Hi,
I am looking for help in solving a problem that crept up in my doctoral thesis.
Let f be a pdf, twice differentiable and F its cdf. Both are defined over .
I wish to prove that
(1).
I wish to prove it for all functions f which are IFR in the sense developed by Richard E. Barlow and Franck Proschan in their book Mathematical theory of reliability - Google Book Search.
When a pdf is IFR, then is weakly increasing. This, of course, leads to .
So that we can write
(2)
Now (1) can also be written . (3)
(3) is true if f is IFR and if .
What happens when ?
If , f'(x) is always positive because f is a pdf. So f is increasing over .
If there exists a such that , then f exhibits a maximum at that point. but f being a pdf, that means that , which contradicts the hypothesis unless f is the null function, which we discard. So . Hence f is striclty increasing. But by definition of F, .
My hunch is that this last equality contradicts the fact that f is strictly increasing and positive.
Is this the case and can we then say that if f is IFR then and so (1) is true when f is IFR?
If that is so, then I have have won my day.
Any help on this problem would be very much appreciated!
Thank you.