This document discusses order statistics, specifically the maximum and minimum, of n discrete random variables. It provides background theory on the cumulative distribution function and definitions of the maximum and minimum of n independent and identically distributed discrete random variables. Formulas are derived for the probability, mean, and variance of the maximum and minimum in the case of a uniform distribution. As n increases, the mean of the maximum approaches the highest possible value and the variance of the maximum approaches 0.
This document discusses order statistics, specifically the maximum and minimum, of n discrete random variables. It provides background theory on the cumulative distribution function and definitions of the maximum and minimum of n independent and identically distributed discrete random variables. Formulas are derived for the probability, mean, and variance of the maximum and minimum in the case of a uniform distribution. As n increases, the mean of the maximum approaches the highest possible value and the variance of the maximum approaches 0.
This document discusses order statistics, specifically the maximum and minimum, of n discrete random variables. It provides background theory on the cumulative distribution function and definitions of the maximum and minimum of n independent and identically distributed discrete random variables. Formulas are derived for the probability, mean, and variance of the maximum and minimum in the case of a uniform distribution. As n increases, the mean of the maximum approaches the highest possible value and the variance of the maximum approaches 0.
This document discusses order statistics, specifically the maximum and minimum, of n discrete random variables. It provides background theory on the cumulative distribution function and definitions of the maximum and minimum of n independent and identically distributed discrete random variables. Formulas are derived for the probability, mean, and variance of the maximum and minimum in the case of a uniform distribution. As n increases, the mean of the maximum approaches the highest possible value and the variance of the maximum approaches 0.
variables In STAT 512/432 we will almost always focus on the order statistics of con- tinuous random variables. Despite this, these notes discuss order statistics, in particular the maximum and the minimum, of n discrete random variables. We start with some basic background theory.
Some background theory
Example: the uniform distribution For a discrete uniform distribution, all possible values of the (discrete) random variable have the same probability. In these notes we focus attention on the discrete random variable Y that is equally likely to take each of the values 0, 1, 2, . . . , 9. That is, 1 Probability(Y = y) = , y = 0, 1, . . . , 9. (1) 10 The mean of Y is, clearly, 9 X 1 mean of Y = y = 4.5. (2) y=0 10
A slightly more complicated calculation shows that the variance of Y is 8.25.
The cumulative distribution function of a discrete random variable
The cumulative distribution function F (y) of any discrete random variable Y is the probability that the random variable takes a value less than or equal to y. Thus using a standard notation, X F (y) = P r(Y = a). (3) a≤y
The maximum of n discrete random variables
Definitions The maximum of a number of a number if independent random variables is frequently used in statistics. As an introduction to the relevant theory, we now consider properties of the maximum of n iid discrete random variables Y1 , Y2 , . . . , Yn , each having the same probability distribution with common cu- mulative distribution function F (y). We denote this maximum by Ymax . Given 2
data y1 , y2 , . . . , yn , we write the observed (data) value of Ymax as ymax . There
can be ties: for example, if n = 5 and
y1 = 7, y2 = 9, y3 = 6, y4 = 9, y5 = 6,
then ymax = 9. In this case two of the observations tied at the maximum value.
Theory Since the maximum of n quantities is less than or equal to any number y if and only if all of these quantities are less than or equal to y, we have n Prob (Ymax ≤ y) = F (y) , (4) n Prob (Ymax ≥ y) = 1 − F (y − 1) , (5)
so that n n Prob (Ymax = y) = F (y) − F (y − 1) . (6)
Example: the uniform distribution again
As an example, we use the theory above to consider properties of the maximum of n random variables, each having the above uniform distribution considered above. The cumulative distribution function F (y) of a random variable having the above uniform distribution is easily seen to be given by y+1 F (y) = , y = 0, 1, 2, . . . , 9. (7) 10 Then from (6) and (7), the probability that Ymax = Y is given by n y+1 y n Pmax (y) = − , x = 0, 1, 2, . . . , 9. (8) 10 10
Mean and variance of a maximum of n random variables from the
above uniform distribution From the above theory, the mean value µmax of Xmax , the maximum of n random variables from the uniform distribution considered above is given by 9 n X y+1 y n µmax = y − . (9) y=0 10 10
This simplifies, after some algebra, to
n n n 1 2 9 µmax = 9 − − − ··· − . (10) 10 10 10 In Homework 3 you will be asked to verify this calculation. 3
As a check on this calculation, the case n = 1 gives
One can also find the value of the variance of Ymax , but we do not do this here.
One immediate conclusion that can be drawn from (10) is that, as n → ∞,
the mean of Ymax approaches 9. It can also be shown that the variance mean of Ymax approaches 0 as n → ∞. Both these conclusions “make sense.” The following table indicates the rate at which these occur.
Properties of the minimum Ymin of n independently and identically distributed random variables can be found in a manner similar to that for which properties of a maximum were found. Using the notation above, we get n Prob (Ymin ≥ y) = 1 − F (y − 1) , (12) n Prob (Ymin ≥ y + 1) = 1 − F (y) , (13)
so that n n Prob (Ymin = y) = 1 − F (y − 1) − 1 − F (y) . (14) From (14) one can find the mean and the variance of Ymin . We do not give the details here, and note only that in the case of the uniform distribution considered above, the mean of Ymin is 1 n 2 9 ( ) + ( )n + · · · + ( )n . (15) 10 10 10 Note that as n → ∞, this mean approaches 0. This makes sense.
The general order statistic of n discrete random variables
Ymin and Ymax are examples of order statistics: specifically, Ymin is the first order statistic and Ymax is the nth order statistic. One can also define the second, third, ... , (n − 1)th order statistics. However the theory for these for a discrete random variable becomes quite complicated, so we do not consider it here.
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