ORDER STATISTICS Exercises

Answers

[6.74]

The probability density function and distribution function of Y are

1
f (y) = 0≤y≤θ
θ
y
F (y) = 0≤y≤θ
θ

y n


a. The distribution function of Y(n) is Fn (y) = θ 0≤y≤θ

ny n−1
b. The probability density function of Y(n) is fn (y) = θn 0≤y≤θ

c.
θ
yny n−1
Z
E(Y(n) ) = dy
0 θn
n

= θ
n+1
Z θ 2 n−1
2 y ny
E(Y(n) ) = dy
0 θn
n
2
= θ
n+2
2
V (Y(n) ) = E(Y(n) ) − E 2 (Y(n) )
n
2 nθ
2
= θ −
n+2 n+1
2
nθ
=
(n + 1)2 (n + 2)

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ORDER STATISTICS Exercises

[6.76]

a. The density function of Y(k) is

n! y
k−1 θ − y
n−k 1

fk (y) =
(k − 1)!(n − k)! θ θ θ
k−1 n−k
n! y (θ − y)
= 0≤y≤θ
(k − 1)!(n − k)! θn

b. Z θ
E(Y(k) ) = yfk (y) dy
0
θ
y k (θ − y)n−k
Z
n!
= dy
0 (k − 1)!(n − k)! θn
Z θ
n! y
k y
n−k
= 1− dy
0 (k − 1)!(n − k)! θ θ
Z 1
n! y
= θ z k (1 − z)n−k dz with z=
(k − 1)!(n − k)! o θ
n! 1
=θ
(k − 1)!(n − k)! B(k + 1, n − k + 1)
k
= θ
n+1

c. Z θ
2
E(Y(k) ) = y 2 fk (y) dy
0
θ
y k+1 (θ − y)n−k
Z
n!
= dy
0 (k − 1)!(n − k)! θn
Z θ
n!θ y
k+1 y
n−k
= 1− dy
0 (k − 1)!(n − k)! θ θ
Z 1
n!θ2 y
= z k+1 (1 − z)n−k dz with z=
(k − 1)!(n − k)! o θ
n! 1
= θ2
(k − 1)!(n − k)! B(k + 2, n − k + 1)
k(k + 1)
= θ2
(n + 1)(n + 2)

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ORDER STATISTICS Exercises

The variance of Y(k) is

2
V (Y(k) ) = E(Y(k) ) − E 2 (Y(k) )
k(k + 1) k2 θ2
= θ2 −
(n + 1)(n + 2) (n + 1)2
(n − k + 1)kθ2
=
(n + 1)2 (n + 2)

d.
E(Y(k) − Y(k−1) ) = E(Y(k) ) − E(Y(k−1) )
kθ (k − 1)θ
= −
n+1 n+1
θ
=
n+1

which is constant for all k and so the order statistics are equally spaced.

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ORDER STATISTICS Exercises

[6.77]

a.

The joint density function of Y(j) and Y(k) is

n! yj
j−1 h yk yj ik−1−j h yk in−k 1
2

f (yj , yk ) = − 1−
(j − 1)!(k − 1 − j)!(n − k)! θ θ θ θ θ

for 0 ≤ yj ≤ yk ≤ θ.

b. The covariance of Y(j) and Y(k) is given by

Cov(Y(j) , Y(k) ) = E(Y(j) Y(k) ) − E(Y(j) )E(Y(k) )

and
n!
E(Y(j) Y(k) ) =
(j − 1)!(k − 1 − j)!(n − k)!
Z θ Z yk
yj
j−1 h yk yj ik−1−j h yk in−k 1
2
× yj yk − 1− dyj dyk
0 0 θ θ θ θ θ
n!
=
(j − 1)!(k − 1 − j)!(n − k)!
Z θ Z yk
yj
j h yk yj ik−1−j yk
h yk in−k
× − 1− dyj dyk
0 0 θ θ θ θ θ
n!
=
(j − 1)!(k − 1 − j)!(n − k)!
Z θ
yk in−k yk yj
j h yk yj ik−1−j
Z
yk
h
× 1− − dyj dyk
0 θ θ 0 θ θ θ
n!θ
=
(j − 1)!(k − 1 − j)!(n − k)!
Z θ
yk in−k yk
1 zyk
j h yk zyk ik−1−j
Z
yk
h
× 1− − dzdyk
0 θ θ θ 0 θ θ θ
n!θ
=
(j − 1)!(k − 1 − j)!(n − k)!
Z θ
yk in−k 1 j
Z
yk
k+1 h
× 1− z (1 − z)k−1−j dzdyk
0 θ θ 0

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ORDER STATISTICS Exercises

Evaluating these integrals using the beta function gives

(k + 1)jθ2
E(Y(j) Y(k) ) =
(n + 2)(n + 1)

and so
(k + 1)jθ2 jθ
kθ

Cov(Y(j) , Y(k) ) = −
(n + 2)(n + 1) n+1 n+1
2
j(n − k + 1)θ
=
(n + 1)2 (n + 2)

c.

The variance of Y(k) − Y(j) is

V (Y(k) − Y(j) ) = V (Y(k) ) + V (Y(j) ) − 2Cov(Y(k) , Y(j) )

h k(n − k + 1) j(n − j + 1) 2j(n − k + 1) i 2
= + − θ
(n + 1)2 (n + 2) (n + 1)2 (n + 2) (n + 1)2 (n + 2)
(k − j)(n − k + j + 1) 2
= θ
(n + 1)2 (n + 2)

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ORDER STATISTICS Exercises

[6.91] The joint distribution of W(j−1) and W(j) is

n!
n−j 1
−(wj +wj−1 )/θ
f (wj , wj−1 ) = (1 − e−wj−1 /θ )j−2 e−wj /θ e
(j − 2)!(n − j)! θ2
for 0 ≤ wj−1 ≤ wj < ∞.

Consider the transformation

Tj−1 = Wj−1
Tj = Wj − Wj−1
but identify Tj−1 as Y1 and Tj as Y2 for notational simplicity so that
Y1 = Wj−1
Y2 = Wj − Wj−1
wj−1 = y1
w j = y1 + y2

 
0 1 
|J| =  
1 −1 
=1
and the joint probability density function of Y1 and Y2 is
n!
j−2 −(y1 +y2 )/θ
n−j 1
−(2y1 +y2 )/θ
f (y1 , y2 ) = 1 − e−y1 /θ e e
(j − 2)!(n − j)! θ2
and integrating over y1 gives the marginal probability density function of Y2 as
n! 1
−y2 /θ −y2 (n−j)/θ
f (y2 ) = e e
(j − 2)!(n − j)! θ2
Z ∞

j−2 −y1 /θ
n−j+2
× 1 − e−y1 /θ e dy1
0
1 n!
= 2 e−y2 (n−j+1)/θ
θ (j − 2)!(n − j)!
Z 1
−θ
× (1 − u)j−2 un−j+2 du letting u = e−y1 /θ
0 u
1 n! Γ(j − 1)Γ(n − j + 2)
= e−y2 (n−j+1)/θ
θ (j − 2)!(n − j)! Γ(n + 1)
n − j + 1 −y2 (n−j+1)/θ
= e 0 < y2
θ
θ
so Wj − Wj−1 is exponential with mean n−j+1 .