Lecture 9: Some

Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
Lecture 9: Some Asymptotic Results of
El-Adll

An Introduction
Extreme Order Statistics
Some Asymptotic
Results for
Exponential Order
Statistics
Prof. Magdy E. El-Adll
Asymptotic
Distribution of the
Sample Maximum
Department of Mathematics, Faculty of Science,
Helwan University, Ain Helwan, Cairo, Egypt.

22 / 4 / 2024
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 1 / 34
 Presentation Outline
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll 1 An Introduction
An Introduction

Some Asymptotic
Results for 2 Some Asymptotic Results for Exponential Order Statistics
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum
3 Asymptotic Distribution of the Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 2 / 34
 Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 3 / 34
 An introduction
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 4 / 34
 An introduction
Lecture 9: Some
Asymptotic Results
of Extreme Order
The exact distribution theory of order statistics and some
Statistics

Prof. Magdy E.
of its special functions have received all of our attention
El-Adll
in the preceding chapters.
An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 4 / 34
 An introduction
Lecture 9: Some
Asymptotic Results
of Extreme Order
The exact distribution theory of order statistics and some
Statistics

Prof. Magdy E.
of its special functions have received all of our attention
El-Adll
in the preceding chapters.
An Introduction
An exception was when we considered approximations to
Some Asymptotic
Results for
Exponential Order
the moments of order statistics.
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 4 / 34
 An introduction
Lecture 9: Some
Asymptotic Results
of Extreme Order
The exact distribution theory of order statistics and some
Statistics

Prof. Magdy E.
of its special functions have received all of our attention
El-Adll
in the preceding chapters.
An Introduction
An exception was when we considered approximations to
Some Asymptotic
Results for
Exponential Order
the moments of order statistics.
Statistics
Past experiences of the distribution theory of order s-
Asymptotic
Distribution of the
Sample Maximum
tatistics and their functions (such as quasi-ranges) for fi-
nite samples have repeatedly demonstrated that the exact
CDFs of such statistics are computationally messy, except
in rare cases.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 4 / 34
 An introduction
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 5 / 34
 An introduction
Lecture 9: Some In this case, one might be interested in a large sample in
Asymptotic Results
of Extreme Order
Statistics
the hopes of finding a simple CDF that approximates the
Prof. Magdy E. intractable CDF of the statistic that we have.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 5 / 34
 An introduction
Lecture 9: Some In this case, one might be interested in a large sample in
Asymptotic Results
of Extreme Order
Statistics
the hopes of finding a simple CDF that approximates the
Prof. Magdy E. intractable CDF of the statistic that we have.
El-Adll
When the laws of extremes govern the random quantities
An Introduction

Some Asymptotic
of interest, the extreme-value theory (EVT) provides, in
Results for
Exponential Order some cases, exact probabilistic models but, in most cas-
Statistics

Asymptotic
es,approximate probabilistic ones.
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 5 / 34
 An introduction
Lecture 9: Some In this case, one might be interested in a large sample in
Asymptotic Results
of Extreme Order
Statistics
the hopes of finding a simple CDF that approximates the
Prof. Magdy E. intractable CDF of the statistic that we have.
El-Adll
When the laws of extremes govern the random quantities
An Introduction

Some Asymptotic
of interest, the extreme-value theory (EVT) provides, in
Results for
Exponential Order some cases, exact probabilistic models but, in most cas-
Statistics

Asymptotic
es,approximate probabilistic ones.
Distribution of the
Sample Maximum A complicated situation can therefore be replaced by a
simple asymptotic model if the fundamental conditions of
the actual situation are compatible with the model as-
sumptions.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 5 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order With respect to the limiting behavior of a sequence of random
Statistics

Prof. Magdy E.
variables, there exist several mods of convergence.
El-Adll
Convergence in distribution or weak convergence,
An Introduction

Some Asymptotic convergence in probability,

Results for
Exponential Order
Statistics almost sure convergence are the most important ones.
Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 6 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order With respect to the limiting behavior of a sequence of random
Statistics

Prof. Magdy E.
variables, there exist several mods of convergence.
El-Adll
Convergence in distribution or weak convergence,
An Introduction

Some Asymptotic convergence in probability,

Results for
Exponential Order
Statistics almost sure convergence are the most important ones.
Asymptotic
The sample mean, X̄n = n1 ni=1 Xi , these concepts lead
Distribution of the
P
Sample Maximum

us to the classical central limit theorem, weak law of large

numbers, and strong law of large numbers, respectively.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 6 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics In this chapter, weak convergence results for the extreme order
Prof. Magdy E.
El-Adll
statistics will be our main focus. More specifically, we are
An Introduction
interested in:
Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 7 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics In this chapter, weak convergence results for the extreme order
Prof. Magdy E.
El-Adll
statistics will be our main focus. More specifically, we are
An Introduction
interested in:
Some Asymptotic
Results for
Identifying possible nondegenerate limit distributions for
Exponential Order
Statistics suitably normalized sequences of interesting random vari-
Asymptotic
Distribution of the
ables in the context of weak convergence.
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 7 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics In this chapter, weak convergence results for the extreme order
Prof. Magdy E.
El-Adll
statistics will be our main focus. More specifically, we are
An Introduction
interested in:
Some Asymptotic
Results for
Identifying possible nondegenerate limit distributions for
Exponential Order
Statistics suitably normalized sequences of interesting random vari-
Asymptotic
Distribution of the
ables in the context of weak convergence.
Sample Maximum
When the sample size is large, these limiting distributions
can be directly applied to suggest inference procedures.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 7 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 8 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
As in the proceeding chapters, we start with a random
El-Adll
sample X1 , ..., Xn from a continuous population whose
An Introduction CDF is F .
Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 8 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
As in the proceeding chapters, we start with a random
El-Adll
sample X1 , ..., Xn from a continuous population whose
An Introduction CDF is F .
Some Asymptotic
Results for
Exponential Order
The asymptotic behavior of a single-order statistic Xr:n
Statistics

Asymptotic
depends on:
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 8 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
As in the proceeding chapters, we start with a random
El-Adll
sample X1 , ..., Xn from a continuous population whose
An Introduction CDF is F .
Some Asymptotic
Results for
Exponential Order
The asymptotic behavior of a single-order statistic Xr:n
Statistics

Asymptotic
depends on:
Distribution of the
Sample Maximum (1) How r relates to n.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 8 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
As in the proceeding chapters, we start with a random
El-Adll
sample X1 , ..., Xn from a continuous population whose
An Introduction CDF is F .
Some Asymptotic
Results for
Exponential Order
The asymptotic behavior of a single-order statistic Xr:n
Statistics

Asymptotic
depends on:
Distribution of the
Sample Maximum (1) How r relates to n.
(2) The functional form of F .

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 8 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 9 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics For example, the large-sample behavior of thesample
Prof. Magdy E.
El-Adll maximum is much different than that of either the sample
An Introduction minimum, sample quantile, or the sample median.
Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 9 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics For example, the large-sample behavior of thesample
Prof. Magdy E.
El-Adll maximum is much different than that of either the sample
An Introduction minimum, sample quantile, or the sample median.
Some Asymptotic
Results for We will demonstrate this first for the standard exponential
Exponential Order
Statistics distribution in the next section.
Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 9 / 34
 An introduction-continued
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics For example, the large-sample behavior of thesample
Prof. Magdy E.
El-Adll maximum is much different than that of either the sample
An Introduction minimum, sample quantile, or the sample median.
Some Asymptotic
Results for We will demonstrate this first for the standard exponential
Exponential Order
Statistics distribution in the next section.
Asymptotic
Distribution of the
Sample Maximum
In order to give general results in a systematic manner,
we consider separately three distinct, non-exhaustive situ-
ations where Xr:n is classified as one of the following:

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 9 / 34
 Classification of an order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 10 / 34
 Classification of an order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E. Extreme order statistic when either r or n − r is fixed and

El-Adll
the sample size n → ∞,
An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 10 / 34
 Classification of an order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E. Extreme order statistic when either r or n − r is fixed and

El-Adll
the sample size n → ∞,
An Introduction

Some Asymptotic Central order statistic when r = [np] + 1 with 0 < p < 1,
Results for
Exponential Order
Statistics
where[.] stands for the greatest integer part.
Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 10 / 34
 Classification of an order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E. Extreme order statistic when either r or n − r is fixed and

El-Adll
the sample size n → ∞,
An Introduction

Some Asymptotic Central order statistic when r = [np] + 1 with 0 < p < 1,
Results for
Exponential Order
Statistics
where[.] stands for the greatest integer part.
Asymptotic Intermediate order statistic when both r and n − r
Distribution of the r
Sample Maximum
approach infinity, but → 0 or 1.
n

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 10 / 34
 Classification of an order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 11 / 34
 Extreme order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 12 / 34
 Extreme order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll We focus on the extreme case; more specifically, we con-
An Introduction sider the sample maximum and minimum.
Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 12 / 34
 Extreme order statistic
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll We focus on the extreme case; more specifically, we con-
An Introduction sider the sample maximum and minimum.
Some Asymptotic
Results for
The most important message about extreme order statis-
Exponential Order
Statistics
tics is that:
Asymptotic If the limit distribution exists it is nonnormal
Distribution of the
Sample Maximum Depends on F only through its tail behavior.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 12 / 34
 Presentation Outline
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll 1 An Introduction
An Introduction

Some Asymptotic
Results for 2 Some Asymptotic Results for Exponential Order Statistics
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum
3 Asymptotic Distribution of the Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 13 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 14 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll
Before studying the three possible limit distributions for
An Introduction
order statistics from an arbitrary CDF, we first consider
Some Asymptotic
Results for
Exponential Order
the asymptotic results for the exponential distribution.
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 14 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll
Before studying the three possible limit distributions for
An Introduction
order statistics from an arbitrary CDF, we first consider
Some Asymptotic
Results for
Exponential Order
the asymptotic results for the exponential distribution.
Statistics

Asymptotic
These results, while easy to prove, give us an initial idea
Distribution of the
Sample Maximum
about the nature of the limit distributions.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 14 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 15 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
Without any loss of generality, we assume the scale param-
El-Adll
eter θ = 1 and recall once again the ever useful
An Introduction
representation (3.5) for exponential order statistics given
Some Asymptotic
Results for
Exponential Order
in Theorem (3.1).
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
Order
Cairo,
Statistics
Egypt.) 22 / 4 / 2024 15 / 34
 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
Without any loss of generality, we assume the scale param-
El-Adll
eter θ = 1 and recall once again the ever useful
An Introduction
representation (3.5) for exponential order statistics given
Some Asymptotic
Results for
Exponential Order
in Theorem (3.1).
Statistics

Asymptotic
It expresses Xr:n as a linear function of independent and
Distribution of the
Sample Maximum identically distributed standard exponential random vari-
ables denoted by Zi ’s as follows:

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
Helwan University,
Results ofAin
Extreme
Helwan,
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 Some Asymptotic Results for Exponential
Order Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order r
Statistics X
Prof. Magdy E.
d
Xr:n = ai (r) Zi , r = 1, ..., n, (1)
El-Adll
i=1
An Introduction

Some Asymptotic where

Results for
Exponential Order
1
Statistics

Asymptotic
 , 1 ≤ i ≤ r,
n−i+1
Distribution of the

Sample Maximum ai (r) =


0, i > r.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Asymptotic distribution of X1:n for EXP(1)
Lecture 9: Some
Asymptotic Results
of Extreme Order Now let us start with the lower extremes. In view of (1), we
Statistics

Prof. Magdy E.
have where
El-Adll

d
Z1 d Z ,
An Introduction
X1:n = or equivalently nX1:n = 1
Some Asymptotic
Results for
n
Exponential Order
Statistics

Asymptotic
which implies
Distribution of the
Sample Maximum
d Z
nX1:n −→ as n → ∞.
1

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results More generally, if r is held fixed with respect to n, the repre-
of Extreme Order
Statistics sentation (1) yields
Prof. Magdy E.
El-Adll  
d
Z1 Z 2 Z r
An Introduction
Xr:n = + + ··· + .
Some Asymptotic
Results for
n n−1 n−r+1
Exponential Order
Statistics

Asymptotic
Therefore, we have
Distribution of the
Sample Maximum  
d
nZ1 nZ2 nZr
nXr:n = + + ··· + .
n n−1 n−r+1

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E. In other words,

El-Adll

An Introduction d
nXr:n −→ {Z1 + Z2 + · · · + Zr } as n → ∞.
Some Asymptotic
Results for
Exponential Order
Statistics That is, the limiting distribution of nXr:n is gamma
Asymptotic
Distribution of the distribution with scale parameter one and shape parameter of
Sample Maximum
r, where r is any fixed integer.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Asymptotic distribution of Xn:n from EXP(1)
Lecture 9: Some
Asymptotic Results
of Extreme Order In the case of the upper extremes, it is more convenient to start
Statistics

Prof. Magdy E.
with the CDF for the sample maximum. It can be noted that,
El-Adll

An Introduction P (Xn:n − log n ≤ x)

Some Asymptotic
Results for
Exponential Order
= P (Xn:n ≤ x + log n)
= Fn:n (x + log n) = {F (x + log n)}n
Statistics

Asymptotic
Distribution of the 
Sample Maximum 0, if x ≤ − log n;
= n
{1 − exp [−(x + log n)]} , if x > − log n.

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Asymptotic distribution of Xn:n from EXP(1)
Lecture 9: Some That is,
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
P (Xn:n − log n ≤ x)
El-Adll

An Introduction
 0, n if x ≤ − log n;
= 1
Some Asymptotic
Results for  1 − exp(−x) , if x > − log n.
Exponential Order n
Statistics

Asymptotic → exp {− exp(−x)} , −∞ < x < ∞.

Distribution of the
Sample Maximum

The limit distribution of the rth upper extreme, Xn−r+1:n is

related to the limit distribution of the sample maximum, Xn:n
for any fixed integer r.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results
Now, we consider the case of both r → ∞ and n − r → ∞ as
of Extreme Order
Statistics n → ∞. In fact, this includes both the central and intermediate
Prof. Magdy E.
El-Adll
cases. In view of (1), it is clear that we have an infinite sum of
An Introduction
independent random variables, none of which is dominant. An
Some Asymptotic
Results for
application of Liapunov’s form of the central limit theorem to
Exponential Order
Statistics
the sum in (1) and conclude that the limit distribution of
Asymptotic
Distribution of the
Sample Maximum Xr:n − µr:n
σr:n
is standard normal.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results Before developing the general theory, let us summarize the con-
of Extreme Order
Statistics clusions of past experience with the exponential distribution.
Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results Before developing the general theory, let us summarize the con-
of Extreme Order
Statistics clusions of past experience with the exponential distribution.
Prof. Magdy E.
El-Adll
The limit distribution of Xr:n is not normal, at least in the
An Introduction extreme cases.
Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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Extreme
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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results Before developing the general theory, let us summarize the con-
of Extreme Order
Statistics clusions of past experience with the exponential distribution.
Prof. Magdy E.
El-Adll
The limit distribution of Xr:n is not normal, at least in the
An Introduction extreme cases.
Some Asymptotic
Results for
Exponential Order
The upper and lower extremes have different limit distri-
Statistics

Asymptotic
butions.
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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Results ofAin
Extreme
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 Asymptotic distribution of Xr:n from EXP(1)
Lecture 9: Some
Asymptotic Results Before developing the general theory, let us summarize the con-
of Extreme Order
Statistics clusions of past experience with the exponential distribution.
Prof. Magdy E.
El-Adll
The limit distribution of Xr:n is not normal, at least in the
An Introduction extreme cases.
Some Asymptotic
Results for
Exponential Order
The upper and lower extremes have different limit distri-
Statistics

Asymptotic
butions.
Distribution of the
Sample Maximum In the extreme case, the limit law depends on r.
We will build on these findings in the next sections, assuming
F is an arbitrary absolutely continuous function.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
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 Presentation Outline
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll 1 An Introduction
An Introduction

Some Asymptotic
Results for 2 Some Asymptotic Results for Exponential Order Statistics
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum
3 Asymptotic Distribution of the Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Asymptotic of maximum Order Statistics
Lecture 9: Some
Asymptotic Results
Now, a detailed discussion of the possible nondegenerate limit
of Extreme Order
Statistics distributions for the sample maximum is considered. Since
Prof. Magdy E.
El-Adll

An Introduction
Fn:n (x) = P (Xn:n ≤ x) = F n (x), p
Xn:n −→ F −1 (1),
Some Asymptotic
Results for
Exponential Order which is the upper limit of the support of F (sometimes called
Statistics

Asymptotic
the right-end point of F ). Recall that a CDF H is called
Distribution of the
Sample Maximum degenerate if 
0, if; x < α
H(x) = (2)
1, if; x ≥ α,
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
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 The normalized maximum
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics
In order to hope for a nondegenerate limit distribution, we will
Prof. Magdy E.
El-Adll have to appropriately normalize or standardize
 Xn:n .
An Introduction Xn:n − an
Some Asymptotic
In other words, we look at the sequence , n ≥ 1,
Results for bn
Exponential Order
Statistics where an represents a shift in location and bn > 0 represents
Asymptotic
Distribution of the a change in scale. In this case, the CDF of the normalized
maximum is given by F n (an + bn x).
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order Now, let us ask the following questions:
Statistics

Prof. Magdy E.
El-Adll

An Introduction

Some Asymptotic
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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Results ofAin
Extreme
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Order
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Statistics
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order Now, let us ask the following questions:
Statistics

Prof. Magdy E. 1 Is it always possible to find normalizing constants an and

El-Adll
bn > 0 such that F n (an + bn x) → G(x) at all continuity
An Introduction

Some Asymptotic
points of a nondegenerate CDF G?
Results for
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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Results ofAin
Extreme
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order Now, let us ask the following questions:
Statistics

Prof. Magdy E. 1 Is it always possible to find normalizing constants an and

El-Adll
bn > 0 such that F n (an + bn x) → G(x) at all continuity
An Introduction

Some Asymptotic
points of a nondegenerate CDF G?
Results for
Exponential Order 2 What kind of CDF G can appear as the limiting CDF?
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
9: Science,
Some Asymptotic
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Extreme
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order Now, let us ask the following questions:
Statistics

Prof. Magdy E. 1 Is it always possible to find normalizing constants an and

El-Adll
bn > 0 such that F n (an + bn x) → G(x) at all continuity
An Introduction

Some Asymptotic
points of a nondegenerate CDF G?
Results for
Exponential Order 2 What kind of CDF G can appear as the limiting CDF?
Statistics

Asymptotic 3 How is G related to F ? That is, given F , can we identify

Distribution of the
Sample Maximum
G?

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order Now, let us ask the following questions:
Statistics

Prof. Magdy E. 1 Is it always possible to find normalizing constants an and

El-Adll
bn > 0 such that F n (an + bn x) → G(x) at all continuity
An Introduction

Some Asymptotic
points of a nondegenerate CDF G?
Results for
Exponential Order 2 What kind of CDF G can appear as the limiting CDF?
Statistics

Asymptotic 3 How is G related to F ? That is, given F , can we identify

Distribution of the
Sample Maximum
G?
4 What are the appropriate choices for an and bn > 0 in 1.?

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Important questions about the limit of Xn:n
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll

An Introduction We introduce two definitions to provide precise answers to these

Some Asymptotic
Results for questions and to facilitate the discussion that follows.
Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Max domain of attraction
Lecture 9: Some
Asymptotic Results
of Extreme Order
Definition 1 (max domain of attraction)
Statistics

Prof. Magdy E.
A CDF F is said to belong to the max domain of attraction
El-Adll
of a nondegenerate CDF G if there exist sequences {an } and
An Introduction

Some Asymptotic
{bn > 0} such that
Results for
Exponential Order
Statistics
lim F n (an + bn x) = G(x) (3)
Asymptotic n→∞
Distribution of the
Sample Maximum

at all continuity points of the limit G(x). If (3)) holds, we will

write F ∈ D(G).

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Some Asymptotic Results for maximum Order
Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll
Let W be a random variable whose CDF is G. Then, asserting
An Introduction
that F ∈ D(G) is equivalent to saying
Some Asymptotic
Results for Xn:n − an d
−→ W.
Exponential Order
Statistics

Asymptotic
bn
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Some Asymptotic Results for maximum Order
Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll
Let W be a random variable whose CDF is G. Then, asserting
An Introduction
that F ∈ D(G) is equivalent to saying
Some Asymptotic
Results for Xn:n − an d
−→ W.
Exponential Order
Statistics

Asymptotic
bn
Distribution of the
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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 Some Asymptotic Results for maximum Order
Statistics
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics

Prof. Magdy E.
El-Adll Definition 2
An Introduction Two distribution functions F1 and F2 are said to be of the same
Some Asymptotic
Results for
type if there exist constants a0 and b0 > 0 such that
Exponential Order
Statistics

Asymptotic
Distribution of the
F1 (a0 + b0 x) = F2 (x).
Sample Maximum

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

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 Remark
Lecture 9: Some
Asymptotic Results
of Extreme Order
Statistics
Remark 6.1
Prof. Magdy E.
El-Adll
The choice of normalizing constants is not unique.
An Introduction

Some Asymptotic
A cumulative distribution function F cannot be in the max
Results for
Exponential Order domain of attraction for more than one type.
Statistics

Asymptotic Thus, we will now turn our attention to the identification of

Distribution of the
Sample Maximum the types of G’s that are eligible to be the limiting CDFs in
(3).

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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 Some Asymptotic Results for maximum Order
Statistics
Lecture 9: Some
Asymptotic Results
Fisher and Tippett (1928) identified the class of such CDFs by a
of Extreme Order
Statistics clever argument. First let n = mr, where m and r are positive
Prof. Magdy E.
El-Adll
integers. When m → ∞, while F n (an + bn x) −→ G(x), it
An Introduction
follows from the above discussion that
Some Asymptotic r
[F m (amr + bmr x)]r −→ G(a0r + b0r x) ,
Results for

Exponential Order
Statistics

Asymptotic
Distribution of the
Sample Maximum
for some constants a0r and b0r > 0. Thus, G must be such that

Gn (a0n + b0n x) −→ G(x), (4)

Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty

Lecture of
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Some Asymptotic
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