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com MATHEMATICAL
AND
SCIENCE ~DIRECT e COMPUTER
MODELLING
ELSEVIER Mathematical and Computer Modelling 42 (2005) 939-946
www.elsevier.com/locate/mcm

Reliability Functions
of Generalized
Log-Normal M o d e l
R . C . G U P T A AND S. LVIN
Department of Mathematics and Statistics
University of Maine
Orono, ME 04469-5752, U.S.A.

(Received June 2004; revised and accepted June 2005)

A b s t r a c t - - I t is well known that the failure rate of the normal distribution is increasing and that
of the log-normal distribution is nonmonotonic with one turning point. In this paper, we investigate
the monotonicity of the failure rate and the mean residual life function of the generalized log-normal
distribution. It turns out that, in the case of generalized log-normal distribution, the monotonicity
of the failure rate takes different form depending on the range of the extra parameter A. @ 2005
Elsevier Ltd. All rights reserved.

K e y w o r d s - - M o n o t o n i c i t y , Hazard rate, Mean residual life function, Transform function, Bath

tub shaped, Upside bath tub shaped.

1. INTRODUCTION

It is well known that in m a n y practical applications, the d a t a follow a log-normal distribution

instead of a normal distribution. The log-normal model is commonly used in medicine and
economics, where the basic process under consideration leads to a skewed distribution. One can
often use a log-transformation to normalize the distribution of the original data.
Even though the failure rate of the normal distribution is increasing, the failure rate of the
log-normal distribution increases initially to a m a x i m u m and then decreases to zero as time
approaches infinity. On the other hand, the mean residual life function (MRLF) exhibits a
reverse behavior: it decreases initially and then increases. For a general discussion of such
behavior, see [1].
This paper deals with the monotonicity of the failure rate and the M R L F of a generalized
log-normal distribution proposed by Chen [2]. This parametric family of distribution includes
the log-normal distribution as a special case. The generalization is a three parameter family
which has the feature t h a t one of the parameters can be regarded as playing the role of choosing
a suitable transformation. Chen [2] studied the parameter estimation and goodness of fit tests
for fitting the generalized log-normal distribution to the electrical appliance data. Our purpose,

The authors are thankful to the referees for their comments which enhanced the presentation.

0895-7177/05/$ - see front matter @ 2005 Elsevier Ltd. All rights reserved. Typeset by ~ 4 ~ - T E X
doi: 10.1016/j.mcm.2005.06.005
940 R.C. GUPTA AND S. LVIN

however, in this paper is to study the monotonicity of the failure rate and the mean residuM life
function.
In reliability studies, the sense of variation of the hazard rate is of m a j o r concern since it
indicates system wear out or burn in or in some cases a nonmonotonic hazard rate. In order to
study the monotonicity of the failure rate, we study the monotonicity of r/(t ) = - f t ( t ) / f ( t ) , a
transform of the density f(t), rather t h a n that of the failure rate. Sometimes the determination
of the monotonicity of the hazard rate cannot be carried out by the usual calculus techniques
because of the integral in the denominator of the definition of the hazard rate. For such eases, we
use the function q(t) to determine the monotonieity of the failure rate. The function r/(t) is the key
quantity in efficient estimation of location, be in M ( m a x i m u m likelihood), L (linear combination
of order statistics) or R (rank) estimation. Joiner and Hall [3] discuss connections among the
three m a j o r classes of location estimators dominant in the robustness literature. Although the
functions rl(t) and the failure rate r(t) have lots of common features, they are certainly not exactly
the same. For their connection, see Section 3.
We first investigate some structural properties of rl(t ) and explore its similarities and dissimi-
larities with the failure rate r(t). We shall also see how the monotonic properties of r/(t) help us
to determine the monotonic structure of r(t). The monotonic structure of ~(t) for the generalized
log-normal distribution will be investigated in detail. This will, in turn, help us to determine the
monotonic structure of r(t) and its mean residual life function (MRLF).
The organization of this paper is as follows. Section 2 contains the necessary definitions and
the background material. In Section 3, we explore the connection between the functions r(t)
and ~(t) and present some results which help us to determine the monotonic structure of r(t)
knowing t h a t of rl(t ). In Section 4, we investigate in detail the monotonic structure of ~(t) for
the generalized log-normal distribution and show how this structure help us to determine the
monotonic structure of r(t). In Section 5, monotonic properties of r(t) are employed to examine
the monotonic structure of M R L F in the case of the generalized log-normal distribution. Finally,
in Section 6, some concluding remarks are presented.

2. DEFINITIONS AND BACKGROUND

Let T be a nonnegative random variable denoting the life length of a component having distri-
bution function F(t) with F(0) = 0 and the probability density function (pdf) f(t). Then, the
failure rate of T is given by r(t) = f(t)/R(t), where R(t) = 1 - F(t) is the survival (reliability)
function of T. We also assume that f(t) is continuous and twice differentiable on (0, oo). Let
h : R+ --~ R+ be a real valued differentiable function. Then, h(t) is said to be
(1) increasing if h'(t) > 0 for all t and is denoted b y / ;
(2) decreasing if h'(t) < 0 for all t and is denoted by D;
(3) b a t h t u b shaped if h'(t) < 0 for t E (0, to), h'(to) = 0, h'(t) > 0 for t > to and is denoted
by B;
(4) upside down b a t h t u b shaped if h'(t) > 0 for t C (0, to), h'(to) = 0, h'(t) < 0 for t > to and
is denoted by U;
(5) upside down b a t h t u b and then b a t h t u b if there exist t~ and t2 such t h a t h'(t) > 0 for
t E (0, tl), h'(tl) = O, h'(t) < 0 for t C (tl,t2), h'(t2) = O, h'(t) > 0 for t > t2 and is
denoted by UB;
(6) b a t h t u b and then upside down b a t h t u b if there exist tl and t2 such t h a t h'(t) < 0 for
t E (0, tl), h'(t~) = O, h'(t) > 0 for t E (tl,t2), h'(t2) = O, h'(t) < 0 for t > te and is
denoted by BU;
(7) weakly increasing if h'(t) > 0 for all t and h'(y) = 0 for some y > 0 and is denoted by I*;
(8) weakly decreasing if h'(t) < 0 for all t and h'(y) = 0 for some y > 0 and is denoted by D*.
For some definitions given above, see [4,5]. Also see Barlow et al. [6] for some properties of
probability distributions with monotone hazard rate.
 Reliability Functions 941

In order to determine the monotonicity of the failure rates, we proceed as follows.

Define
f'(t)
~l(t)- f(t)" (2.1)
This function contains useful information about r(t) and is simpler because it does not in-
volve R(t). In particular, the shape of ~/(t) (I, D, B, etc.) often determines the shape of
the failure rate. The relations between r(t) and r/(t) are given in Section 3.
We now present the following result due to Glaser [7] which helps us to determine the shape
of the failure rates of the first four types described above.

THEOREM 1.
(a) Ira(t) • z, then ~-(t) • I (IFR).
(b) It"~(t) • D, then r(t) • D (DFR).
(c) Ifv(t) E B and if there exists a Yo, such that r'(yo) = 0, then r(t) E B, otherwise r(t) E I.
(d) If~(t) E U and if there exists a Yo, such that r'(yo) = 0, then r(t) • U, otherwise r(t) • D.

For proof, see [7].

In the last two cases, determining the existence of y0 leaves us with the original difficulty of
evaluating the derivative of r(t). However, we can simplify this problem in m a n y situations with
the following lemma.

LEMMA 2. Let ~ = l i m t ~ o f ( t ) and 5 = limt~og(t)rl(t), where g(t) = 1/r(t).

1. Suppose rl(t) E B, then
(a) if either c=0 orS<l, then r(t) c I ;
(b) if either C = o o o r 5 > 1, then r(t) E B.
2. Suppose 7](t) E U, then
(a) if either s = 0 oi" 5 < 1, then r(t) E U;
(b) if either e = c~ or h > l, then r(t) E D.

For proof, see [7].

a. C O N N E C T I O N BETWEEN r(t) AND r/(t)

As has been mentioned earlier,

d
d~ lnr(t) = r(t) - ~(t)

or
1 ]'_ r/(t)
~(t) r(t~) 1. (3.1)

Equation (3.1) can also be written as

1 + g'(t) (3.2)
rl(t) -- g(t) '

where g(t) = 1/r(t). The above equations also suggest t h a t the turning point of r(t) is a solution
of the equation rl(t) = r(t). Also, it can be verified t h a t limt~o~ r(t) = limt_oor/(t).
942 R.C. GUPTA AND S. LVlN

It can be easily seen that r/(t) > 0 if and only if f(t) is logconcave and logeoneavity of f(t)
implies that the distribution is IFR. In fact, r'(t) > 0 is equivalent to the logconcavity of R(t).
So, logconcavity of f(t) is a stronger condition than the logconcavity of R(t).

4. F A I L U R E RATE
OF THE GENERALIZED
LOG-NORMAL DISTRIBUTION

Suppose Z has a normal distribution with the mean # and the variance cr2 truncated on the
left at 1/A. Then, Y = (1 + AZ) 1/~ has a generalized log-normal distribution with pdf,

f(t; A, #, ~2) = o.-14 {(t(.~) - ~t)/0"} t;~-l/(I)(5), if A > 0,

= (7-1gb{(lnt - # ) / ~ } t -1, if), = 0, (4.1)

= ~ - 1 ~ {(t(A) - ~ ) / ~ } t~-i/~(-5), if A < 0,

where t(A) = (t x - 1)/A, A ¢ 0, ~ = (# ÷ 1/A)/cr, ~b, and • are the probability density function
and the cumulative distribution function of the standard normal distribution.
Chen [2] has studied the maximum likelihood estimation of the parameters of the above model
and developed a goodness of fit test. He also demonstrated the potential applicability of this
model by using a real data set. Here, we are interested in studying this model from the reliability
point of view.
In our case, the transform function rj(t) is given by

rl(t)= Et(A)-#] a- A-lt (4.2)

Without loss of generality, we now assume that # = 0 and o 2 = 1. A~er some algebraic
manipulations,

r ] ( t ) = ~1 it2), _ t A _ A ( A _ I ) ] (4.3)

This gives

.' (t) = ~ 1 [(2/k-l)t 2A (A-l) tA + A ( A - I ) ] (4.4)

or
P (~)
,'(t) - At2

withu=t ~ and

P(u)= [(2A-l)u2-(l-l)u+l(l-l)]. (4.5)

We now discuss several cases.

CASE 1. ,~ > 1. In this case, the quadratic polynomial (4.6) has negative determinant

(1 -- A) (8A 2 - 5A + 1), (4.6)

 Reliability Functions 943

1 O- 2-

-I0
S
Figure 1. rl(t) with ), = 2. Figure 2. ~(t) with A = 0.75.

1' " 2"

t
0.01 /
HI
-2
Figure 3. rl(t ) with ,k = 0.35. Figure 4. r/(t ) with A = -1.

for A > 1, so the polynomial stays positive for all u. This implies t h a t r/(t) > 0, so 7](t) is of the
t y p e I. Also, from (4.4) rl(t ) tends to oc as t ~ ec. See Figure 1 for the g r a p h of rl(t) with A = 2.

CASE 2. 1/2_< A < 1. In this ease, rl(t ) tends t o o c a s t - - ~ 0 a n d r / ( t ) tends t o o c a s t - - * e c i f

,~ ¢ 1/2 or q(t) tends to 2 as t ~ oc and A = 1/2. T h e p r o d u c t of the roots of the quadratic
polynomial (4.6) is negative, so (4.6) has one positive root and r/(t) changes from negative to
positive at this root. Therefore, q(t) has a m i n i m u m and is of the t y p e B. See Figure 2 for the
g r a p h of r](t) with A = 0.75.

CASE 3. 0 < A < 1/2. In this case, q(t) tends t o o c a s t ~ 0 a n d r ] ( t ) tends to 0 as t --+ ec.
D e t e r m i n a n t (4.7) is now positive and b o t h the p r o d u c t and the sum of the roots of (4.6) are pos-
itive. Thus, the polynomial (4.6) has two positive roots and function r/(t) changes from negative
to positive at the smaller root and from positive to negative at the largest root. Therefore, q(t)
has a m i n i m u m and then a m a x i m u m and is of the type BU. See Figure 3 for the g r a p h of 71(t)
with A - 0.35. Note t h a t logarithmic scale is used for t is this graph.

CASE 4. A < 0. To discuss this case, we s u b s t i t u t e / 3 = - ~ and t z -- u in (4.5). Then,

Q(.)
v'(t)- 2,

where fl > 0 and

Q(L,) = - / 3 ( ~ + 1)u 2 - (~ + l)u + (2/3 + 1). (4.7)

T h e p r o d u c t of the roots of the quadratic polynomial (4.7) is negative, so (4.7) has one positive
root. Function r/(t) changes sign from positive to negative at this root and rl(t) tends to - o c as
t ~ 0 and q(t) tends to 0 as t -~ oo. Hence, r/(t) is of the t y p e U. See Figure 4 for the g r a p h of
q(t) with ,~ = - 1 .
944 R . C . GUPTA AND S. LVIN

4.1. M o n o t o n i c i t y of the Failure Rate

From the previous discussion, it can be seen t h a t either rl'(t) stays positive for all t > 0 or ~'(t)
changes sign one or two times. T h e examples of these possibilities are as follows.
(i) ~(t) is monotonicany increasing for a _> 1.
(ii) r](t) is of the type B for 1//2 < A < 1.
(iii) 7](t) is of the t y p e B U for 0 < ~ < 1//2.
(iv) 7](t) is of the t y p e U for A < 0.
We now d e t e r m i n e the m o n o t o n i c i t y of r(t).
(i) If A > 1, rl(t) is monotonically increasing. Hence, r(t) is also m o n o t o n i c a l l y increasing.
(ii) If 1//2 < A < 1, r](t) is of the type B and s = limt--,of(t) = oz. Hence, r(t) is of the
t y p e B.
(iii) If ,k < 0, ~(t) is of the t y p e U and ~ = limt--.0 f ( t ) = 0. Hence, r(t) is of the t y p e U.
W h e n r/(t) changes sign more t h a n once, the following generalization due to G u p t a and War-
ren [4] can be applied.
Let us assume t h a t ~'(t) has n zeros Zl, z 2 , . . . , z~ (n finite) with 0 < z~ < z2 < ... < z~ < oo.

THEOREM 3. Let f ( t ) be a twice differentiable density function on (0, oc). Then, the equation
r'(t) = 0 has at most one solution in the (closed) interval [ Z k _ l , zk] , k = 1, 2 , . . . , n.
For proof, see [4].
T h e above t h e o r e m places a constraint on the n u m b e r of critical points of r(t). If ~(t) has n
critical points, t h e n r(t) has at most n critical points. T h e above t h e o r e m also places constraints
on the locations of the critical points in the sense t h a t each interval [zk-1, zk], k = 1, 2 , . . . , n can
have at most one critical point.
T h e following result can facilitate the further investigation of the m o n o t o n i c i t y of r(t) is of the
t y p e BU.
THEOREM 4.
1. Suppose ~?(t) is B U with zi known and r(t) decreases in the neighborhood of O. Then, if
(a) r'(z~) < 0, then r(t) is D;
(19) P t ( Z 1 ) = 0, then r(t) is D* ;
(C) ~Ft(Z1) > 0, then r(t) is BU.
2. Suppose rI(t ) is B U with zl known and r(t) increases in the neighborhood of O. Then,
r(t) is of the type U.
For proof, see [4].

5. MONOTONICITY OF THE MEAN

RESIDUAL LIFE FUNCTION

T h e m e a n residual life function ( M R L F ) of a r a n d o m variable X is defined as

~(t) = E(X - t I X > t) = / ~ ~(u)_ du, (5.1)

F(t)
where _fi'(t) = 1 - F(t) is the survival function or the reliability function.
T h e failure rate and the M R L F are connected by the relation,

,.(t) - I + ,'(t_______~)
~(t)
It is well known t h a t like the failure rate, the M R L F also characterizes the distribution. Hence,
the m o n o t o n i e i t y of the M R L F is of great interest.
T h e following result enables us to determine the m o n o t o n i c i t y of #(t), see [1,8].
 Reliability Functions 945

TttEOREM 5.
(a) If r(t) is IFR, #(t) is D M R L (decreasing m e a n residual life).
(b) If r(t) is D F R , tt(t) is I M R L (increasing m e a n residual life).
(c) S u p p o s e c B and = Then,
(/) if/zr(O) <_ 1, then #(t) E D;
(ii) i f # r ( 0 ) > 1, then #(t) C U.
(d) Suppose r(t) ¢ U and # = #(0). Then,
(i) if #r(O) >_ 1, then #(t) E I;
(ii) if #r(O) < 1, then it(t) ¢ B.

For proof, see [1].

T h e location of the t u r n i n g points of #(t) can be determined by applying the result due to
G u p t a and A k m a n [1].
In our case, the following holds.
(i) If ~ _> 1, r(t) is m o n o t o n i c increasing and hence the corresponding M R L F is m o n o t o n i c
decreasing.
(ii) If 1/2 _< ~ < 1, r(t) is of the t y p e B and #r(0) > 1. Hence, #(t) is of the t y p e U.
(iii) If 0 < ~ < 1/2, r(t) is of the t y p e B U .
(iv) If/~ < 0, r(t) is of the t y p e U and #r(O) < 1. Hence, #(t) is of the t y p e B.
W h e n r'(t) changes sign more t h a n once, the following generalization due to T a n g et al. [9] can
be applied.

THEOREM 6. Suppose F has a roller coaster failure rate of the type U B . . . ( B U . . . ) with
consecutive change points 0 = t o* < t 1. < ... < t n* < oe. Also, # , ( t i#_.l ) t(t i.) < O, for i =
O, 1 , 2 , . . . , n - 1. Then, #(t) is of the type B U . . . ( U B . . . ) with change points kf, such that
t~_ 1 < k* < t*, i = 1 , 2 , . . . , n .
For proof, see [9].

6. CONCLUDING REMARKS

In reliability studies, the sense of variation of the h a z a r d rate is of m a j o r concern since it

indicates system wear out or burn in or in some cases a n o n m o n o t o n i c failure rate. In this pa-
per we have investigated the m o n o t o n i c i t y of the failure rate and the M R L F for the generalized
log-normal model. T h e generalized log-normal distribution is a family of three p a r a m e t e r distri-
butions which includes the log-normal distribution as a special case. It is wee known, t h a t the
h a z a r d rate of the normal distribution is increasing and the h a z a r d rate of the log-normal distri-
bution is of the t y p e U. However, for the generalized log-normal distribution, the m o n o t o n i c i t y
of the failure rate takes different form depending on the range of the e x t r a p a r a m e t e r ~.

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