Distribution of max and min
If $X_1,X_2,ldots,X_n,ldots$ are iid uniform random variables on $[-1,1]$. What's the distribution of $X_{max,n} = max_{1 leq i leq n} X_i$ and $X_{min,n} = min_{1 leq i leq n} X_i$? My understanding is
begin{align*}
mathbb {P}(X_{max,n}<a)&=mathbb {P}(X_1<a,X_2<a,...,X_n<a)\
&=mathbb {P}(X_1<a)mathbb {P}(X_2<a)...mathbb {P}(X_n<a)\
&=int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n\
&=int_{-1}^{a} (frac {1}{2})^n, dx
end{align*}
Therefore,
begin{align*}
f(X_{max,n})=frac {1}{2^n},quadtext{$X_{max,n}in[-1,1]$}
end{align*}
probability uniform-distribution
add a comment |
If $X_1,X_2,ldots,X_n,ldots$ are iid uniform random variables on $[-1,1]$. What's the distribution of $X_{max,n} = max_{1 leq i leq n} X_i$ and $X_{min,n} = min_{1 leq i leq n} X_i$? My understanding is
begin{align*}
mathbb {P}(X_{max,n}<a)&=mathbb {P}(X_1<a,X_2<a,...,X_n<a)\
&=mathbb {P}(X_1<a)mathbb {P}(X_2<a)...mathbb {P}(X_n<a)\
&=int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n\
&=int_{-1}^{a} (frac {1}{2})^n, dx
end{align*}
Therefore,
begin{align*}
f(X_{max,n})=frac {1}{2^n},quadtext{$X_{max,n}in[-1,1]$}
end{align*}
probability uniform-distribution
1
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31
add a comment |
If $X_1,X_2,ldots,X_n,ldots$ are iid uniform random variables on $[-1,1]$. What's the distribution of $X_{max,n} = max_{1 leq i leq n} X_i$ and $X_{min,n} = min_{1 leq i leq n} X_i$? My understanding is
begin{align*}
mathbb {P}(X_{max,n}<a)&=mathbb {P}(X_1<a,X_2<a,...,X_n<a)\
&=mathbb {P}(X_1<a)mathbb {P}(X_2<a)...mathbb {P}(X_n<a)\
&=int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n\
&=int_{-1}^{a} (frac {1}{2})^n, dx
end{align*}
Therefore,
begin{align*}
f(X_{max,n})=frac {1}{2^n},quadtext{$X_{max,n}in[-1,1]$}
end{align*}
probability uniform-distribution
If $X_1,X_2,ldots,X_n,ldots$ are iid uniform random variables on $[-1,1]$. What's the distribution of $X_{max,n} = max_{1 leq i leq n} X_i$ and $X_{min,n} = min_{1 leq i leq n} X_i$? My understanding is
begin{align*}
mathbb {P}(X_{max,n}<a)&=mathbb {P}(X_1<a,X_2<a,...,X_n<a)\
&=mathbb {P}(X_1<a)mathbb {P}(X_2<a)...mathbb {P}(X_n<a)\
&=int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n\
&=int_{-1}^{a} (frac {1}{2})^n, dx
end{align*}
Therefore,
begin{align*}
f(X_{max,n})=frac {1}{2^n},quadtext{$X_{max,n}in[-1,1]$}
end{align*}
probability uniform-distribution
probability uniform-distribution
asked Nov 13 '18 at 2:21
Jiexiong687691
705
705
1
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31
add a comment |
1
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31
1
1
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31
add a comment |
3 Answers
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For the cdf of the sample maximum we have
$$begin{align*}
F_{X_{(n)}}(x)
&=mathsf P(text{max}{{X_1,...,X_n}}leq x)\\
&=mathsf P(X_1leq x,...,X_nleq x)\\
&=mathsf P(Xleq x)^n\\
&=F_X(x)^n
end{align*}$$
where
$$ F_{X}(x)=
begin{cases}
0 & x lt -1 \
frac{x+1}{2} & -1leq xleq1 \
1 & x gt 1
end{cases} $$
Hence taking the derivative we get
$$f_{X_{(n)}} = frac{n(x+1)^{n-1}}{2^n} I_{[-1,1]}(x)$$
Similarly for the sample minimum we have
$$begin{align*}
F_{X_{(1)}}(x)
&=mathsf P(text{min}{{X_1,...,X_n}}leq x)\\
&=1-mathsf P(text{min}{{X_1,...,X_n}}gt x)\\
&=1-left(1-F_X(x)right)^n\\
&=1-left(1-frac{x+1}{2}right)^n
end{align*}$$
Hence taking the derivative we get
$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$
add a comment |
Your error is in the step $$int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n =int_{-1}^{a}frac{1}{2^n}, dx$$ which is not right. You can combine them into a multiple integral, not a single integral. Really, the easiest thing to do is to just compute $$ int_{-1}^a frac{1}{2}dx_1 = frac{1}{2}(a+1),$$ and then realize it is just a product of $n$ of these, so $$P(X_{max,n} le a) = frac{1}{2^n}(a+1)^n$$ and then differentiate with respect to $a$ to get the PDF.
add a comment |
Let $Y = X_{max}$ and $Z = X_{min}$
Then the CDF: $F_{Y}(a) = P(Yleq a) = P(X_{1}, ..., X_{n} leq a) = prod_{i=1}^{n}P(X_{i} leq a) = left(frac{a +1}{2} right)^{n}$.
Similarly, $F_{Z}(a) = P(Z leq a) = 1 - P(Z > a)$
$ = 1 - prod_{i=1}^{n}P(X_{i} > a) = 1 - prod_{i=1}^{n} left[1 - P(X_{i=1} leq a) right ] = 1 - left(1 - frac{a +1}{2} right)^{n} = 1 - left(frac{1-a}{2} right)^{n}$.
You can now differentiate the CDFs to get your pdfs.
add a comment |
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3 Answers
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3 Answers
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For the cdf of the sample maximum we have
$$begin{align*}
F_{X_{(n)}}(x)
&=mathsf P(text{max}{{X_1,...,X_n}}leq x)\\
&=mathsf P(X_1leq x,...,X_nleq x)\\
&=mathsf P(Xleq x)^n\\
&=F_X(x)^n
end{align*}$$
where
$$ F_{X}(x)=
begin{cases}
0 & x lt -1 \
frac{x+1}{2} & -1leq xleq1 \
1 & x gt 1
end{cases} $$
Hence taking the derivative we get
$$f_{X_{(n)}} = frac{n(x+1)^{n-1}}{2^n} I_{[-1,1]}(x)$$
Similarly for the sample minimum we have
$$begin{align*}
F_{X_{(1)}}(x)
&=mathsf P(text{min}{{X_1,...,X_n}}leq x)\\
&=1-mathsf P(text{min}{{X_1,...,X_n}}gt x)\\
&=1-left(1-F_X(x)right)^n\\
&=1-left(1-frac{x+1}{2}right)^n
end{align*}$$
Hence taking the derivative we get
$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$
add a comment |
For the cdf of the sample maximum we have
$$begin{align*}
F_{X_{(n)}}(x)
&=mathsf P(text{max}{{X_1,...,X_n}}leq x)\\
&=mathsf P(X_1leq x,...,X_nleq x)\\
&=mathsf P(Xleq x)^n\\
&=F_X(x)^n
end{align*}$$
where
$$ F_{X}(x)=
begin{cases}
0 & x lt -1 \
frac{x+1}{2} & -1leq xleq1 \
1 & x gt 1
end{cases} $$
Hence taking the derivative we get
$$f_{X_{(n)}} = frac{n(x+1)^{n-1}}{2^n} I_{[-1,1]}(x)$$
Similarly for the sample minimum we have
$$begin{align*}
F_{X_{(1)}}(x)
&=mathsf P(text{min}{{X_1,...,X_n}}leq x)\\
&=1-mathsf P(text{min}{{X_1,...,X_n}}gt x)\\
&=1-left(1-F_X(x)right)^n\\
&=1-left(1-frac{x+1}{2}right)^n
end{align*}$$
Hence taking the derivative we get
$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$
add a comment |
For the cdf of the sample maximum we have
$$begin{align*}
F_{X_{(n)}}(x)
&=mathsf P(text{max}{{X_1,...,X_n}}leq x)\\
&=mathsf P(X_1leq x,...,X_nleq x)\\
&=mathsf P(Xleq x)^n\\
&=F_X(x)^n
end{align*}$$
where
$$ F_{X}(x)=
begin{cases}
0 & x lt -1 \
frac{x+1}{2} & -1leq xleq1 \
1 & x gt 1
end{cases} $$
Hence taking the derivative we get
$$f_{X_{(n)}} = frac{n(x+1)^{n-1}}{2^n} I_{[-1,1]}(x)$$
Similarly for the sample minimum we have
$$begin{align*}
F_{X_{(1)}}(x)
&=mathsf P(text{min}{{X_1,...,X_n}}leq x)\\
&=1-mathsf P(text{min}{{X_1,...,X_n}}gt x)\\
&=1-left(1-F_X(x)right)^n\\
&=1-left(1-frac{x+1}{2}right)^n
end{align*}$$
Hence taking the derivative we get
$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$
For the cdf of the sample maximum we have
$$begin{align*}
F_{X_{(n)}}(x)
&=mathsf P(text{max}{{X_1,...,X_n}}leq x)\\
&=mathsf P(X_1leq x,...,X_nleq x)\\
&=mathsf P(Xleq x)^n\\
&=F_X(x)^n
end{align*}$$
where
$$ F_{X}(x)=
begin{cases}
0 & x lt -1 \
frac{x+1}{2} & -1leq xleq1 \
1 & x gt 1
end{cases} $$
Hence taking the derivative we get
$$f_{X_{(n)}} = frac{n(x+1)^{n-1}}{2^n} I_{[-1,1]}(x)$$
Similarly for the sample minimum we have
$$begin{align*}
F_{X_{(1)}}(x)
&=mathsf P(text{min}{{X_1,...,X_n}}leq x)\\
&=1-mathsf P(text{min}{{X_1,...,X_n}}gt x)\\
&=1-left(1-F_X(x)right)^n\\
&=1-left(1-frac{x+1}{2}right)^n
end{align*}$$
Hence taking the derivative we get
$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$
edited Nov 13 '18 at 9:01
answered Nov 13 '18 at 2:46
Remy
6,369721
6,369721
add a comment |
add a comment |
Your error is in the step $$int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n =int_{-1}^{a}frac{1}{2^n}, dx$$ which is not right. You can combine them into a multiple integral, not a single integral. Really, the easiest thing to do is to just compute $$ int_{-1}^a frac{1}{2}dx_1 = frac{1}{2}(a+1),$$ and then realize it is just a product of $n$ of these, so $$P(X_{max,n} le a) = frac{1}{2^n}(a+1)^n$$ and then differentiate with respect to $a$ to get the PDF.
add a comment |
Your error is in the step $$int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n =int_{-1}^{a}frac{1}{2^n}, dx$$ which is not right. You can combine them into a multiple integral, not a single integral. Really, the easiest thing to do is to just compute $$ int_{-1}^a frac{1}{2}dx_1 = frac{1}{2}(a+1),$$ and then realize it is just a product of $n$ of these, so $$P(X_{max,n} le a) = frac{1}{2^n}(a+1)^n$$ and then differentiate with respect to $a$ to get the PDF.
add a comment |
Your error is in the step $$int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n =int_{-1}^{a}frac{1}{2^n}, dx$$ which is not right. You can combine them into a multiple integral, not a single integral. Really, the easiest thing to do is to just compute $$ int_{-1}^a frac{1}{2}dx_1 = frac{1}{2}(a+1),$$ and then realize it is just a product of $n$ of these, so $$P(X_{max,n} le a) = frac{1}{2^n}(a+1)^n$$ and then differentiate with respect to $a$ to get the PDF.
Your error is in the step $$int_{-1}^{a} frac {1}{2}, dx_1 int_{-1}^{a} frac {1}{2}, dx_2ldotsint_{-1}^{a} frac {1}{2}, dx_n =int_{-1}^{a}frac{1}{2^n}, dx$$ which is not right. You can combine them into a multiple integral, not a single integral. Really, the easiest thing to do is to just compute $$ int_{-1}^a frac{1}{2}dx_1 = frac{1}{2}(a+1),$$ and then realize it is just a product of $n$ of these, so $$P(X_{max,n} le a) = frac{1}{2^n}(a+1)^n$$ and then differentiate with respect to $a$ to get the PDF.
answered Nov 13 '18 at 2:35
spaceisdarkgreen
32.5k21753
32.5k21753
add a comment |
add a comment |
Let $Y = X_{max}$ and $Z = X_{min}$
Then the CDF: $F_{Y}(a) = P(Yleq a) = P(X_{1}, ..., X_{n} leq a) = prod_{i=1}^{n}P(X_{i} leq a) = left(frac{a +1}{2} right)^{n}$.
Similarly, $F_{Z}(a) = P(Z leq a) = 1 - P(Z > a)$
$ = 1 - prod_{i=1}^{n}P(X_{i} > a) = 1 - prod_{i=1}^{n} left[1 - P(X_{i=1} leq a) right ] = 1 - left(1 - frac{a +1}{2} right)^{n} = 1 - left(frac{1-a}{2} right)^{n}$.
You can now differentiate the CDFs to get your pdfs.
add a comment |
Let $Y = X_{max}$ and $Z = X_{min}$
Then the CDF: $F_{Y}(a) = P(Yleq a) = P(X_{1}, ..., X_{n} leq a) = prod_{i=1}^{n}P(X_{i} leq a) = left(frac{a +1}{2} right)^{n}$.
Similarly, $F_{Z}(a) = P(Z leq a) = 1 - P(Z > a)$
$ = 1 - prod_{i=1}^{n}P(X_{i} > a) = 1 - prod_{i=1}^{n} left[1 - P(X_{i=1} leq a) right ] = 1 - left(1 - frac{a +1}{2} right)^{n} = 1 - left(frac{1-a}{2} right)^{n}$.
You can now differentiate the CDFs to get your pdfs.
add a comment |
Let $Y = X_{max}$ and $Z = X_{min}$
Then the CDF: $F_{Y}(a) = P(Yleq a) = P(X_{1}, ..., X_{n} leq a) = prod_{i=1}^{n}P(X_{i} leq a) = left(frac{a +1}{2} right)^{n}$.
Similarly, $F_{Z}(a) = P(Z leq a) = 1 - P(Z > a)$
$ = 1 - prod_{i=1}^{n}P(X_{i} > a) = 1 - prod_{i=1}^{n} left[1 - P(X_{i=1} leq a) right ] = 1 - left(1 - frac{a +1}{2} right)^{n} = 1 - left(frac{1-a}{2} right)^{n}$.
You can now differentiate the CDFs to get your pdfs.
Let $Y = X_{max}$ and $Z = X_{min}$
Then the CDF: $F_{Y}(a) = P(Yleq a) = P(X_{1}, ..., X_{n} leq a) = prod_{i=1}^{n}P(X_{i} leq a) = left(frac{a +1}{2} right)^{n}$.
Similarly, $F_{Z}(a) = P(Z leq a) = 1 - P(Z > a)$
$ = 1 - prod_{i=1}^{n}P(X_{i} > a) = 1 - prod_{i=1}^{n} left[1 - P(X_{i=1} leq a) right ] = 1 - left(1 - frac{a +1}{2} right)^{n} = 1 - left(frac{1-a}{2} right)^{n}$.
You can now differentiate the CDFs to get your pdfs.
answered Nov 13 '18 at 2:44
akech
2,642618
2,642618
add a comment |
add a comment |
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1
In the fouth line, the power $n$ should be outside the integral. You can see that the density you obtained does not integrate to $1$. If $M$ is the maximum, then $P(M le a) = (a+1)^n/2^n$. The density is then $n (a+1)^{n-1}/2^n$.
– Fnacool
Nov 13 '18 at 2:31