2.1 DISTRIBUTION OF A SINGLE ORDER STATISTIC We suppose that X1,..., Xq aren independent variates, each with cumulative distri- bution function (cdf) F(z). Let Fix)(z)(r = 1,...,7) denote the edf of the rth order statistic X(q). Then the edf of the largest order statistic X() is given by Fon) (2) Pr{Xin) < 2} = Pr{all X, < z} = F*%(z). (11) Likewise we have Fiy(2) Pr{Xq) Sz} =1-Pr{Xay > 2} = 1-Pr{all X, > 2} =1-[1- F@))". 2.1.2) ‘These are important special cases of the general result for Fie) (x): Foye) = PX <2) = Pr{at least r of the X are less than or equal to 2} -> (?) F(x). — Fert 2.13) ‘since the term in the summands the binomial probability that exactly iof X1,..., Xn are less than or equal to z. 9 10 BASIC DISTRIBUTION THEORY An alternative form of (2.1.3) is Fin (z) = FT T+I—l i _ payp, ite) = Pre (C7272) - Fen where the RHS is the sum of the probabilities that exactly r of X1,...,X py. imclud- ing X,), are less than or equal to «. This negative binomial version of (2.1.3) may also be obtained by repeated application of (b) in Ex. 2.1.6. We write (2.1.3) as Foy (2) = Er(a)(n,7) (ay and note that the E function has been tabled extensively (e.g., Harvard Computation Laboratory, 1955, where the notation E(n,r, F(x)) is used). Alternatively, from the well-known relation between binomial sums and the incomplete beta function we have Fn) = Teen —7 +1), (2.15) where Ip(a, b) is defined by (1.3.1). Thus F,;(z) can also be evaluated from tables of [,(a,6) (K. Pearson, 1934). Percentage points of X,) may be obtained by inverse interpolation in the above tables or more directly from Table 16 of Biometrika Tables (Pearson and Hartley, 1970), which gives percentage points of the incomplete beta function.Example 2.1. Find the upper 5% point of X,4) in samples of $ from a standard normal parent. We require z such that Trt(4s2) = 0.95 or -rja)(2,4) = 095. This gives 1 — F(x) = 0.07644 and hence 2 = 1.429. It should be noted that results (2.1.1)}{2.1.5) hold equally for continuous and discrete variates. We shall now assume that X, is continuous with probability density function (pdt) f(x) = F'(z), but will retum to the discrete case in Section 24. If Ain (z) denotes the pdf of Xi, we have from (2.1.5) d F(a) S(t) = mene! edt Bey Ol- Farle). 210 In view of the importance ofthis result we will also derive it otherwise. The event 2 < Xi) <2 + ba may be realized as follows:atdéx Xi Sv forr—Lofthe Xi,o < Xy 2 + ba for the remaining n — r of the X;, The number of ways in which the n observations can be 80 divided into three parcels is al @=Dile—Ai ~ Bar Fi) and each such way has probability FV e)(F(@ + dx) — F(a)][1 — Fle + 62)]” Regarding dz as small, we have therefore 1 Bart) F'\(x) f(a)5a(1 — F(a + é2))""" + O(62)?, P{r< Xi) S24 sz} = where O (6x)? means terms of order (5)* and includes the probability of realizations of z < Xp) < x + dx in which more than one X; is in (2,2; + da]. Dividing both sides by éz and letting 62 —+ 0, we again obtain (2.1.6). The distribution of X;,) when the sample size is itself a random variable, say Nis easily obtained by conditioning on N = n, For example, specific results when NV has a generalized negative binomial, a generalized Poisson, or a generalized logarithmic series distribution are given by Gupta and Gupta (1984). See also Exs. 2.1.8 and 2.19.