If X is a positive integer valued random variable, with mass function pi = P(X = i),
Question:
If X is a positive integer valued random variable, with mass function pi =
P(X = i), i ≥ 1, then the function
λ(i) = P(X = i|X ≥ i)
is called the (discrete) hazard rate function of X.
(a) Express P(X >n) in terms of the values λ(i), i ≥ 1.
(b) If λ(i) is increasing (decreasing) in i then the random variable X is said to have increasing (decreasing) failure rate. Let X
∗
n be a random variable whose distribution is that of the conditional distribution of X − n given that X ≥ n. That is, P(X
∗
n
= j) = P(X = n +j |X ≥ n).
Show that if X has increasing (decreasing) failure rate it and only if X
∗
n stochastically decreases (increases) in n.
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