Distribution of max and min












3














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*}










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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
















3














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*}










share|cite|improve this question


















  • 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














3












3








3







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*}










share|cite|improve this question













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






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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














  • 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










3 Answers
3






active

oldest

votes


















2














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



$$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$






share|cite|improve this answer































    1














    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.






    share|cite|improve this answer





























      0














      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.






      share|cite|improve this answer





















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        3 Answers
        3






        active

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        3 Answers
        3






        active

        oldest

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        active

        oldest

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        active

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        2














        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



        $$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$






        share|cite|improve this answer




























          2














          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



          $$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$






          share|cite|improve this answer


























            2












            2








            2






            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



            $$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$






            share|cite|improve this answer














            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



            $$f_{X_{(1)}} = frac{nleft(-x+1right)^{n-1}}{2^n} I_{[-1,1]}(x)$$







            share|cite|improve this answer














            share|cite|improve this answer



            share|cite|improve this answer








            edited Nov 13 '18 at 9:01

























            answered Nov 13 '18 at 2:46









            Remy

            6,369721




            6,369721























                1














                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.






                share|cite|improve this answer


























                  1














                  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.






                  share|cite|improve this answer
























                    1












                    1








                    1






                    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.






                    share|cite|improve this answer












                    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.







                    share|cite|improve this answer












                    share|cite|improve this answer



                    share|cite|improve this answer










                    answered Nov 13 '18 at 2:35









                    spaceisdarkgreen

                    32.5k21753




                    32.5k21753























                        0














                        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.






                        share|cite|improve this answer


























                          0














                          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.






                          share|cite|improve this answer
























                            0












                            0








                            0






                            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.






                            share|cite|improve this answer












                            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.







                            share|cite|improve this answer












                            share|cite|improve this answer



                            share|cite|improve this answer










                            answered Nov 13 '18 at 2:44









                            akech

                            2,642618




                            2,642618






























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