Improved Asymptotics of a Decreasing Mean Residual Life Estimator

Edgardo Lorenzo and Hari Mukerjee

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 21, 4514-4518

Abstract: The mean residual life of a life distribution, X, with a finite mean is defined by M(t) = E[X − t|X > t] for t ⩾ 0. Kochar et al. (2000) provided an estimator of M when it is assumed to be decreasing. They showed that its asymptotic distribution was the same as that of the empirical estimate, but only under very stringent analytic and distributional assumptions. We provide a more general asymptotic theory, and under much weaker conditions. We also provide improved asymptotic confidence bands.

Date: 2014
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DOI: 10.1080/03610926.2012.714038

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