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Wednesday, June 6, 2018

About order statistics.

 Suppose that X_1,\dotsc , X_n are independent random variables uniformly distributed in [0,1]. Denote by Y_i=X_{(i)} its order statistics.

The random vector (Y_1,\dotsc, Y_n) has  distribution

p(y_1,\dotsc, y_n)=\begin{cases} n!, & 0\leq y_1\leq \cdots \leq y_n\leq 1, \\ 0, & {\rm otherwise}. \end{cases}

The  random variable Y_k has distribution

p_k(y_k)=n!\int_{\substack{0\leq y_1\cdots \leq y_k\\ y_k\leq y_{k+1}\leq \cdots \leq y_n\leq 1}}dy_1\cdots dy_{k-1}dy_{k+1}\cdots dy_{n}

= n!\left(\int_{0\leq y_1\leq \cdots \leq y_{k-1} \leq y_k} dy_1\cdots dy_{k-1}\right)\left(\int_{y_k\leq y_{k+1}\leq \cdots \leq y_{n} \leq 1} dy_{k+1}\cdots dy_{n}\right)

= \frac{n!}{(k-1)!(n-k)!} y_k^{k-1}(1-y_k)^{n-k}

Thus  p_k is a B(k,n+1-k)-distribution.   \newcommand{\bE}{\mathbb{E}} We have
\bE[Y_k]=\frac{n!}{(k-1)!(n-k)!}\int_0^1 y^k(1-y)^{n-k} dy=\frac{n!}{(k-1)!(n-k)!}\frac{\Gamma(k+1)\Gamma(n-k+1)}{\Gamma(n+2)}

= \frac{n!}{(k-1)!(n-k)!}\frac{k!(n-k!)}{(n+1)!}=\frac{k}{n+1}.

\bE[Y_k^2]=\frac{n!}{(k-1)!(n-k)!}\int_0^1 y^{k+1}(1-y)^{n-k} dy= \frac{n!}{(k-1)!(n-k)!}\frac{\Gamma(k+2)\Gamma(n-k+1)}{\Gamma(n+3)}

=\frac{n!}{(k-1)!(n-k)!}\frac{(k+1)!(n-k)!}{(n+2)!}=\frac{k(k+1)}{(n+1)(n+2)}.

\DeclareMathOperator{\Var}{Var}. Hence
\Var[Y_k]= \frac{k(k+1)}{(n+1)(n+2)}-\left(\frac{k}{n+1}\right)^2=\frac{k}{n+1}\left(\frac{k+1}{n+2}-\frac{k}{n+1}\right)=\frac{k(n+1-k)}{(n+1)^2(n+2)}.

We deduce
\Delta_n=\sum_{k=1}^n \Var[Y_k]=\frac{1}{(n+1)^2(n+2)}\sum_{k=1}^n k(n+1-k).


We have
\sum_{k=1}^nk(n+1-k)= (n+1)\sum_{k=1}^n kn-\sum_{k=1}^n k(k-1)

= \frac{n^2(n+1)}{2}-\sum_{k=1}^nk(k-1).

Now we write
k(k-1)=\frac{1}{3}\Big(\; k^3-(k-1)^3-1\;\Big)

so
\sum_{k=1}^n k(k-1)=\frac{1}{3}\Big(\; n^3 -n\;\Big)=\frac{n(n+1)(n-1)}{3}.

We deduce
\Delta_n= \frac{1}{(n+1)^2(n+2)}\left(\;\frac{n^2(n+1)}{2}-\frac{n(n+1)(n-1)}{3}\;\right)=\frac{n(n+1)(n+2)}{6(n+1)^2(n+2)}=\frac{n}{6(n+1)}.



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