Exponential approximations in the classes of life distributions (Q1108725)

We discuss the approximation of life distributions by exponential ones. The main results are: (1) \(\forall F\in NBUE\), with mean 1, we have \[ | \bar F(t)-e^{- t}| \leq 1-e^{-\sqrt{2\rho}},\quad \forall t\geq 0,\quad where\quad \rho =1-\mu_ 2/2, \] \(\mu_ 2\) being the second moment of F. The inequality is sharp. (2) In the case of \(F\in IFR\), the upper bound is \(1-e^{-\rho /(1- \rho)}.\) (3) For the HNBUE class, the upper bound is \(\min (^ 3\sqrt{4\rho}\cdot^ 4\sqrt{2\rho})\). Furthermore, the improved upper bound is \({}^ 3\sqrt{36\rho /(3+2\sqrt{\rho})^ 2}\). In addition, we show \[ \sup_{t\geq 0}| \bar G(t)-e^{-t}| \leq \sqrt{\rho /2},\quad where\quad \bar G(t)=\int^{\infty}_{t}\bar F(u)du. \] (4) For the IMRL class, the upper bound is \(\rho /(1+\rho)\). Here we give a simple proof.