Lecture 2: Basic

Distribution Theory

Prof. Magdy E.
El-Adll
Lecture 2: Basic Distribution Theory
Chapter Objectives

The Distribution of
an Order Statistic

Prof. Magdy E. El-Adll

Department of Mathematics, Faculty of Science,
Helwan University, Ain Helwan, Cairo, Egypt.

19 / 2 / 2024

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 1 / 25
 Presentation Outline
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
1 Chapter Objectives
an Order Statistic

2 The Distribution of an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 2 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll
1 Distinguish between independent and dependent random
Chapter Objectives

The Distribution of
variables.
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll
1 Distinguish between independent and dependent random
Chapter Objectives

The Distribution of
variables.
an Order Statistic
2 Clarify the concept of random sample.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll
1 Distinguish between independent and dependent random
Chapter Objectives

The Distribution of
variables.
an Order Statistic
2 Clarify the concept of random sample.

3 Identify the basic terms of order statistics.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll
1 Distinguish between independent and dependent random
Chapter Objectives

The Distribution of
variables.
an Order Statistic
2 Clarify the concept of random sample.

3 Identify the basic terms of order statistics.

4 Derive the distribution of an order statistic.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Chapter Objectives
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
After completing this chapter, you should be able to:
El-Adll
1 Distinguish between independent and dependent random
Chapter Objectives

The Distribution of
variables.
an Order Statistic
2 Clarify the concept of random sample.

3 Identify the basic terms of order statistics.

4 Derive the distribution of an order statistic.

5 Establish the distributions of some functions of order s-

tatistics.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 3 / 25
 Presentation Outline
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
1 Chapter Objectives
an Order Statistic

2 The Distribution of an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 4 / 25
 Order Statistics
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll
Definition 1
Chapter Objectives
Suppose that X1 , X2 , ..., Xn , are independent and
The Distribution of identically distributed random variables (iid) with
an Order Statistic
common probability density function (pdf) f (x) and
cumulative distribution function (cdf) F (x). Arrange
(X1 , X2 , ..., Xn ) in an increasing order of magnitude and let
X1:n < X2:n < · · · < Xn:n , be the ordered values. Then
X1:n , X2:n , ..., Xn:n are called order statistics.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 5 / 25
 Minimum, rth, and Maximum order statistics
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives The rth element of this sequence,Xr:n , is called the rth order
The Distribution of
an Order Statistic
statistic. The first and last order statistics, X1:n and Xn:n ,
are the minimum and maximum of (X1 , X2 , ..., Xn ), respec-
tively. The minimum and maximum order statistics are called
the extremes.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 6 / 25
 Why Order Statistics?
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives
Order statistics are very important in practice and
The Distribution of
an Order Statistic especially the minimum, X1:n , and the maximum, Xn:n , be-
cause they are the critical values used in engineering, physics,
medicine, etc.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 7 / 25
 Random Sample
Lecture 2: Basic
Distribution Theory Let X1 , X2 , ..., Xn , be a random sample of size n from a popu-
Prof. Magdy E.
El-Adll
lation with pdf f (x) and cdf F (x). Then the joint pdf and the
Chapter Objectives
joint cdf of X1 , X2 , ..., Xn , respectively, are
The Distribution of
an Order Statistic
n
Y
f (x1 , x2 , ..., xn ) = f (xi ) (1)
i=1

and n
Y
F (x1 , x2 , ..., xn ) = F (xi ). (2)
i=1
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 8 / 25
 Remark 1.
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll
Clearly,
Chapter Objectives
X1:n = min{X1 , X2 , ..., Xn }
The Distribution of
an Order Statistic
and
Xn:n = max{X1 , X2 , ..., Xn }.
The cdf of the maximum order statistic, Xn:n , denoted by Fn:n
can be derived as follows:

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 9 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll
= P (max{X1 , X2 , ..., Xn } 6 x)
Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll
= P (max{X1 , X2 , ..., Xn } 6 x)
Chapter Objectives = P (X1 6 x, X2 6 x, ..., Xn 6 x)
The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll
= P (max{X1 , X2 , ..., Xn } 6 x)
Chapter Objectives = P (X1 6 x, X2 6 x, ..., Xn 6 x)
The Distribution of Yn
P (Xi 6 x) by the independence of Xi0 s
an Order Statistic
=
i=1

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll
= P (max{X1 , X2 , ..., Xn } 6 x)
Chapter Objectives = P (X1 6 x, X2 6 x, ..., Xn 6 x)
The Distribution of Yn
P (Xi 6 x) by the independence of Xi0 s
an Order Statistic
=
i=1
Yn
= F (x) by the identical of Xi0 s
i=1

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The cdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory
Fn:n (x) = P (Xn:n 6 x)
Prof. Magdy E.
El-Adll
= P (max{X1 , X2 , ..., Xn } 6 x)
Chapter Objectives = P (X1 6 x, X2 6 x, ..., Xn 6 x)
The Distribution of Yn
P (Xi 6 x) by the independence of Xi0 s
an Order Statistic
=
i=1
Yn
= F (x) by the identical of Xi0 s
i=1
= [F (x)]n , − ∞ < x < ∞. (3)
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 10 / 25
 The pdf of the maximum order statistic
Lecture 2: Basic
Distribution Theory

Prof. Magdy E. Therefore, the cdf of the maximum, Xn:n , can be obtained by
El-Adll
raising the original cdf, F , to the nth power.
Chapter Objectives

The Distribution of
The pdf of the sample maximum, Xn:n , is obtained by differ-
an Order Statistic
entiating (3) with respect to x, namely,

fn:n (x) = n [F (x)]n−1 f (x), −∞ < x < ∞. (4)

The cdf of the minimum order statistic, X1:n , denoted by F1:n ,

can be derived in a similar way as follows:

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 11 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x)
Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll
= 1 − P (min{X1 , X2 , ..., Xn } > x)
Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll
= 1 − P (min{X1 , X2 , ..., Xn } > x)
Chapter Objectives = 1 − P (X1 > x, X2 > x, ..., Xn > x)
The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll
= 1 − P (min{X1 , X2 , ..., Xn } > x)
Chapter Objectives = 1 − P (X1 > x, X2 > x, ..., Xn > x)
The Distribution of Yn
P (Xi > x) by the independence of Xi0 s
an Order Statistic
= 1−
i=1

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll
= 1 − P (min{X1 , X2 , ..., Xn } > x)
Chapter Objectives = 1 − P (X1 > x, X2 > x, ..., Xn > x)
The Distribution of Yn
P (Xi > x) by the independence of Xi0 s
an Order Statistic
= 1−
i=1
Yn
= 1− (1 − F (x)) by the identical of Xi0 s
i=1

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The cdf of the minimum order statistic, X1:n
Lecture 2: Basic
Distribution Theory
F1:n (x) = P (X1:n 6 x) = P (min{X1 , X2 , ..., Xn } 6 x)
Prof. Magdy E.
El-Adll
= 1 − P (min{X1 , X2 , ..., Xn } > x)
Chapter Objectives = 1 − P (X1 > x, X2 > x, ..., Xn > x)
The Distribution of Yn
P (Xi > x) by the independence of Xi0 s
an Order Statistic
= 1−
i=1
Yn
= 1− (1 − F (x)) by the identical of Xi0 s
i=1
= 1 − [1 − F (x)]n , − ∞ < x < ∞. (5)
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 12 / 25
 The pdf of the sample minimum, X1:n
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives The pdf of the sample minimum, X1:n , is obtained by differen-
The Distribution of
an Order Statistic tiating (5) with respect to x, as

f1:n (x) = n [1 − F (x)]n−1 f (x), −∞ < x < ∞. (6)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 13 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic The cdf of the rth order statistic, Xr:n , can be obtained as
follows:

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 14 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll
= P (at least r of {X1 , X2 , ..., Xn }
Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll
= P (at least r of {X1 , X2 , ..., Xn }
Chapter Objectives are less than or equal to x)
The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll
= P (at least r of {X1 , X2 , ..., Xn }
Chapter Objectives are less than or equal to x)
The Distribution of n
an Order Statistic
X
= P (exactly i RVs among {X1 , X2 , ..., Xn }
i=r

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll
= P (at least r of {X1 , X2 , ..., Xn }
Chapter Objectives are less than or equal to x)
The Distribution of n
an Order Statistic
X
= P (exactly i RVs among {X1 , X2 , ..., Xn }
i=r
are less than or equal to x)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 The cdf of rth Order Statistic
Lecture 2: Basic
Distribution Theory
Fr:n (x) = P (Xr:n 6 x)
Prof. Magdy E.
El-Adll
= P (at least r of {X1 , X2 , ..., Xn }
Chapter Objectives are less than or equal to x)
The Distribution of n
an Order Statistic
X
= P (exactly i RVs among {X1 , X2 , ..., Xn }
i=r
are less than or equal to x)
n  
X n
= [F (x)]i [1 − F (x)]n−i , − ∞ < x < ∞.(7)
i=r
i
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 15 / 25
 Exercise 1
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll Prove the identity
Chapter Objectives
n   Z z
The Distribution of X n i n−i n!
an Order Statistic
z (1 − z) = tr (1 − t)n−r dt.
i=r
i (r − 1)!(n − r)! 0
= Iz (r, n − r + 1), 0 < z < 1, (8)

Iz (r, n − r + 1) denotes the incomplete beta function.

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

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Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 16 / 25
 The beta and incomplete beta functions
Lecture 2: Basic
Distribution Theory
The incomplete beta function denoted by Iz (a, b) is defined as
Prof. Magdy E.
El-Adll
Z z
1
Chapter Objectives
Iz (a, b) = ta−1 (1 − t)b−1 dt, 0 < z < 1, (9)
The Distribution of
an Order Statistic
B(a, b) 0

where, B(a, b) is the beta function given by

Z 1
Γ(a)Γ(b)
B(a, b) = ta−1 (1 − t)b−1 dt = , a > 0, b > 0,
0 Γ(a + b)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 17 / 25
 The gamma function
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll
and Γ(a) is gamma function defined by
Chapter Objectives

The Distribution of
Z ∞
an Order Statistic
Γ(a) = ta−1 e−t dt.
0

If a is an integer, Γ(a) = (a − 1)!. Moreover,

√ it can be shown
that Γ(a + 1) = aΓ(a) and Γ(1/2) = π.

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 18 / 25
 A different representation for Fr:n(x)
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives By (7), (8), and (9), the cdf of the rth order statistic, Xr:n ,
The Distribution of
an Order Statistic
can be written as

Fr:n (x) = IF (x) (r, n − r + 1), −∞ < x < ∞. (10)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 19 / 25
 Remark
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll We shall now assume that Xi is a continuous random variable
Chapter Objectives with pdf f (x) = F 0 (x).
The Distribution of
an Order Statistic Recall (from calculus) that
Z F (x)
d
H(t)dt = H(F (x))F 0 (x).
dx 0

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 20 / 25
 The pdf of the rth order statistic, Xr:n
Lecture 2: Basic
Distribution Theory Therefore, the pdf of the rth order statistic, Xr:n , can be
Prof. Magdy E.
El-Adll obtained by (9), and (10) as
Chapter Objectives
Z F (x)
The Distribution of 1 d
an Order Statistic
fr:n (x) = tr−1 (1 − t)n−r dt
B(r, n − r + 1) dx 0

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 21 / 25
 The pdf of the rth order statistic, Xr:n
Lecture 2: Basic
Distribution Theory Therefore, the pdf of the rth order statistic, Xr:n , can be
Prof. Magdy E.
El-Adll obtained by (9), and (10) as
Chapter Objectives
Z F (x)
The Distribution of 1 d
an Order Statistic
fr:n (x) = tr−1 (1 − t)n−r dt
B(r, n − r + 1) dx 0
1
= [F (x)]r−1 [1 − F (x)]n−r f (x),
B(r, n − r + 1)
−∞ < x < ∞. (11)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 21 / 25
 The standard uniform distribution
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives Example 1

The Distribution of
an Order Statistic Let U1 , U2 , ..., Un be a random sample of size n from the
uniform distribution on the interval (0, 1). That is F (u) = u,
0 < u < 1. Find the pdf, the mean and the variance of Ur:n .

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 22 / 25
 Solution
Lecture 2: Basic
Distribution Theory

Prof. Magdy E. Th pdf of Ur:n can be obtained from (11)

El-Adll

Chapter Objectives 1
The Distribution of fr:n (u) = ur−1 (1 − u)n−r
an Order Statistic B(r, n − r + 1)

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 23 / 25
 Solution
Lecture 2: Basic
Distribution Theory

Prof. Magdy E. Th pdf of Ur:n can be obtained from (11)

El-Adll

Chapter Objectives 1
The Distribution of fr:n (u) = ur−1 (1 − u)n−r
an Order Statistic B(r, n − r + 1)
n!
= ur−1 (1 − u)n−r , 0 < u < 1.
(r − 1)!(n − r)!
That is Ur:n follows beta distribution with parameters r and
n − r + 1. The m−moment of Ur:n can be obtained directly as

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 23 / 25
 Solution-continued
Lecture 2: Basic
Distribution Theory
Z 1
m
Prof. Magdy E.
El-Adll
E [Ur:n ] = um fr:n (u)du
0
Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 24 / 25
 Solution-continued
Lecture 2: Basic
Distribution Theory
Z 1
m
Prof. Magdy E.
El-Adll
E [Ur:n ] = um fr:n (u)du
0
Chapter Objectives
Z 1
n!
The Distribution of
= um+r−1 (1 − u)n−r du
an Order Statistic
(r − 1)!(n − r)! 0

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 24 / 25
 Solution-continued
Lecture 2: Basic
Distribution Theory
Z 1
m
Prof. Magdy E.
El-Adll
E [Ur:n ] = um fr:n (u)du
0
Chapter Objectives
Z 1
n!
The Distribution of
= um+r−1 (1 − u)n−r du
an Order Statistic
(r − 1)!(n − r)! 0
n!(m + r − 1)!
= (Prove). (12)
(r − 1)!(m + n)!
Therefore, the mean and the variance of Ur:n , respectively are
given by
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 24 / 25
 Solution-continued
Lecture 2: Basic
Distribution Theory

Prof. Magdy E.
El-Adll

Chapter Objectives

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 25 / 25
 Solution-continued
Lecture 2: Basic r r(n − r + 1)
Distribution Theory
E[Ur:n ] = and V ar(Ur:n ) = . (13)
Prof. Magdy E. n+1 (n + 1)2 (n + 2)
El-Adll

Chapter Objectives For r = 1, we have

The Distribution of
an Order Statistic

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 25 / 25
 Solution-continued
Lecture 2: Basic r r(n − r + 1)
Distribution Theory
E[Ur:n ] = and V ar(Ur:n ) = . (13)
Prof. Magdy E. n+1 (n + 1)2 (n + 2)
El-Adll

Chapter Objectives For r = 1, we have

The Distribution of
an Order Statistic 1 n
E[U1:n ] = and V ar(U1:n ) = .
n+1 (n + 1)2 (n + 2)
For r = n, we have

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

Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 25 / 25
 Solution-continued
Lecture 2: Basic r r(n − r + 1)
Distribution Theory
E[Ur:n ] = and V ar(Ur:n ) = . (13)
Prof. Magdy E. n+1 (n + 1)2 (n + 2)
El-Adll

Chapter Objectives For r = 1, we have

The Distribution of
an Order Statistic 1 n
E[U1:n ] = and V ar(U1:n ) = .
n+1 (n + 1)2 (n + 2)
For r = n, we have
n n
E[Un:n ] = and V ar(Un:n ) = .
n+1 (n + 1)2 (n + 2)
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty of Lecture
Science,2:Helwan
Basic Distribution
University, Ain
Theory
Helwan, Cairo, Egypt.) 19 / 2 / 2024 25 / 25