard deviation of failure-tim
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{1-f*(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 failure-time. 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 failure-time, 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
t-ip.
(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 one-half 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
when a <C p.. The first renewal is quite likely to occur in the range
(p.-a, p.+a). Hence Ho(t) changes from near zero to near one as t
moves through the interval. The second renewal is quite likely to
occur in the interval (2p. - a y2, 2p. + a y2) and the rth renewal in the
interval (rp.- aYr,rp.+ aYr). Now it is clear that (3) will be inade-
quate so long as the rth interval has little overlap with the (r-1)th
and the (r+ l)th. A reasonable minimum requirement forthe applic-
ability of (3) is therefore that r should be such that
ayr > p., i.e. r > p.2/~.
In terms of I ~ rp., this means
I > p.3ja2.
We shall make a more detailed investigation of this in the next section,
4.3. A more detalled study of the renewal function
The study of Ho(t) from its Laplace transform (I .4) is typical of many
problems arising in renewal theory. 1t will therefore be discussed in
some detail in this section, partly in order to illustrate the methods
to be followed in dealing with other similar problems. We work all
the time from the equation
• s _ f*(s)
H o( ) - s{1-f*(s)}
First suppose that the distribution of failure-time is Erlangian, so
that /*(s) is a rational function of s, i.e. is the ratio of two poly-
nomials. Then so too is H!(s). We can therefore split H!(s) into
partial fractions, obtaining terms
(a) from the pole at s = 0,
(b) from the poles at Sl, S2, ••• , the non-zero roots of the equation
Now (2) has a. simple root at s = 0, since /*'(0) = - p. < o. Hence
the partial fraction expansion of (1) contains terms in lla2 and ] jsand
expansion (2,2). That is
1 1 a2_p.2
H!(s) = sp.
2+-'-2· 2 +.d!(s),
s p.
where .d:(s) is a rational function of s with poles at Sh S2,
follows from (2) that complex s) must occur in conjugate pair
that Re(s) < O. For the last point, note that if Re(s) > 0
<10 <10
1/·(s) 1 ~ I le-SXI I(x)dx < II(x)dx = I.
o 0
A separate argument easily shows that there can be no p
imaginary roots of (2), when failure-time is continuously distrib
(5)
We draw three conclusions for Erlangian distributions.
(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
to I/(s-s), inverting into eSt'. A multiple root leads to a term
Since Re(sl) < 0 these terms tend to zero exponentially fast as t
(ii) The limiting formulae (2.3) is therefore rigorously prove
the error term is exponentially small in t.
(iii) When the full inversion of (3) is very complicated, we ca
the next term to (2.3) by taking the non-zero roots of (2) with l
real part. There are three main cases:
(1)
(a) a single simple (real) root SI leads to a correction term pr
tional to eS" ;
(b) a pair of conjugate complex simple roots Sl> S2 = s' ± is"
to a correction term proportional to e6" cos (s" t + E);
(e) a single multiple root SI of order r+ I leads to a correction
proportional to tT e8" .
If s} is a simple non-zero root of (2), the corresponding term
partial fraction expansion of (1) is
(2)
failure-time is a mixture of two exponential distributions (section non-zero roots of (s + p)o = p4 and these are
104 (iv», so that
p{exp(21Tk;/a)-1} (k = l, ... ,a-l).
(5)
An alternative way of looking at these formulae is in ter
complex inversion formula of section 1.3 (iii). The line of in
Here the equation (2) has roots 0 and SI =- {(l- 8)Pl + 8p2}' The is converted into a closed contour by a large semicircle to
expansion of (3) is the imaginary axis, and the various terms in HoW arise from
of H:(s) at s = 0, St. S2, ••••
This argument extends with little difficulty if H:(s) has a
number of poles in the negative half-plane. The partia
expansion in a finite series is replaced by an infinite series, the
80 that
Mittag-Leffler series, and provided some convergence cond
satisfied, the only change in Hll) is that the finite series of ex
H (I) = ~+ 0'2_ ,.,.2 _ 8(1- 8)(Pl- p~2 exp[ - {(I-8)Pl + 8p2}IJ.
· 0 ,.,. 2,.,.2 {(1-8)Pl+ 8p2}2 terms becomes an infinite series. The non-zero pole of H
largest real part still plays an important role.
(6)
The next situation to consider i~ whenf*(s) has a bran
As a second example, consider the special Erlangian distribution For instance if the failure-time hasa r distribution,
with three stages, havingJ*(s) = p3/(p +s)3. Then the equation (2)
reduces to
(7)
J*(s) = (--.L)"'
p+s
,
and if « is non-integral there is a branch point at s = - p.
so that the non-zero roots are at plicity we <;onsider the specialcase « = i, for which the equ
has no non-zero roots, the branch point being the only
(8) singularity of H:(9);

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

= -p-I 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

Now the integral in (11) is 0(1-3/2) for large t, so that

the general asymptotic formula is O(e- pI r 3/ 2 ).
By a similar argument, if H~(s) has both poles and br
there will be an (approximately) exponential approach to
totic form (2.3), the dominant term being determined by t
singularity with largest real part.
It can be shown that if,.,. and a 2 are finite, but not all m
finite, the approach to (2.3) is like some power of 1ft.
SaC-lR

FIo.4.1. Contour of integration when/*(.I') has branch point.

Now the integral round the large and small arcs is easily shown to
tend to zero as the radii tend to infinity and zero respectively. Hence
4.4. The renewal density
The renewal density, h(l), was defined in section 2.1.
interpretation is that h(t) A t is asymptotically the chance
in the interval (t, t+ LI t). Mathematically. h(t) is most easil
as the derivative of H(t), so that from (1.1)

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)
I-f*(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 =
I-f*(s) rigorous proof for very general distributions of failure-time 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 failure-time.
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(t-u)f(u)du,
o
(5)
It is clear on general grounds that (c) will arise when the distri
of failure-time 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 failure-time 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

= ~ r(r+ l){K,(t)- K,+1(t)}, var(N[e» =

,=0
o
1~ An incidental consequence of (7) is that, for every t;
whence "'*(s) = ~..G r(r+ l){k~(s)-k~+I(S)}
,-0
Ave {H i l l )u-ll-'}
- - - ;;:;. 0,
0.;".;, I-'
2~
= ~ ..G rk~(s). (3) with equality if and only if Nl e) is a degenerate random va
,=1
in this average sense, HoW lies above the line y = t/l-'-
For an ordinary renewal process, k~(s) = {f*(s)}', so that As usual, the simplest special case is the Poisson proce
withf*(s) = p/(p +s), we have that
* 2/*(s)
"'o(s) = s{1-f*(s)}2' (4) .1.*( ) _ .1.*( ) _ 2p(p+ s)
'1'0 s - 'l'e S - s3 '

whereas for an equilibrium renewal process, with whence

k~(s) = {f*(s)},-I{1_/*(s)}/(tl-'), leading, with (2), to yet another proof that the variance o
distribution or'mean pt is also equal to pt.
2 It follows, by arguments that should now be familiar,
"':(s) = ? I-'{l- f*(s)} ; (5)
invert explicitly whenever f*(s) is a rational function o
obtain asymptotic forms as t-+ 00, first by examining b
there is a corresponding result for a modified renewal process. There s-+O and then by considering the contribution from t
is a simple relation between (5) and the Laplace transform (1.4) of roots of the equationf*(s) = 1 with largest real parts.
the renewal function in the ordinary renewal process. In fact special Erlangian distribution with two stages, we have

"'*(s) = 2p2(S+ pi
° S3(S + 2p)2

Thus, from (1.3.8) and (1.3.11), = p2 +L_..!.+ 1 p

2s3 192 8s 8(s+ 2p)
, 4(s+ 2pf

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
failure-time 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 semi-invariants 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 failure-time 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+ ( --+-4--3
-2+-3 1 3u 2fL3)
+0(1) (15) independent. Hence a semi-invariant for the number of rene
fL fL 6 2fL 3fL '
the combined interval is nearly the sum of the semi-invariants
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 so-called 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 Recurrence-Times
exactly and will not be given here. For large t we can write in (2), 5.1. The backward recurrence-time
MI ~ N I , SM, ~ t. Then we have that
We recall that the backward recurrence-time 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 failure-time 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 left-hand side of (3) is the semi-invariant generating function of prob(U1 = t) = $l"1(t),
M I , i.e. the rth semi-invariant is the coefficient of (-pY/rL Also where $l"1(t) is the survivor function for the first componen
logf*(s) is the semi-invariant generating function of failure-time, so for x < t, we have, asymptotically in Llx, that the probability
that if Kr is the rth semi-invariant of failure-time (4) is lies between (x,x+ Llx) is equal to the probability that th
renewal in the interval (t-x- Llx,t-x) and that the com
S2 s3
-KjS+K2 - - K 3 - + = p introduced then has failure-time 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
semi-invariants of NI are asymptotically lim h(t-x) = l/fL,
t-+ct)

by the result of section 4.4. Hence the limiting distribution o

(6) p.d.f.
$l"(x)/fL.
[611
We call (3) the limiting distribution of (backward) recurrence-time
and discuss its properties in section 3.
,
For the limiting distribution to be a reasonable approximation to ft(t+x)+ f h(t-u)f(u+x)du.
the distribution of U" the time t must be large enough for o
(a) .$1'1(t) to be negligible; If we consider the limiting distribution as t -)0 00, ass
(b) the renewal density h(t - x) to be near its limiting value for all fl(t) -+0 as t-+ 00, we have for the limiting p.d.f.
x such that .$1'(x) is appreciable. ' <Xl <Xl

If.the mean failure-time, 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- recurrence-time. We can therefore call the p.d.f. (2) t
bution of U, is the limiting distribution censored at t. This generalizes distribution "of recurrence-time, without specifying wh
the result found for the Poisson process in section 2.3.
ward or forward recurrence-time is meant.
Consider the exact result (1) for an equilibrium renew
5.2. The forward recurrence-time
We have that
We now consider the forward recurrence-time, 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(t-u) = -,
the residual life-time 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 service-intervals, which form a renewal process. A customer o
arriving at time t will have to wait a time V, for the first service-instant. Thus the limiting distribution of recurrence-time 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 recurrence-time of a renewal renewal process that started a long time before the time o
process.
5.3. The limiting distribution of recurrence-time
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 recurrence-time. The distributi
(a) the first component has failure-time in the interval (t+x,
J-shaped; if failure-times 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 (t-u, t-u+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 failure-time 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 length-bias
of recurrence-time and of failure-time, then off(x).
, The statistical interpretation is that we sample from a
m; = ftr+1 . (2)
of failure-times 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 failure-time selected.
variance of failure-time, 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 cross-section. This is length-biased 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)
failure-time 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 recurrence-time. Then the resulting observations will have the length-bias
As indicated in the examples in sections I and 2, it may sometimes distribution.
be required to obtain the distribution of failure-time from the distri-
bution of limiting recurrence-time. There are various ways this can be Consider for any renewal process a recurrence-time, 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 failure-time 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 recurrence-time 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 failure-time of the component in w
say by maximum likeJ.i!lQ9d. One assumption that leads to moderately sampling point falls, then X has the length-biased 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*( ~) = {l-U*(s)-(l-~fr(s)},
(1)
m s, s{l- U*(s)}

where f!(s) is the Laplace transform of the p.d.f. of the fi

In this approach, the p.d.f. F(x)/,." is connected with a recurrence-
time. Denote the corresponding transformed probability
time when the sampling point is randomly distributed. In the earlier
function in our case by G~is, ~; to), to emphasize its depe
sections, the sampling point was taken as a fixed point, I, remote from
the time origin. In fact, whenever the distribution of a random the starting point 10 ,
variable such as U" tends to a limit as I ~ ex:>, the limiting distribution Then
coincides with that of a random variable attained by considering a G*( ~. _\ = {l- U*(s)-(1- Oft(s;to)},
randomly distributed sampling point. m s, ,10) s{l- U*(s)}
The argument leading to (1) applies to a much wider class of pro-
cesses than renewal processes. All that is required is that the number where, by (2.1),
of failure-times of length (x,x+ .:Ix) should be proportional to
f(x) .:Ix; the independence of different failure-times is not required.
We shall need the more general result in section 6.5.
ft(S;IO} = Ie-SX{f(/O+X)+ j'ho<to-U)f(U+ X)dU

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 failure-time, XJ, not necessarily the same as that of 00
the failure-times 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 e-s"'ft(s;to)dto
o
of a new component as in an ordinary renewal process, but instead at
a time 10 later. The first failure-time in the modified process has then with a similar definition for G~t(s,~;so). We have direct
the distribution of a forward recurrence-time, 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{l-U*(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
so-s

Since h~(so'J refers to an ordinary renewal process, we have by (4.4.2)

that
(10)

Thus, combining (8)~(1O), we have that

Thus, formally, as in section 1.3 (iv), as t - ee,
(11)

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{1-f*(s)}2'
Hence the inverses of At. Al,At are
whence
.t . _ 2{f*(s)-f*(so)} (13)
tPm(s,SO) - s(so-s){I-f*(s)f{I-/*(so)}

Suppose now that we are concerned with behaviour for large t. We

therefore expand (13) for small s, writing

/*(s) = 1- fLs+ !fL2S2- tfL3 s3 + ....

 By (2) and (4.2.3),
E(N[ml) = Hit+ 10) - Ho(IO)
CHAPTER 6
I '0 1-'2
= -+-+--I-H (to)+o(1) (14) The Superposition of Renewal Proce
I-' I-' 21-'2 0

as I ~ 00. Finally 6.t. Introduction

In the previous chapters we have considered in detail the the
var(N,(m» = ~m(t; to)- E{N,cm»{1 + E{N[m»} (15) ordinary renewal prOcess and of two simpleg~neralization
and after reduction this becomes, for large t and arbitrary 10. the distribution of the first life-time is different from that o
failure-times. We deal in the next few chapters more brie
(mh ta2 1-'~2 21-'3 ~ number of further generalizations of the ordinary renewa
var(N, -, = 3"+4-33-2Ao(t0)-{Ao(tO)}2
I-' I-' I-' I-' These are

-; 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 failure-time, 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 failure-t
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.

6.2. The pooled output of several renewal processes

Suppose that we have p independent ordinary renewal pr
operation simultaneously, all with the same p.d.f. of fa
Consider the sequence of renewals formed by pooling the
processes. Figure 6.1 illustrates the special case, p = 3.
applications it will be more reasonable to take the indivi
ponent processes as equilibrium renewal processes.
Example. Consider an industrial process in. one stage
similar machines operate independently and inparalleI. Su
anyone of the machines produces items in a renewal proce
71
the production-times per item are independent random variables with 6.3. Some general properties
a common distribution. Then if the sequences for different machines If the individual processes are Poisson processes of rate p
are independent, so that in particular the different machines are not process is a Poisson process of rate pp. For, independe
kept 'in phase', the sequence of instants at which items are produced happens before t, the probability of a renewal in (t, t+
will be a pooled output of the type under consideration. We may need shown to be ppAt+o{At) and the probability of mo
to know the properties of the pooled sequence in order to plan the renewal is o(At).
next stage of production. Some general properties of the pooled process can
Example. In some neurophysiological investigations one is con- immediately from the corresponding properties of th
cerned with a number of neurons independently sending discrete processes. Thus if Nt(P) is the number of renewals in
pulses to a common central nerve cell. If it is assumed that the pooled process,
Nt(p) = N:+N;+ ..• +Nfp ),
ProCt55 J ',( It where Nfi) is the number of renewals in the ith process
'-'
I individual processes are independent, the mean, vari
general the semi-invariants of N,(p) are p times those of a
Procus 2 I
tI tI
\'
I
,, I
I
,,
'It process. Similarly, the probability generating function o

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
many-branching nerve endings, there are a large number of active and the distribution of failure-time 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 r-1 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 P-T/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 failure-time, equal to 2 when p = I,the ge
,=1 ,~I
for this type of distribution is
~

= 1: prob(Nt(p) = r){{,+I+,'+2+ •.• }

. ,=0
Now it was shown in section 3 that the asymptotic mea
{
= 1- { {G(t, m p
, (1)
rp./p. We can obtain an improved approximation as follows
the system at the instant S,(P). The total time for whic
ponents have then been in use is pS,(p). But P - 1 of the c
by (3.2). If we are pa!1icularly interested in E(Sr(p», we can write have still not failed. If we allowed them to continue until
~ would then have obtained the full 'lives' of r +p - 1 compo
E(S,(p» = f prob(S,(p) >
o
t)dt total time having approximately an expectation (r+p-l)p

pE(S,(p» = (r+p-l)p.-

f
~ ~ (p-l) x expected forward recurrence-
and hence L"
,=1
E(Sr(p» = 1~ {
0
{G(t, O}p dt. (2)
where the forward recurrence-time 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 recurrence-time !{
with two stag~ and, for simplicity, with p = 1. Then Thus

This is exact for the Poisson process, with p. = a, and, rath

ably, is exact also for the situation leading to (4), t
{G(t,O}P = (;;::2 ~ (~)(1 + v"Y< -1 + v'OP-' e(2,y'-pyC)t Erlangian distribution with two stages, and with p = 2
a2 = tp.2.
and
6.5. The inte"al between successive renewals
It may sometimes be required to calculate the p.d.f. g(x),
interval between successive renewals in the pooled out
however, that the pooled output is not, in general, a renew
the limiting distribution for intervals remote from the time origin, or, follows also because the pooled output is a Poisson proce
equivalently, take the component processes to be equilibrium As another example, suppose that the distribution of fa
renewal processes. The mean interval between successive ·renewals rectangular over (0,2p.), the mean failure-time being p..
is easily seen to be p.lp. To calculate g(x), first consider the limiting
x )2 P-2
backward recurrence-time in the pooled output. If this is denoted by g(x) = (2p-l)
-2p.- ( 1 --
. 2p.
(0 ~ x ~ 2p.
U, then
U = min(Uh ... , Up),
As p -+ 00, this tends quite rapidly to the exponential d
where U, refers to the ith component renewal process. Since the com- mean pip.. We shall see in the next section that the lim
ponent processes are independent, exponential in general.
P
prob(U> x) = TI prob(U, > x) 6.6. A large number of component processes
i-I Probably the most interesting properties of the pooled
to the 'local' behaviour where p is large, i.e. to behavi
periods short compared with individual failure-times.
limiting result is that the local properties are those of a
cess. We shall illustrate this for a few specific propert
so that the p.d.f.of U is, on differentiation, first the limiting form of (5.2).
Denote by Yp an interval between successive events

p.
--dujP-l.
§"(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 recurrence-time to the survivor curve of failure-time applies to
j
9O(X;).( 9O~U) dujP-I
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)
jP-I
= 90(-;) 1- f -,;-du
~(x) _ §"(x>(I"" --du
-- - p--
/F(u) jP-l, (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.

period 1= vfL/P, as P -+ 00 with v and fL fixed. We suppose. thatthe
component processes are equilibrium renewal processes and make the
very mild restriction on failure-time that as x-+O
F(x) = O(x/3)-
for some {1(O < (1 ~ I). Then in a single ordinary renewal process
Gil, 0 = 1+ 0(1/3),
large telephone exchange is the pooled output
sequences arising from single subscribers. Hence th
can be expected to be locally a Poisson process m
pendently of the form of the individual sequences.
that we have for statistical analysis a sequence of
pooled output of independent processes. The
behaviour, in particular of the intervals between su
will give little or no information about the form
processes.

since the probability of one or more renewals in (0, I) is 0(1/3). Now

the generating function of the number of renewals in an equilibrium
renewal process is, by (3.2.8),

= 1 + I(~ -1)+ 0(/1+/3). (2)

fL

. Thus, with 1= vfL/P; the generating function in the pooled output

ISthe pth power of (2), namely .

{
I + v('-l)
P
+0(_1 )}P
p1+/3 .

,.., exp{v(~-l)},

the ge.nera~ing function of the Poisson distribution of mean v = pI/fL.

Khmtchme (1960, Chapter 5) has proved that in the limit the
numbers of renewals in non-overlapping intervals follow independent
Poisson distri~utions, thus showing that in the limit the pooled output
is a Poissorfjjrocess. His proof does not require the component pro-
cess to have identical distributions of failure-time.
There are two consequences of these results. One is an explanation
of the occurrence in practice of processes closely approximating to
Poisson processes. For example, the sequence of calls received at a

CHAPTER 7
Alternating Renewal Processes
7.1. Introduction
Suppose that there are two types of component with failure-times
respectively {X;, X 2, ... } and {Xi, Xi, ... }. Let the corresponding
p.d.f.'s be fi(x) and h(x) and assume that all failure-times are
statistically independent. Consider a process starting with a new
Type I component, any component being replaced on failure by a
component of the opposite type (Fig. 7.1). The resulting process is
called an alternating renewal process.
~----------~K------o~------ ___ K~---- ____&-
FIG. 7.1. An alternating renewal process.
- - - Type I component in use x Type I failure
- - - - - - Type II component in use 0 Type II failure
Example. Suppose that a machine is subject to stoppages and call
the time necessary to restart a stopped machine a repair-time. There
is thus an alternating sequence of running-times and repair-times. If
it can be assumed that these are two sequences of independent random
variables, each sequence having its characteristic p.d.f., we have an
alternating renewal process.
Example. It may sometimes be required to compare the mean
failure-times ILl> IL2 of alternative types of component under condi-
tions of routine use, without keeping detailed records of failure-times.
Goodman (1953) suggested that this can be done, provided that a
reasonable number of components are in use simultaneously, by
replacing each component on failure by a component of the opposite
type. It is intuitively clear that after some time the proportion of
Type I components in use will estimate IL t1(1L1 + IL~; the proof of this
and the discussion of the length of time that should elapse before the
80
proportion is determined require the theory of an altern
process.
Example. The following probability problem arises
in connexion with an idealized model of the phenomeno
over in genetics. We have two paraIlellines A, B of leng
representing two chromosomes. Cross-over points C
distributed in accordance with an ordinary renewal pr
at the origin the centromere. At the first cross-over po
and B lines c;oss over. At the second, they cross back ag
The question of interest is whether at a point t from
lines A and B are in their original position; in other w
the probability that in an ordinary renewal process the
AI-I- - - - - - - - - - - - - - - - -
6~-------------~----------
C, C2
FIG. 7.2. Simple model of crossing-over.
number of renewals in (0, t). This is conveniently deal
sidering an alternating renewal process in which both
ponent have the same p.d.f. of failure-time. We then
probability that a Type I component is in use at time t.
Example. We have in section 2.4 taken as an example o
renewal process a counter problem in which a renewal
ever a particle is recorded. The failure-time between r
sum of a tillle in which the counter is blocked and.
nentially distributed, in which the counter is open b
arrives. Since these two times are independent the sys
treated as an alternating renewal process.
The idea of an alternating renewal process can be ge
example, we may have k types of component following
in cyclic order. Another generalizati~n is to ha~~ .k t
ponent and a.matrix «p;j» of transitIOn ~robabllitles,
the probability that a Type i component IS replaced o
Type j component. Such a system is called a semi-Ma
7.Z. The renewal functions Therefore
t
Several properties of the alternating renewal process can be obtained
directly from the theory of the ordinary or modified renewal process. ?TI(I) = .FI(t) + I hiu).FI(/-u)du.
For example, consider the sequence formed by the failures of Type II o
components. This is an ordinary renewal process in which each
On taking Laplace transforms, we have that
failure-time is the sum of the associated Type I and Type II failure-
times. Thus the first Type II failure occurs at time (XI + Xi), the ?Tr(s) = {l-Jt(s)}{1 + h~(s)}/s,
second at time (XI + XI) + (X2+ X2), and so on. We can therefore
apply the previous results, taking as the distribution of failure-time and, since h~(s) = sH!(s), we have from (2.1) that
the convolution ofJi(x) and/2(x), with Laplace transformJt(s)li(s).
By (4.1.4), the mean number of Type II failures in (0,/), H 2(/), say, {I-Ir(s)}
satisfies
• _ Ir(s) I~(s)
(I) Note that
H2(s) - s{l-Ir(s)f!(s)}
?T1(s) = H!(s)-HT(s)+ lis,
and in particular the asymptotic results of section 4.2 can be applied. from which
Similarly, if we are concerned solely with Type I failures, we have
a modified renewal process, in which the p.dJ. of first failure-time is
II(X), and of all subsequent failure-times is the convolution of ft(x) A direct probabilistic proof of (3) is easy and leads to an
andh(x). Hence, by (4.1.7), the expected number of Type I failures derivation of (2).
in (0, I) has Laplace transform Exact inversion of (2) is possible in the usual cases. Fo
suppose that both failure-time distributions are expone
• _ Ir(s) parameters PI and P2' We may call the resulting process an
HI (s) - s{l-Ir(s) f!(s)} (2)
Poisson process. Then
The corresponding renewal densities have Laplace transforms (s+p2l
?Tr(s) = s(s+ PI + p2l
h1(s) = sH1(s) (i = ],2). (3)

7.3. The type of component in use at time t = -P2

-.-1
+PI- - . - - -
PI+P2 s PI+P2 S+PI+P2
An important property that cannot be obtained from the earlier
whence
theory is the probability, ?TI(/) say, that a Type I component is in use
at time I. This is the sum of the probabilities that

(a) the initial component has a failure-time greater than I;

Thus
(b) there is a Type II failure in (u,u+ou), for some u < I, and the
•
Type I component then introduced has a failure-time greater than lIm ?TJ(t} = -P2- .
1- fL. t->oo PJ +P2
 7.4. Equilibrium alternating renewal processes
In some applications, it will be required to consider
Iim .( )
1Tl I = -1-'1- . (6) alternating renewal processes. There are three possibili
t-+ex) 1-'1 + 1-'2
Now for any distributions of failure-time, the system will, after a (a) We may take the time origin a long way from th
very large number 2m of failures, have spent a proportion of time process, but be given that a Type I component is in use.
the firstfailure-timeashavingthe p.d.f. F 1(x)/I-'., the se
(X;+ .•• +X';') mI-'l 1-'1 a Type n component with p.dJ. of failure-time f2(x), e
(X; + ... + X,;,) + (Xi + ... + X~) '" mI-'l +ml-'2 = 1-'1 +1-'2 (b) We may be given that a Type II component is in u
with a Type I component in use. origin, the roles of Type I and II components in (a) being i
(c) We may consider an equilibrium process in whic
It is therefore highly plausible, and can be proved by the strong law
of large numbers, that (6) holds independently of the form of the component in use at the time origin is not given. Thi
distributions of failure-time. This is proved formally from (2) by taking a mixture of (a) and (b) with probabilities 1-'1/
letting s~o. Since 1-'2/(1-'1 + 1-'2l.

Ij(s) = l-sl-',+o(s) (i = 1,2), Suppose that we require the equilibrium probability

we have that Type I component is in use at the time origin, that a
.*(s)
1Tl = 1-'1
--·-+0
1-'1+1-'2 s
1 (1) ,
-
s
ponent is also in use I later. Denote this by 1TW(/). The
(3.1) is
co t
from which (6) follows.
To investigate the approach ·to the limit for general Erlangian 1TW(t) = f F;:U) du+ f hie.J.(u)F (/-U)du
1
distributions, we consider, as in previous similar investigations, the t 0
non-zero root or roots of the equation
where h~e.J.(/) is the renewal density for the failure of T
It(s)ff(s) = 1 (7) ponents, given that we start in equilibrium with a Type I
with largest real part. If there is a single such root, s.,
a simple root, Therefore
we obtain in 1Tl (t) a term proportional to eS ' t, a multiple root giving
(e)*( ) _ {I-'I s-1+ ft(s)} + h(e)*( ) {1-IT(s)
a term I' e" t. Two simple complex conjugate roots produce a damped 1Tu S -:- _2 12 S
oscillatory approach to the limit (6). I-'lr s
Aspecial case of (2)dea1s with the genetical problem mentioned in Now it can easily be shown that
section 1. Here both distributions .of failure-time are the same and
(2) becomes
h{e)*(s) = n(s){l-/f(s)} ,
1 12 1-'1 s{l-If(s) I! (s)}
1Tt(S) = s{1 +r(s)} (8)
so that
and the special case (4) reduces to
1Tl(t) = t+ie- 2pt• (9)
o
 applicable. For the ith sampling point define
lim 7T~l(t) = ~. (5) Z _ I if a Type I component is in use,
t-+ro iLl + iL2
I - 0 if a Type II component is in use,

It is convenient, therefore, to write and let

(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
{l-tr(s)} {l- f!(s)}
(7) instant, either running or stopped. A widely-used metho
s2{1-tr(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 failure-time 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 long-te
1lT*(s) = (9) in raw material, etc.
p(al +az)s s2{(p+s)o.+o'_po,+a,}

To invert, (9) is expressed in partial fractions.

Now
7.5. The precision of systematic sampling E(Zj) = prob (ZI = 1) = ~,
As an application of the formulae of section 4, consider the estimation iLl + iL2
by systematic sampling of the proportion of time for which a Type I
component is in use. Take n sampling points, .::I apart, the first a long
sequence {Z/} is stationary and cov(Z/,Z/+k) depends only on k. In
fact ~1~2 1
var(Z) '" n(~1+~v2x 1-,,'
+"
To evaluate (7) for general Erlangian distributions of f
note that each term Ae' l' in TIT(t) leads to a term AeslJ/
L 'fIT(k.d).
The formula (9) is the most useful one either if the sc
available fixes r and we want to compare different spacing
is fairly large so that the binomial variance is expected t
approximation. The term (1 +,,)/(1-,,) in (9) gives th
which the binomial variance is increased; for exa
.d = ~l = ~2' the factor (1 + ,,)/(1-,,) for the alternati
on using (4.8). Thus process is equal to 1.31.
Another limiting form for the variance is obtained as
~1~2 2 n total time of observation to being fixed, nil = to- The limit
var(Z) = ( _,2+ 2{.., L (n-k)'fIT(kJ). (6) corresponds to continuous observation of the process, i.e.
n ~l + ~']J n \/"'1 + ~']J k = 1
ment of individual failure-times, and to the use of the sa
We first consider the limit of (6) for fixed J as n -+ co. The leading failure-times as estimates of ~l and ~2'
term in (6) is the binomial variance corresponding to n independent Now, by the Euler-Maclaurin theorem,
observations with variance (4). For large n and for functions 'fIT(t) that
decay to zero rapidly, e.g. exponentially, we can neglect the second
term in the summation and write

~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 failure-time. 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 1-01 10'03 1·00
0'4 2·63 1'05 3-66 1·03 5·06 1-01 of replacements up to time t.
0·6 1'86 H2 2·52 1·06 3-43 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 1-31 1-65 1-16 2·16 1-08
1·5 HO 1·66 1·28
customers, or amount of material, arriving at the ith·arri
1-34 1'57 1-18
2'0 1'04 2·07 1-13 1·58 1-31 1-31 is Wi' The random variable Z, is then the number of cus
3·0 1·00 3·01 1·03 2·16 1-10 1-66 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 general concept of a cumulative process and the asymptotic
results to be sketched below are due to Smith (1955, 1958). His
definition is, however, more general in that the process {Zt} is not
the same as the total stopped time up to t, Z; say. Acc
Smith's more general definition, Z; itself is a cumulative pr
asymptotic properties of Zt and Z; are the same.
In these examples Wi ~ O. This is, however, not in genera
in the following sections.

8.2. Independent increments

Suppose that WI is independent of Xi> so that the two seque
and {XI} are mutually independent. The distribution of W
continuous or discrete; in either case we write

for the moment generating function, which is, of course, th

transform of the p.d.f. when the distribution is continuous.

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(e-PZ')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(e-PZ'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,
failure-time is then X; + XI, the sum of the corresponding Type I and
Type II failure-times. Let WI = Xi'. Then Zt is the sum of all Type II co
·[(p;t) = E(e- Pz,) = I: {·g(p)}'prob(Nt = r)
failure-times up to time t, excluding the failure-time 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) = I-f*(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 failure-time, 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 semi-invariant generating function of N, is the log of (1) and
the rth semi-invariant, being the coefficient of (- pYlr!, is pt times
the rth moment about the origin of W.
The following are among special cases of possible interest in
applications.
(i) Two-point distribution for w. Suppose that prob(W = 1) = 0,
prob(W = 2) = 1- O. Then the probability generating function for
Z,is
exp {ptO{ + p/(1- 8){2- pt}, (2)
from which the distribution of Z, is easily found.
(ii) Geometric distribution for w. Suppose that the probability
generating function of W is (1- 8){/(1 - 00. Then the probability
generating function of Z, is
Pt({-l)}
exp { (1-00 . (3)
(iii) Exponential distribution for w. This is sometimes a plausible
model for the wear process mentioned in section 1. H the rate para-
meter is A, the moment generating function for Z, is, from (1),
8.4. The first passage time
Insomeapplications,forexamplethatofsectionlO.4,weareinte
not' directly in the distribution of Z, for fixed t but rather in the
Tb , say, taken for the process {Z,} to reach or cross a barrier at
the so-called first passage time. General methods for investi
first passage times have been much discussed in the theory o
chastic processes (Kemperman, 1961). Here, however, we sha
only with the relatively trivial situation where all the increme
are positive. It is then impossible for the process {Z,} to r
the barrier and therefore
Tb > t if and only if Z, < h.
This is a generalization of the relation (3.1.1) which was f
mental to the discussion of N, for renewal processes. Indeed
increments Ware identically one, Z, = N, and Tb = Sb, the tim
to the bth renewal, for integral b. In this special case, the prop
of Tb can be obtained directly and we use (1) to investigate Z,.
as also in section 6.3, we argue in the other direction, from Z,
For simplicity, suppose that the distribution of W is contin
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

e-P'exp (PtA). (4)

. A+P =
, 0
To invert (4), considered as a Laplace transform in p, we write it in " We use again the notation of section 3, namely that
the form
.q(p; b) = E(e- pTb), If'[(P; t) = E(e- Pz,),

f .q(p; f ·[(p;t)e-S
<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) = 1-p f [·(x;p)dx.
o
 Now Am+I/(S+A)m + I is the Laplace transform of Ae-Ab(
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, - -px-Ab L0() m+I
P
m!
m (M)m
x .--
m!
m=O

*q*(P; s) = f*(P){I - *g(s)} . (4)

s{l- *g(s)f*(P)}
In (4) the variable p is the argument of the moment generating func-
tion of Tb , whereas s is the argument of the Laplace transform with
respect to h, the position of the barrier,
. First, if we extract the coefficient of ( - p Y/r! in the expansion of (4)
m powers of p, we get the Laplace transform with respect to h of the
rth moment E(Tb). Thus, in particular,
Of course (10) and (I 2) 'can be obtained fairly easily from
ciples without using the general formula (4).
8.5. A general limiting result
We now examine in outline the properties of Z, in a mo
situation in which corresponding W and X are correlate

2{E(Tb);S} = p.x[!+ . *g(s) J'

s s{I - *g(s)} (5)
only with the limiting result for large t. The argument is sim
W has linear regression on X with constant variance
regression line, i.e. when
2{E(Tt>; s} = (u;+ p.b + (u;+ 3p.;)*g(s) 2p.;f*g(s)}2.
s s{l- *g(s)} s{l- *g(s)}2 (6)

The inversion problems are those arising in connexion with a renewal

pro~ess with distribution of failure-time g(x), and exact results are
avaIlable, for example when the distribution g(x) is of the special where Pwx is the correlation coefficient between Wand X.
Erlangian. tYP~. ~f n.SK)(t) is the renewal function in an ordinary Let Xl> ... , X, be, for large r, a sequence of failure-tim
process With dlstnbutIon of failure-time g(x), then
to Nt = r. Thus Xl + ... + X, "" t. The values of r of interest
E(Tb) = p.x{1 +nJK)(h)}. (7) within O( vt) of tjp.. Then
A special case when the inversion of (4) is fairly simple is when the
p.d.f.'s f(x) and g(x) are exponential with rates p and A. Then

*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';(1-p;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 least-squares 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

var(WI X = x) = O'; .x, (12)

 Xl + ... +
CHAPTER 9 :ablishes (1). The mathematical theorem necessary t
argument rigorous is the strong law of large numbers, w
Some other Generalizations precisely. f II
9.1. Introduction Now equation (2) requires much less than the u as
and B and hence we may expect (1) to hold very generall
In Chapters 2-5 we studied very simple processes involving just a failure-times, for example when:
single sequence of renewals. In Chapters 6-8 essentially the same
methods were applied to more complicated systems, not confined to (a) all failure-times are independent, have the same
a single series of renewals.
different distributions, the dispersions of these
In the models of Chapters 2-5, the key assumptions are that being such that (2) still holds;
A: all failure-times, except perhaps the first, have the same (b) the failure-times are correlated, but on the averag
distribution; weakly for (2) still to hold, for example, for the va
B: all failure-times are independent; left-hand side to tend to zero;
C: all failure-times are positive. (c) the failure-times have different means fLI, fL2, ... ,

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 failure-times 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 failure-time, fJ-, as a long-run 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 failure-times of the form
requirement that

E(X1) + ... + E(X,) ~ r/L, var (Xl) + ... + var (X,) '" ru 2, (2)
X2 = Z a-b+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 failure-times, 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+",+Za-b+ 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 failure-time. 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 non-adj
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
~),a-2'b+2b (_p_)'b-b.
generalization of the alternating renewal process studied in Chapter 7.
Secondly, suppose that the failure-times 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 -a-I
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() a-I}
- - - - +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 failure-time are IL = alp and
a - a p • us 7) can be written now has two possible generalizations;

2 2 (a) the number of steps in the random walk fallin

Hit) = p.!.+{~+
a
a '-1L } + 0(1)
21L2 .
(8) (O,t);
or (b) N t + 1 can be defined as the number of step
walk necessary to first reach or cross a barrie
~s is t~ be compared with the result (4.2.3) for arbitrary' d d
faIlure-times m epen ent
The simple relation of section 3.1 no longer relates N
Hit) = ~+ a2- IL\o(I) (9)
it is possible for the particle to leave the interval (
IL 21L2 . return. Methods for studying the first passage tim
widely studied (Bartlett, 1955, p. 48; Kemperman, 1
The additional term bla in (8)' th . be considered here. As for (a), we simply note that
adjacent failure-times. IS e correlatIOn coefficient between
mathematical theorems of renewal theory can be ex
The reason that the additional term' (8)' '"
t i' m e s ~
correlation between the fail IS POSItive IS that positive this. For example it can be shown that the number of
d h ure- mcreases the variance of th S falling in the interval (t, t+h) is asymptotically hilL a
an t us has a similar effecuo increasing a2 in (9). e ,

9.S. Failure-times wbich may be negative

In ~~ the previous discussion, the failure-times have been assum d
posItive. ~ terms of the original applications with the failure of co~
ponents, It makes no sense to have negative failure-f H -
some of the formal mathematical problems of renewa~~:~ ::ev~r,
when the random variables in the d fini ry mrun
negative values. e ng sequence {XI} can take
~t {Xl> X 2, ••• } be independent identically dist 'b ted d
vanables with positive mean IL; If the X rna be n .u ran om
longer. interpret them t' I y negative we can no
as Imes and we therefor thi k f he
differently, as follows. At time 'T = 0 a particl: t n 0 tth process
The particl . . ' s a rts at e origin
e moves m dIscrete jumps along the real axis as follows:
 (section 1.2). We shall see in the next section that th
CHAPTER 10 the only model leading to an exponential distributio

10.2. Failures of many types

Probabilistic Models of Failure Suppose that there are a large number n of types
failure-times Yt •.••• Y n • That is. Y i is the notional
10.1. Introduction would be observed if all types of failure except the ith
It has been stressed in the earlier chapters both that the general The actual failure-time. denoted by Xn when ther
theorems and formulae of renewal theory apply to arbitrary distri- failure. is then Min (Yt ••••• YJ. Now assume that
butions of failure-time and that 'failure' can be given a very wide independent and identically distributed random
range of physical interpretations. We now turn to problems specific- cumulative distribution function L(y). Then. since
ally connected with failure in the sense of breakdown.
We calculate in the present chapter the distribution of failure-time Xn;;' x if and only if Y i ;;. x (i = 1.2.
that would arise were the failure process described by various simple
it follows that
probabilistic models. The object of such investigations is
(i) to give qualitative insight into the types of failure-time distri- prob(Xn ;;. x) = prob{Y/;;. x (i = 1.2
bution that would occur under various idealized conditions;
(ii) to be able to fit an appropriate distribution to observed distri- = {l- L(x) In.
butions of failure-time and to interpret the parameters in terms of Suppose now that L(x)"" axl% (IX> 0) as x tends t
some underlying physical process.
sufficiently large n. only small x need be considered
The possibility of inferring something about the underlying
physical mechanism from the observed distribution of failure-time is prob(Xn ;;. x) ,.., exp {-nL(x)}
an attractive one. However. there are great difficulties; for example
major changes in the model may make no. or very slight. changes in ,.., exp { - naxl%}.
the distribution of failure-time. The really satisfactory way of finding
Let X~ = Xn/kno where k n is a normalizing constan
out more about the failure-process is to make subsidiary measure-
that X~ has a limiting distribution as n -+ 00. Then
ments on the components throughout their life and to combine these
with the value of the failure-time and. where appropriate. the type of prob(X~ ;;. x) = prob(Xn ;;. knx
failure.
One very simple model of failure can be dealt with immediately. ,.., exp{ -nak~xl%}.
Suppose that failure is caused by the occurrence of some single
Take k n = (na)-t/I%. Then
external event having nothing to do with the age of the component.
For example. suppose that failure is caused instantaneously by gross prob(X~;;' x),.., exp{-xl%}.
misuse of the component. It would then often be reasonable to take
the probability of failure in a small time interval to be constant and Thus the standardized variable (na)t/I% Xn has a
independent of the age of the component. Then the age-specific distribution (section 1.4 (vi».
108
 Note that the index Ot of the Weibull distribution is determined by Then, because of the independence of Y t and Yz
the local behaviour near x = 0 of the underlying cumulative distri-
butionfunctionL(x). IT Ot = 1, so thatL(x) is what we may call locally prob {x < YI ~ x+ Llx and
rectangular near x = 0, the limiting distribution is exponential. This flex) = lim Llx
<lx-+O+
'explanation' of the occurrence of the exponential distribution is
quite different from that given in section 1.
The model of failure discussed in the present section is not often and similarly
likely to be · very reasonable as it stands. Even if there are many
possible types of failure, it would usually be more realistic to treat the where !l'/(x) are the survivor functions correspond
Y/ as not independent and not all having the same distribution. It is follows that the conditional odds that the failure is o
very plausible, however, that the limiting form (5) will apply under than of Type II, given that failure occurs at x, are
much more general conditions than those assumed in the above
7TI(X) = /t(X)!l'2(X)
derivation.
7T2(X) 12(x)!l'I(x)
10.3. Two types of failure IT we use (1.2.S), the fundamental property of age
In the previous section we considered a limiting situation in which rates, we have that
the number of types of failure is large. Now we consider some prob- 7TI(X) 4> I (x)
lems arising when there are a small number of types of failure, say 7T2(X) = 4>2(X)'
for simplicity two, and the nature of each failure is observed.
Let the notional failure-times for Type I and II failures, defined as In particular the type of failure is independent of ag
in section 2, be independent random variables Yt and Yz with p.d.f. 's the age-specific failure-rates are proportional.
ft(x) and [z(x) and with age-specific failure rates (f>t{x) and 4>z(x). The p.d.f. of failure-time is
Then the observed failure-time is
f(x) =ft(x)+fz(x)
(1)
= !l'1(X}!l'2(X){4>I(X)+4>Z(x)},
and the observed type offailure is I if Y t < Y z and II if Y t > Y z. We
and the overall probability that failure is of Type I is
deal only with continuous random variables and therefore it is im-
material how the type of failure is defined when Y t = Y z. The pro-
perties of X and the type of failure can be specified in various ways.
We shall, in particular, use the following:

7T/(x),the conditional probability that failure is of Type i given that
failure occurs at x;
fi(x), the joint probability - p.d.f. that failure is of Type i and
occurs at x;
f(x), the p.d.f. of failure-time;
7Th the probability that failure is of Type i.
One special case of these formulae is when the un
Ij(x) are exponential with parameters PI' Then
7Tj = P;/(Pl + pz),
the p.dJ. of failure-time is exponential with parame
failure-time and type of failure are independent.

X, and type of failure in terms of the underlying distributions /j(x).
Conversely, corresponding to a given joint distribution of X and type
of failure, there is a unique pair of distributions [j(x).
For the survivor function of X is
the Type i failure. In the second, single-risk, model thes
distributions are the underlying distributions of failur
double-risk model
SW"(x) = 7Tle-A,x+7T2e->',x

SW"(x) = prob{YI > x and Y 2 > x} flex) = ~l e->',x,

= 2'1(X)2'2(X). (9) so that from (11), the p.d.f. [leX) of the underlying d
Type I failure-time is
Therefore, by (2) and (9),
/;(x) [j(x) ~te->',x exp -
( JX ~l \ \
SW"(x) = 2'j(x) = q,j(x). (10) 7Tle-A,X+7T2e->',x 0 7TI+7T2e-(I\·-I\,)

Hence, by (1.2.11), = ~1(7TI + 7T~>"/[1T'(>'. - >.,)] e-(>"x)/1T~{7T1

+ 7T2 e- (>'.- A,) X}< -1T, >'.-1T,>.,)/[1T,(>..- >.,)

[I (x) =
/;(x)
--exp -
SW"(x) ( JX
-- )
/;(u)
SW"(u)
du . (11)
o 10.4. Dependence of failures on wear
Equation (11) corresponds to the life-table analysis of a set of data. In some applications it may be helpful to consider failure
It would very often be natural to consider a model similar to the on a physical property of the component, which we cal
present one but in which the underlying random variables YI, Y 2 are be the value of the wear of a component of age x. We d
not necessarily independent. A consequence of (11) is that it is not wear-specific failure rate as
possible, from observations on failure-time and type of failure alone prob(x < X ~ x+ Llx I x < X,Z
to test for the existence of correlation between Y 1 and Y 2 • For a~ q,(z,x) = lim LI
4x~+ X
arbitrary joint distribution, specified by arbitrary functions /;(x) , is
always exactly consistent with independent Yh Y2 . An important special case is when q,(z,x) is a function
A second, quite different, type of model with two types of failure, that given the wear, age is of no value as a predictor
can be obtained by postulating what is in effect a very extreme form would be possible to deal with multi-dimensional wear
of dependence between Y1 and Y 2• Let components be of two types, this will not be done here. When {ZA is a stochast
with probabilities 7Th 7T2, where 7T1 + 7T2 = 1. Components of Type i specified structure and the function q,(z, x) is given, we
ar~ certain to have Type ifailures, the p.dJ. of failure-time beingl;(x). abilistic model of wear and failure. We shall consider
It IS clear that any joint distribution of failure-time and type of failure special cases.
could be produced in this way. First suppose that Zx can take on two values only,
To illustrate the difference between the two types of model, suppose satisfactory and unsatisfactory. In the most general mod
that the conditional distribution of observed failure-time fi(x) are we have
exponential distributions, ~je->',x, and let 7T;, be the probability of q,(O,x) = q,o(x), q,(l,x) = q,t(x).
model is completed by specifying a function '\(x), where meaning and an alternative derivation of (11) is easily ob
noting that With probability ¢>o/(¢>o + A) failure occurs after
'( ) l' prob(Zx+..:!x = llZx :':: 0, X > x) exponentially distributed with parameter ¢>o+'\', whereas w
I\X= 1m . (3)
Llx-Hl+ .dx ability A/(¢>o+ A) failure occurs after two stages independ
Letp/(x) (i = 0,1) denote the probability that after time x failure ponentially distributed with parameters ¢>o+'\ and ¢>1'
has not occurred and that Zx = i. Then, from the definitions ofA(x) range of Erlangian distributions can be generated in this w
and ¢>i(X), we have that The second simple special case is when failure occurs im
the wear Z x exceeds some fixed critical level zoo That is,
Po(x+ Ax) = Po(x){I-'\(x) Ax-¢>o(x)dx}+o(Ax), (4) perfect predictor of failure. The failure-time is now the fir
Pl(X+ Ax) = Pl(x){l- ¢>1(X) Ax}+'\'(x)po(x) .dx+o(Ax), (5) time of the stochastic process {Zx} across the barrierzo. Fo
simple {Zx} the distribution of failure-time can be deter
together with the initial conditions Po(O) = l, Pl(O) = O. The solution plicitly. For example, suppose that wear is produced by a
of the differential equations resulting from (4) and (5) is • blows' occurring in a Poisson process, or more generally in
(6) process. Suppose also that the wear at the ith blow is a positiv
variable W" the sequence {WI} being independent identic

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.

A(x) = exp {- f A(U)dU} iP;(x) = exp { - f ¢>i(U)du} (8)

In particular if a large number of steps are necessary to
the distribution of failure-time will be nearly normal. A
wear per blow is constant, the failure-time is the time f
The p.d.f. of failure-time is number of renewals to occur in the underlying renewal .p
blows. If this underlying renewal process is a Poisson pr
¢>o(x) Po(x) + ¢>l(X)Pl(X) (9) distribution of failure-time will be of the special Erlangian
a stages, where a is the number of blows necessary to produ
and, given that failure occurs at age x, the probability that the wear
The final special case is due to Mercer (1961). As it is m
at failure is 1 is
plicated we shall not go into details here. Wear is consider
(10) duced by blows in a Poisson process, the wear per blow
¢>o(x)Po(x)+ ¢>l(X)Pl(X) gamma distribution, reasonably simple results being obtai
The simplest special case is when '\'(x), ¢>o(x), and ¢>l(X) are all the wear per blow is either constant or has an exponential dis
constant. Then the p.d.f. of failure-time is .Finally it is assumed that the age-wear-specific failure ra
form ¢>t(t)+Z¢>2'
(11)
 CHAPTER 11
Strategies of Replacement
11.1. Introduction
We now consider some more specialized problems connected speci-
fically with the replacement of components such as electric light bulbs,
valves, etc. The main topic concerns whether a strategy of scheduled
replacement before failure is likely to be preferable to a strategy of
using all components until failure. A discussion on this in a practical
case will depend on considerations not all of which can be incor-
porated into a mathematical analysis. All we do here is to investigate
some idealized systems.
The following assumptions will be made throughout:
(a) components are completely effective until they fail, after which
they are completely ineffective. We exclude replacement problems
arising from gradual deterioration in performance or from gradually
increasing maintenance costs;
(b) we ignore queueing problems arising because several com-
ponents fail simultaneously and repair facilities are limited'
(c) when a renewal occurs, either a completely new com~onent is
inserted, or the old component is repaired so that the p.d.f. of its
future life-time is that of a new component;
(d) the p.d.f.J(x) offailure-time is known.
Assumption (c) can be relaxed provided that an explicit assumption·
can be made about the distribution of failure-time for the repaired
components. Assumption (d) is important. Rational discussion of
replacement strategies is impossible without fairly detailed informa-
tion about the distribution.
Suppose that there are two types of replacement:
(i) service replacements made after failure
(ii) planned replacements made before faiiure.
116
strategies will be ~he average cost of replacements per un
course in a practical case careful consideration has to b
deciding which costs in the system contribute to C s and to
11.2. Some simple strategies
We start by considering three simple strategies.
Strategy A. Make service replacements only.
Strategy B. Make a planned replacement at times tb, 2
spective of the age of the component then in use. Whe
occurs make a service replacement.
Strategy C. Make a planned replacement if and only i
the component in use reaches tc' When a failure occurs ma
replacement.
In a general way, strategies Band C are likely to be ef
if there is substantial increase with x in the age-specific
cfo(x). Other things being equal, Strategy C is preferable to
since, in following Strategy B, a planned replacement m
of a component that has only just previously been broug
The Strategy B may, however, be appropriate if inspec
system is necessary for some other reason at intervals tb'
can be improved in various ways, for example by not ren
ponents which are almost new.
The mean cost per unit time of Strategy A is
where p. is the mean failure-time. For in a long time T t
nearly TIp. failures. . .
To find the corresponding cost for Strategy B conS
period tb starting with a planned replacement. In this
average number of service replacements is given by t
function for the corresponding renewal process and in t
of section 4.1 is H o(tb)' There is in the period just one plan
ment so that the average cost for the period is
cp+csHitb)
 preferable to Strategy A if
C = cp+c.Hitb).
~ < 2~(l- p.2).
B (2) 2
tb 0-
C
s
For Strategy C, note first that the probability that a given com-
ponent's life is ended by a planned replacement is .1F{tc). Further, the Now if 0-2/p.2 is small, Ho(tb) is likely to fall appreciab
mean length of time for which a given component is used is asymptotic value (4), especially near tb = tp., ip., .... H
Ie Ie
cases more detailed investigation is necessary befo

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

C _ cs -'- (c.- Cp).1F(lc)

C - te • (3)

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)

Hence for large Ib

where cfo(x) is the age-specific failure-rate, and cp( 00

(5)
possibly infinite, as x -+ 00.
 Hence a sufficient condition for Strategy C to be preferable to Therefore
Strategy A is that

(8) CD = !.tp+CsHitb-td)+ {(Ci+C/'X)hitb-X)§'

tbt 0

The optimum value of te can be found in a more detailed investi-
gation of C c made from the simple formula (3).
11.3. A strategy involving idle time
In some applications where strategies similar to B are used the
following complication may arise. If a failure occurs just befor~ one
of the planned replacement points tb, 2tb, ... , it may be preferable to
postpone replacement until the planned replacement point. As a
result the system will be idle for a certain time, or, perhaps more
realistically, may function less efficiently. Let the cost of a period of
idle time oflength t be cj+ ci t, where possibly cj = O.
We consider Strategy D defined as follows.
Strategy D. Let replacements be made as in Strategy B, except that
if a failure occurs in an interval (rtb - td, rtb), the system is left idle
up to time rtb (r = 1,2, ... ).
To evaluate CD, the cost per unit time for this strategy, note that
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
unit time. Now for any period the idle time is equal to
The condition that it should be profitable to allow idl
take td > 0, is that the partial derivative of CD with respec
be negative at td = 0, i.e. that
Cs > ci·
In particular if ci = 0 it is always profitable to allow idle
Assuming (4) to be satisfied, we can find the optimum
denoted by i d , by equating the partial derivative to zer
equation
This can be solved for td when the survivor function and
known. However, it is likely very often that tdwill besm
when
If the functions Hit) and hit) vary little over a per
treat hitb-X) as constant in (3) and also can write
Ho(tb - td) ,.., Hitb) - tdhitb)'
Thus

(1) CD"" ~{cp+ csHitb)- Cs tdho(tb) + ho(tb)(citd+

o (Utb ~ td), tb

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 hitb-X)§'(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

J(ci+ c7x) ho(tb-X) §'(x) dx.

o
(2)
CD"'" C B - 2 tbci"

If tb is not too small we can replace ho(tb) by its limit

11.4. Strategies involving wear period always has zero wear, all periods are stati
So far we have considered strategies in which age is the only property We need the results of two preliminary calculation
of a component involved in the decision about its replacement. We number of failure~ in time tf and second for the p
now deal with a replaCement problem in which the wear of com- time tf the wear of the component in use is 1.
ponents can be measured, restricting attention to the simplest model The first is given by Hit,), the renewal functio
of section 10.4 in which there are only two levels of wear 0 and 1 renewal process with p.d.f. of failure-time (10.4
and the associated transition probabilities are constant ~o that j~ transform of (1004.11) is
particular the p.d.f. offailure-time is (10.4.11). '
(scpo + CPo CPt + >'CPt)
Two strategies will be considered.
(s+>.+ cPo}(s+ CPt)
Strategy E. Make a planned replacement immediately the wear
becomes 1. Make a service replacement on failure. and hence, by (4.1.4),
Strategy F. Inspect the system at times (tf> 2t" ... ). Make a planned
replacement if the wear is I. Make a service replacement on failure. H*(s) = (scpo + CPo CPt +CP.)
o s2(s+ >. + CPt)
In following Strategy E, the time for which a component is used is
exponentially distributed with parameter >'+CP •. ItS use ends with a CP.(>'+CPo) I >,(cp.-CPo).!+ )
service replacement with probability cp./(>' +CPt) and with a planned = (>. + CPt) .? (>. + cpt)2 s (>. + c
replacement withprobabiIity NCA+CPl)' Hence
Therefore
(1)

The mean failure-time 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{l-e-<,\+<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

= Cd>I(A+¢O)+ A{I-e-<..\+,p,)II}{c _¢t-</>0c}. (7)

(A+</>I) (A+ </>1) lj P A+</>1 s
Bibliographical Notes
As tf -+ 00, the cost C F tends to C A, the cost when there are service
General. The references in the main part of this monog
replacements only. As tj-+O, the cost CFtends to CEoThe condition
kept to a minimum. Those given are necessary either f
that CFshould be close to CEis that (.:\.+ </>1)tf~ l.
subjects dealt with only in outline or for finding ou
The advantage of using wear rather than age as the condition for
mathematical or statistical matters, a knowledge of
replacement can be assessed numerically by comparing CE , given by
assumed. Smith (1958) has given an excellent accoun
(1), with CB and C e, given by (5), (2.2), (2.3) and (10.4.11). The
mathematical theorems of renewal theory, and has
resulting formulae are rather complicated and will not be given.
of advanced developments, especially concerning p
electronic counters. This paper contains references
more important papers on renewal theory published
1948 and 1958. Earlier work is summarized by Lo
Frechet (1949). Current work on renewal theory m
mathematical, statistical or operational research jour
on its particular emphasis. Such work is most easily
either Mathematical Reviews or International Journ
Statistical Theory and Method.

Chapter 1. Nearly all the material in this chapter i

ErIang's work on stages (section 1.4 (iii), (iv», see Jen
(1955) has considered extensions using complex t
abilities. The simplifications arising in renewal th
Laplace transform is rational have been widely exp
explicit use of the' stage' device seems new.

Chapter 2. Feller (1948, 1949) stressed that renewal th

ant for studying a wide class of stochastic processes
discussed the theory for discrete time (Feller, 19
equilibrium renewal process was considered by Doob
Cox and Smith (1954). The application of renewal
tronic counters (section 2.4) was started by Feller (194
has extended and reviewed this work.
125
 Chapter 3. The usefulness of the simple relation (3.1.1), especially for
asymptotic theory, was stressed by Feller (1949,1957). Skellam and
Shenton (1957) gave many exact results for the distribution of Nt and
for other related properties of renewal processes. The material in
section 3.4 is dealt with in more detail by Cox (1960).
Chapter 4. Smith (1954) proved, under very weak conditions, the
asymptotic result (4.2.3) for the renewal function. Early work in
renewal theory concentrated especially on the renewal density (sec-
tion 4.4). Feller (1941) gave the first rigorous proof ofthe convergence
of the renewal density to a limit; Smith (1960) has given a remarkable
necessary and sufficient condition for convergence. The integral
equation of renewal theory occurs in .the deterministic theory of a
number of types of growth process. The use of Wald's identity to
obtain the higher moments of Nt follows Bartlett (1949), the important
inverse relation (4.6.4) being due to Tweedie (1945).
Chapter 5. Recurrence-time problems are important in stochastic
processes generally and Bartlett (1955, pp. 56-67) has given a rather
general discussion. Takacs (1960) has given an argument equivalent
to that of section 5.4. Owen (1949) and Skellam and Shenton (1957)
have discussed the number of renewals in an interval not starting at
the origin.
Chapter 6. The superposition of processes is considered by Palm
(1943), Cox and Smith (1953a, 1954), Cox (1959) and Khintchine
(1960, Chapter 5).
Chapter 7. Cane (1959) and Page (1959) have considered applications
of alternating renewal processes to, respectively, animal ethology and
the maintenance of electronic computers. The important concept
(section 7.1) of a semi-Markov process is due independently to Smith
(1955) and Levy (1954).
Chapter 8. The main references are given in the text. A number of
special cases of Smith's general theorem, outlined in section 8.5, have
since been given in the literature. Mercer and Smith (1959) investigated
cumulative processes associated with a Poisson proc
with a study of the wear of conveyor belting.
Chapter 9. A further discussion of generalizations
(1958). Cox and Smith (1953b) and Smith (1961) hav
theory when the failure-times, although indep
identically distributed. Since renewal theory is, i
special case of the theory of random walk, the
literature on random walk is relevant.
Chapter 10. Buckland (1962) has given a bibliogr
work on probabilistic models of failure. The asym
extreme values (section 10.2) is discussed very thoro
(1958). A model of failure with wear, rather similar
10.4, is discussed by Bovaird (1961). The bibliograp
(1958) on life-testing is useful in connexion with Ch
Chapter 11. The extensive operational research lite
ment theory is reviewed by Dean (1961). Replace
measured wear is considered by Mercer (1961) and b
Crookes (1961) has discussed the formulae of sect
more detail and has given tables and graphs for us
special Erlangian distribution of failure-time.

'APPENDIX II
Exercises and Further Results
I. Let e(x) be the expected future life of a component of age x, i.e.
E(X - x I X> x). Prove that
co
e(x) = ~( I.F(U)dU
.F x)
x
and show that, conversely, .F(x) can be determined from e(x).
(Section 1.2)
2. Prove that a necessary condition that c/>'(x) < 0 is thatf'(x) < O.
Hence show that c/>(x) can be strictly decreasing only if the distribution
has a unique mode at x = O. Investigate c/>(x) and e(x) for the log-
normal distribution, as ex. _ 00.
(Sections 1.2, 1.4; Watson and Wells, 1961)
3. Prove the elementary results for the Laplace transfonn stated in
equations (1.3.4) and (1.3.8)-(1.3.14). (Section 1.3)
4. Prove from first principles the convolution fonnula (1.3.16), for
n = 2. Hence show that if XI and X 2 have independently the p.d.f.
pe- Px, then XI + X 2 has the p.d.f. p 2 xe- px• (Section 1.3)
5. Prove that for the Erlangian model, (1.4.4), with a stages in
series, the coefficient of variation is between 1 and 1/ v'a. Prove also
that for the two-stage model of (1.4.5), with Laplace transfonn say
{(l + sp.) PI P2}/{(PI + S)(p2 + s)}, the coefficient of variation tends to
infinity as P2-0, Pl/P.-+ 1-. (Section 1.4; Cox, 1955)
6. Draw and compare the p.d.f. 's of the r, Weibull and log-normal
distributions of mean 1 and coefficient of variation (a) 1 and (b) 1/v'2.
(Section 1.4)
7. Suppose that the distribution of failure"time has a discrete
probability Fo at zero failure-time, and otherwise is absolutely con-
tinuous with p.d.f./(x) (x > 0).
128
Exercises and further results
(i) Prove that, given that at least one renewal o
probability that there are exactly r renewals is F 1( o-
(ii) Prove that the alternative fonns for the renewa
in (2.1. 5) and (2.1. 6) are no longer equivalent and th
times the other.
8. Obtain the p.d.f. of Sr for a Poisson process by
elementary argument. Divide (0, I) into m subinterva
and calculate the probability that there is one event
interval and r-l events in the preceding subintervals.
as..1/-O.
9. Let the distribution of failure-time be a displac
with p.d.f. pe-p(x-y) (x> y;;' 0). Prove from (3.1
associated renewal process
r-I
-"" -p(t-ry){p(l-ry)}
probeNI < r) - L e k!
k=O
Verify that the result can be obtained also by inverti
transfonn (3.2.4).
(Sections 3.1, 3.2, 2.4, 1.4 (iii); M
10. Obtain a probabilistic proof of (3.2.9) by usin
facts. In order that N;e) = r it is necessary, for r> 0
renewal occurs at some U (0 < U < t) and that r-l ren
time 1- U in the ordinary renewal process starting at th
The p.d.f. of time up to the first renewal is, by defi
equation (3.1.3) and the definition of the repeated con
to be used. (Section 3.2; Cox an
11. Obtain an alternative derivation of '(3.2.4)
Pn(x; I), the joint probability and p.d.f. that n renewal
by time 1and that the age of the component then in use
By considering transitions occurring in (I, I + ..1/), pro
Pn(x+ ..1/; 1+ ..1/) = Pn(x; I){l- c/>(x) ..1/}+ 0
I
piO; I) = f
o
Pn-I(Y; I) c/>(Y)dy,
Pn(x;O) = SnoS(x),
where Sex) is a Dirac delta function, and Snm is a Kronecker delta
symbol. Solve these equations recursively in n or by taking generating
functions. (Sections 3.2, 10.4; Bartlett, 1955, p. 96)
12. Derive, by the method of exercise 11, the equations for
pix;t) when the probability of failure between (t,t+ ..1t) of a com-
ponent then of age x is </>(x) + A(t). Show, in particular, that when </>(x)
is independent of x, and hence can be taken as zero, the number of
renewals in (0, t) has a Poisson distribution of mean
t renewals to occur before the first catastrophe is h~(s).
f A(u)du.
"
Prove this also by dividing (0, t) into a large number of small sub-
intervals. (Sections 3.2, 2.3)
13. Obtain an alternative proof of (4.1.1) by introducing random
variables
U = 1, if rth renewal is in (0, t],
r 0, otherwise,
and noting that Nt = U I + U2 + .... Does (4.1.1) hold also for pro-
cesses in discrete time? (Section 4.1)
14. Show from (4.1.4) that for a given function Hit) there can be
at most one p.d.f. of failure-time for which Hit) is the renewal func-
tion in an ordinary renewal process. Show that t +a(1- e - ~ is an
ordinary renewal function if and only if a = O. (Section 4.1)
15. Suppose that as x-+ co, ~(x) ~ ax-a (0 < IX < 1), so that the
mean failure-time is infinite. Prove formally that as s-+O
1- /*(s) = s~·(s)
16. Prove that for the log-normal distributionf*(s)
at s = 0, even though all the moments are finite, and
arguments of section 4.3 are not directly applicable.
(Se
17. Suppose that independently of an ordinary re
with p.d.f. of failure-time f(x), 'catastrophes' occur
process of rate s. Prove that the probability that failure
there is a catastrophe is I*(s) and that the expect
a probabilistic proof of (4.4.2). (Sections 4.4, 1
18. Suppose that the possible values of failure-time a
probabilitiesfl,f2, .... Consider an ordinary renewal p
hn be the probability that there is a renewal at time n. P
and hence prove that Htm = ptm+Htm ptm, w
Htm are the generating functions of {In} and {h n }
corresponding argument in continuous time?
(Section 4.4; Feller, 195
19. Show that for the r distribution (1.4.6), u
2
""3/,.,,3 = 2/oc2. Hence show from (4.5.17) and (4.5.18) t
var(N~'» ~ var(N[o» according as oc ~ 1. (Se
20. Let Nt and Mu = N t•t + u be the numbers of r
ordinary renewal process (O,t) and (t,I+U), where I a
large. By applying (4.5.17) to Nt andto Nt + M u , and
show that

~ ar(I-IX)sa
S-I-",
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(,.,,2-u
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
with two stages, for which .d it) = 1- e - 2pt, the variance of the number
of renewals in (to, t +(0) is, for large t,
1-pt+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
«Pij», and with p.d.f. of failure-time in the ith statef
the renewal density for 'failures' of Type i and let "IT
ability that the system is in state i at time t. Suppose
starts in state 1 at t = o. Prove that
,
1 0
f
h!O) = 8 11 /,(t) + ~ hj(t-U)Plifi(u)du

renewal processes with distribution of failure-time normal with mean

5 and standard deviation 1. Form frequency distributions for (i) inter- ,
vals between successive renewals, (ii) the number of renewals .in
successive intervals of lengths 1 and 10. What is the implication of
"lT1(/) = 8\i.?F,(t)+ ~
J 0
f hj(t- U)P11.?F,(u

your results for the statistical anlaysis of such series? (Section 6.1)
24. Examine the asymptotic form of the interval between suc-
cessive events in a pooled output of renewal processes by writing, in
(6.6.1),
.?F(U) = l-/ou-t!ou 2 - ••• ,
where 10, 10, ... refer to the p.d.f. at u = O. In particular, show that
(6.6.1) can be written
e-x{ 1+ (x- !X2~O - ILlo) + 0 (~)}
and that the corresponding p.dJ. is therefore
Reduce these equations by a Laplace transformati
whenfi(x) = Ple- PIX (i = 1, ... , k), the equations for
the usual ones for a Markov process. (Se
27. Obtain the Bessel function representation (8.3.6
(8.3.5) in powers of Ij(A+ p) and inverting term by term
(Se
28. Let U, and V, be respectively the backward a
currence times at time t for the {Xn } process in the cum
with linear regression defined in the first part of section
(8.5.3) can be written exactly as

e -X{l - 0-2x+tx
P
2)(I-ILI0)
+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';(1-P;x}E(Nt)+(l-'w-Pwx::I-'~r var(Nt) APPENDIX III

2 0'2
+PWX wvar(Ut)
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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
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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, 125-9, 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, 136 125-7, 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
Age-specific failure rate Age-specific failure
definition of, 3, 4 log-normal distr
exponential distribution, for,S, 128
108, 109 relation with oth
extreme-value distribution, for, 21 replacement stra
gamma distribution, for, 20 117,119
139
Age-specific failure rate - cant. Edgeworth expansion, 35 Failure-times, correlated, 104-6, Length-biased sa
several types of failure, for, 111, Electronic computer, 126 134 Life-testing, 127
112 Equilibrium renewal process negative, 106, 107 Log-normal distr
Age-wear 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, 97-9, 107, 115 Mittag-Leffler se
90, 101 renewal function, for, 45, 46 Forward recurrence-time, see Re- Models of failure
Alternating renewal processes time to rth renewal, in, 33, 34 currence-time, forward Moments, defini
definition of, 71, 80 variance of number of renewals, number of rene
examples of, 80, 81 for, 56-9 Gamma distribution
limiting behaviour, in, 84-6, 103 Erlangian distribution age-specific failure rate, for, 20 Negative binomi
properties of, 82-6, 101 general compared with other distribu- Negative failure-
systematic sampling, application application of, 114, 115, 123 tions, 23, 24, 128 Neurophysiology
to, 86-90 definition of, 16, 17 definition of, 18 Number of renew
Animal ethology, 126 model of wear, associated with, properties of, 18-20 asymptotic dis
115 renewal theory, for, 51-3, 131 103,104
Backward recurrence-time, see Re- particularcasesof,17,114,123 see also Erlangian distribution, expected valu
currence-time, backward properties of, 17, 128 special function
Bessel function, 96, 99, 133 special Genetics, 81, 84 general proper
Branch point, 51-3 application of, 33, 34, 36-9, Idle time, replacement strategies higher momen
42-4,46, 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, 66-70
Collective marks, method of, 131 bivariate, 104, 105 54, 82, 83, 126 pooled output
Conveyor belting, 127 definition of, 15, 16 probability ge
Correlated failure-times, 104-6, 134 properties of, 16, 18 Labour turnover, 29 of, 37-9, 74
Cost of replacements, 117-24 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,
Crossing-over, 81 113, 129, 132 45-51, 54, 56-60, 67-70, 82-6, Planned replacem
Cumulative distribution function see also Poisson process 93-8, 105, 106, 123, 130, 131, Poisson distribut
definition of, 3 Extreme-value distribution 134 78
relation with other functions, 3-5 age-specific 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, 51-3, 55 see also Expon
asymptotic properties of, 99-101, probabilistic model, for, 109, definition of, 89 Poisson process,
133,134 110 inversion of, 11-13,48-53 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
93-5 Failure, many types of, 109, 110 sums of random variables, ap- definition of, 2
probabilistic models of, 108-15 plied to, 10, 11 relation with
Deterministic theory, 26, 126 two types of, 11 O-H Tauberian theorems for, 14 3-5
Discrete time, renewal theory for, Failure rate, age-specific, 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, 91,117-24
Ratio delay method, 87 Replacement strategies, 1, 116--24,
Recurrence-time 127
backward based on wear. 122--4
application of, 120, 121 Reversion of series, 60
definition of, 27
properties of, 61, 62, 126, 133,
134 Saddle-point method, 35
forward Semi-invariants, 7, 59, 60, 73, 96
application of, 66--70, 75 Semi-Markov process, 81, 126, 133
definition of, 27 Sequential analysis, fundamental
properties of, 62, 63, 126, 133 identity of, 59, 60, 126
limiting distribution of, 63-6 Snap round method, 87
Regression, linear, 99-101, 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, 116--24,
definition of, 26 127
integral equation for, 54 Superposed renewal processes
limit of, 55, 103, 126 examples of, 71, 72
properties of, 53-5 limiting properties of, 77-9
Renewal function properties of, 73-9, 126, 132
alternating renewal process, for, Survivor function
82 definition of,3
application of, 117-19, 123 relation with other functions, 3-5
asymptotic form of, 46--8, 126, Systematic sampling, 87-90
130
definition of, 26
Tauberian theorem, 14
gamma distribution, for, 51-3
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, 33-5
Renewal process
alternating, 71, 80-90
equilibrium, definition of, 28 Wear, models of, 91, 92, H3-I5,
examples of, 29, 31, 32 127
modified, definition of, 28 replacement strategies based on,
ordinary, definition of,25 122-4
~t~6variables associated with, Weibull distribution, see Extreme-
value distribution

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