Lecture 3: Joint

Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll
Lecture 3: Joint Distribution of Two Order
Joint Distribution of
Two Order Statistics
Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
Prof. Magdy E. El-Adll
The Distribution of the
Sample Median
The Distribution of the Department of Mathematics, Faculty of Science,
Sample Range
Helwan University, Ain Helwan, Cairo, Egypt.
Exercises

26 / 2 / 2024
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 1 / 36
 Presentation Outline
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E. 1 Joint Distribution of Two Order Statistics

El-Adll
The joint distribution of the minimum and maximum
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum
2 Distribution of Some Functions of Order Statistics
Distribution of Some
Functions of Order
The Distribution of the Sample Median
Statistics
The Distribution of the
The Distribution of the Sample Range
Sample Median
The Distribution of the
Sample Range

Exercises 3 Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 2 / 36
 Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 3 / 36
 The joint distribution of the minimum and
maximum
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll We begin this section with the derivation of the joint CDF of
Joint Distribution of the minimum X1:n and maximum Xn:n .
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 4 / 36
 The joint distribution of the minimum and
maximum
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll We begin this section with the derivation of the joint CDF of
Joint Distribution of the minimum X1:n and maximum Xn:n . Recall that
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 4 / 36
 The joint distribution of the minimum and
maximum
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll We begin this section with the derivation of the joint CDF of
Joint Distribution of the minimum X1:n and maximum Xn:n . Recall that
Two Order Statistics
The joint distribution of

P (A ∩ B) = P (A) − P (A ∩ B C ).
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 4 / 36
 The joint distribution of the minimum and
maximum
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll We begin this section with the derivation of the joint CDF of
Joint Distribution of the minimum X1:n and maximum Xn:n . Recall that
Two Order Statistics
The joint distribution of

P (A ∩ B) = P (A) − P (A ∩ B C ).
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
Let A = {Xn:n ≤ xn } and B = {X1:n ≤ x1 }, so that
The Distribution of the
Sample Range B C = {X1:n > x1 }.
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 4 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
= P (A ∩ B) = P (A) − P (A ∩ B C )
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
= P (A ∩ B) = P (A) − P (A ∩ B C )
Order Statistics

Prof. Magdy E.
El-Adll
= P (Xn:n ≤ xn ) − P (X1:n > x1 , Xn:n ≤ xn )
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
P (A ∩ B) = P (A) − P (A ∩ B C )
Order Statistics

Prof. Magdy E.
=
El-Adll
= P (Xn:n ≤ xn ) − P (X1:n > x1 , Xn:n ≤ xn )
Joint Distribution of
Two Order Statistics
The joint distribution of
= P (Xn:n ≤ xn )
the minimum and
maximum

Distribution of Some
−P (x1 < all {X1 , ..., Xn } ≤ xn )
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
P (A ∩ B) = P (A) − P (A ∩ B C )
Order Statistics

Prof. Magdy E.
=
El-Adll
= P (Xn:n ≤ xn ) − P (X1:n > x1 , Xn:n ≤ xn )
Joint Distribution of
Two Order Statistics
The joint distribution of
= P (Xn:n ≤ xn )
the minimum and
maximum

Distribution of Some
−P (x1 < all {X1 , ..., Xn } ≤ xn )
Functions of Order n
Statistics Y
n
The Distribution of the
Sample Median
The Distribution of the
= F (xn ) − P (x1 < Xi ≤ xn )
Sample Range
i=1
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint CDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
F1,n:n (x1 , xn ) = P (X1:n ≤ x1 , Xn:n ≤ xn )
P (A ∩ B) = P (A) − P (A ∩ B C )
Order Statistics

Prof. Magdy E.
=
El-Adll
= P (Xn:n ≤ xn ) − P (X1:n > x1 , Xn:n ≤ xn )
Joint Distribution of
Two Order Statistics
The joint distribution of
= P (Xn:n ≤ xn )
the minimum and
maximum

Distribution of Some
−P (x1 < all {X1 , ..., Xn } ≤ xn )
Functions of Order n
Statistics Y
n
The Distribution of the
Sample Median
The Distribution of the
= F (xn ) − P (x1 < Xi ≤ xn )
Sample Range
i=1
Exercises
= F (xn ) − [F (xn ) − F (x1 )]n , x1 < xn . (1)
n

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 5 / 36
 The joint PDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the joint PDF of the minimum and the maximum
Prof. Magdy E.
El-Adll order statistics is
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 6 / 36
 The joint PDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the joint PDF of the minimum and the maximum
Prof. Magdy E.
El-Adll order statistics is
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 6 / 36
 The joint PDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the joint PDF of the minimum and the maximum
Prof. Magdy E.
El-Adll order statistics is
Joint Distribution of
Two Order Statistics
∂2
The joint distribution of
the minimum and f1,n:n (x1 , xn ) = F1,n:n (x1 , xn )
maximum

Distribution of Some
∂x1 ∂xn
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 6 / 36
 The joint PDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the joint PDF of the minimum and the maximum
Prof. Magdy E.
El-Adll order statistics is
Joint Distribution of
Two Order Statistics
∂2
The joint distribution of
the minimum and f1,n:n (x1 , xn ) = F1,n:n (x1 , xn )
maximum

Distribution of Some
∂x1 ∂xn
Functions of Order
Statistics = n(n − 1) [F (xn ) − F (x1 )]n−2
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 6 / 36
 The joint PDF of the minimum and maximum
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the joint PDF of the minimum and the maximum
Prof. Magdy E.
El-Adll order statistics is
Joint Distribution of
Two Order Statistics
∂2
The joint distribution of
the minimum and f1,n:n (x1 , xn ) = F1,n:n (x1 , xn )
maximum

Distribution of Some
∂x1 ∂xn
Functions of Order
Statistics = n(n − 1) [F (xn ) − F (x1 )]n−2
The Distribution of the
Sample Median
The Distribution of the
Sample Range
× f (x1 )f (xn ), − ∞ < x1 < xn < ∞.
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 6 / 36
 The joint PDF of the rth and sth order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics
The joint PDF of the rth and sth order statistics, with
Prof. Magdy E.
El-Adll
1 ≤ r < s ≤ n, (cf. David and Nagaraja, 2003) is given
Joint Distribution of
by
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 7 / 36
 The joint PDF of the rth and sth order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics
The joint PDF of the rth and sth order statistics, with
Prof. Magdy E.
El-Adll
1 ≤ r < s ≤ n, (cf. David and Nagaraja, 2003) is given
Joint Distribution of
by
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 7 / 36
 The joint PDF of the rth and sth order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics
The joint PDF of the rth and sth order statistics, with
Prof. Magdy E.
El-Adll
1 ≤ r < s ≤ n, (cf. David and Nagaraja, 2003) is given
Joint Distribution of
by
Two Order Statistics
The joint distribution of
the minimum and n!
maximum
fr,s:n (xr , xs )=
Distribution of Some
Functions of Order
(r − 1)!(s − r − 1)!(n − s)!
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 7 / 36
 The joint PDF of the rth and sth order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics
The joint PDF of the rth and sth order statistics, with
Prof. Magdy E.
El-Adll
1 ≤ r < s ≤ n, (cf. David and Nagaraja, 2003) is given
Joint Distribution of
by
Two Order Statistics
The joint distribution of
the minimum and n!
maximum
fr,s:n (xr , xs )=
Distribution of Some
Functions of Order
(r − 1)!(s − r − 1)!(n − s)!
Statistics
The Distribution of the
Sample Median ×F r−1 (xr ) [F (xs ) − F (xr )]s−r−1 [1 − F (xs )]n−s
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 7 / 36
 The joint PDF of the rth and sth order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics
The joint PDF of the rth and sth order statistics, with
Prof. Magdy E.
El-Adll
1 ≤ r < s ≤ n, (cf. David and Nagaraja, 2003) is given
Joint Distribution of
by
Two Order Statistics
The joint distribution of
the minimum and n!
maximum
fr,s:n (xr , xs )=
Distribution of Some
Functions of Order
(r − 1)!(s − r − 1)!(n − s)!
Statistics
The Distribution of the
Sample Median ×F r−1 (xr ) [F (xs ) − F (xr )]s−r−1 [1 − F (xs )]n−s
The Distribution of the
Sample Range

Exercises
×f (xr )f (xs ), −∞ < xr < xs < ∞. (2)

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 7 / 36
 The joint PDF of two adjacent order statistics
Lecture 3: Joint
Distribution of Two
Order Statistics The joint PDF of the two adjacent order statistics, Xr and
Prof. Magdy E.
El-Adll Xr+1 can be obtained from (3) as
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 8 / 36
 The joint PDF of two adjacent order statistics
Lecture 3: Joint
Distribution of Two
Order Statistics The joint PDF of the two adjacent order statistics, Xr and
Prof. Magdy E.
El-Adll Xr+1 can be obtained from (3) as
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 8 / 36
 The joint PDF of two adjacent order statistics
Lecture 3: Joint
Distribution of Two
Order Statistics The joint PDF of the two adjacent order statistics, Xr and
Prof. Magdy E.
El-Adll Xr+1 can be obtained from (3) as
Joint Distribution of
Two Order Statistics
n!
The joint distribution of
the minimum and fr,r+1:n (xr , xr+1 )=
maximum

Distribution of Some
(r − 1)!(n − r − 1)!
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 8 / 36
 The joint PDF of two adjacent order statistics
Lecture 3: Joint
Distribution of Two
Order Statistics The joint PDF of the two adjacent order statistics, Xr and
Prof. Magdy E.
El-Adll Xr+1 can be obtained from (3) as
Joint Distribution of
Two Order Statistics
n!
The joint distribution of
the minimum and fr,r+1:n (xr , xr+1 )=
maximum

Distribution of Some
(r − 1)!(n − r − 1)!
×F r−1 (xr ) [1 − F (xr+1 )]n−r−1
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 8 / 36
 The joint PDF of two adjacent order statistics
Lecture 3: Joint
Distribution of Two
Order Statistics The joint PDF of the two adjacent order statistics, Xr and
Prof. Magdy E.
El-Adll Xr+1 can be obtained from (3) as
Joint Distribution of
Two Order Statistics
n!
The joint distribution of
the minimum and fr,r+1:n (xr , xr+1 )=
maximum

Distribution of Some
(r − 1)!(n − r − 1)!
×F r−1 (xr ) [1 − F (xr+1 )]n−r−1
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range
×f (xr )f (xr+1 ), −∞ < xr < xr+1 < ∞. (3)
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 8 / 36
 Presentation Outline
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E. 1 Joint Distribution of Two Order Statistics

El-Adll
The joint distribution of the minimum and maximum
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum
2 Distribution of Some Functions of Order Statistics
Distribution of Some
Functions of Order
The Distribution of the Sample Median
Statistics
The Distribution of the
The Distribution of the Sample Range
Sample Median
The Distribution of the
Sample Range

Exercises 3 Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 9 / 36
 Distribution of some functions of order
statistics
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics In this section the distribution of some important functions of
The joint distribution of
the minimum and
maximum order statistics such as the median and the range are consid-
Distribution of Some
Functions of Order ered.
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 10 / 36
 The distribution of the median
Lecture 3: Joint
Distribution of Two Let the sample size n be an odd number. Then, the sample
Order Statistics

Prof. Magdy E. median, X̃n = X n+1

2 :n
, is the ( n+1
2 )th order statistic. Conse-
El-Adll
quently, the PDF of the median can be obtained as a special
Joint Distribution of
Two Order Statistics case from the PDF of the rth order statistics as follows
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 11 / 36
 The distribution of the median
Lecture 3: Joint
Distribution of Two Let the sample size n be an odd number. Then, the sample
Order Statistics

Prof. Magdy E. median, X̃n = X n+1

2 :n
, is the ( n+1
2 )th order statistic. Conse-
El-Adll
quently, the PDF of the median can be obtained as a special
Joint Distribution of
Two Order Statistics case from the PDF of the rth order statistics as follows
The joint distribution of
the minimum and
maximum

Distribution of Some
fX̃n (x)=fX n+1 :n (x)
Functions of Order 2
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 11 / 36
 The distribution of the median
Lecture 3: Joint
Distribution of Two Let the sample size n be an odd number. Then, the sample
Order Statistics

Prof. Magdy E. median, X̃n = X n+1

2 :n
, is the ( n+1
2 )th order statistic. Conse-
El-Adll
quently, the PDF of the median can be obtained as a special
Joint Distribution of
Two Order Statistics case from the PDF of the rth order statistics as follows
The joint distribution of
the minimum and
maximum

Distribution of Some
fX̃n (x)=fX n+1 :n (x)
Functions of Order 2
Statistics
n! (n−1)/2
= 2 [F (x)(1 − F (x))] f (x),
The Distribution of the
Sample Median
The Distribution of the
Sample Range ([(n − 1)/2]!)
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 11 / 36
 The distribution of the median
Lecture 3: Joint
Distribution of Two Let the sample size n be an odd number. Then, the sample
Order Statistics

Prof. Magdy E. median, X̃n = X n+1

2 :n
, is the ( n+1
2 )th order statistic. Conse-
El-Adll
quently, the PDF of the median can be obtained as a special
Joint Distribution of
Two Order Statistics case from the PDF of the rth order statistics as follows
The joint distribution of
the minimum and
maximum

Distribution of Some
fX̃n (x)=fX n+1 :n (x)
Functions of Order 2
Statistics
n! (n−1)/2
= 2 [F (x)(1 − F (x))] f (x),
The Distribution of the
Sample Median
The Distribution of the
Sample Range ([(n − 1)/2]!)
Exercises
−∞ < x < ∞. (4)

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 11 / 36
 the PDF of the sample median for the
standard uniform population
Lecture 3: Joint
Distribution of Two
Order Statistics
We can immediately see from the above equation that the PDF
Prof. Magdy E.
El-Adll
of the sample median is symmetric about zero if the population
Joint Distribution of
distribution F (x) is also symmetric about zero. (Prove).
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 12 / 36
 the PDF of the sample median for the
standard uniform population
Lecture 3: Joint
Distribution of Two
Order Statistics
We can immediately see from the above equation that the PDF
Prof. Magdy E.
El-Adll
of the sample median is symmetric about zero if the population
Joint Distribution of
distribution F (x) is also symmetric about zero. (Prove).
Two Order Statistics
The joint distribution of
In the case of the standard uniform population, the PDF of the
the minimum and
maximum
sample median provided in (4) is
Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 12 / 36
 the PDF of the sample median for the
standard uniform population
Lecture 3: Joint
Distribution of Two
Order Statistics
We can immediately see from the above equation that the PDF
Prof. Magdy E.
El-Adll
of the sample median is symmetric about zero if the population
Joint Distribution of
distribution F (x) is also symmetric about zero. (Prove).
Two Order Statistics
The joint distribution of
In the case of the standard uniform population, the PDF of the
the minimum and
maximum
sample median provided in (4) is
Distribution of Some
Functions of Order
Statistics
The Distribution of the n! (n−1)/2
fŨn (u) = 2 [u(1 − u)] , 0 ≤ u ≤ 1.
Sample Median
The Distribution of the
Sample Range
([(n − 1)/2]!)
Exercises
(5)

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
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Statistics
Cairo, Egypt.) 26 / 2 / 2024 12 / 36
 The mth moment of the sample median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Hence the mth moment of the sample median Ũn is given by
Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 13 / 36
 The mth moment of the sample median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Hence the mth moment of the sample median Ũn is given by
Prof. Magdy E. Z 1
El-Adll h i
m
Joint Distribution of E Ũn = um fŨn (u)du
Two Order Statistics 0
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 13 / 36
 The mth moment of the sample median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Hence the mth moment of the sample median Ũn is given by
Prof. Magdy E. Z 1
El-Adll h i
m
Joint Distribution of E Ũn = um fŨn (u)du
Two Order Statistics
The joint distribution of
the minimum and
Z0 1
maximum

Distribution of Some = um+(n−1)/2 (1 − u)(n−1)/2 du

Functions of Order
Statistics 0
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 13 / 36
 The mth moment of the sample median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Hence the mth moment of the sample median Ũn is given by
Prof. Magdy E. Z 1
El-Adll h i
m
Joint Distribution of E Ũn = um fŨn (u)du
Two Order Statistics
The joint distribution of
the minimum and
Z0 1
maximum

Distribution of Some = um+(n−1)/2 (1 − u)(n−1)/2 du

Functions of Order
Statistics 0
The Distribution of the
Sample Median n! [m + (n − 1)/2)]!
The Distribution of the
Sample Range = × , (6)
Exercises (n + m)! (n − 1)/2)!
for m = 1, 2, 3, . . . .
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 13 / 36
 The mean and the variance of the sampled
median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the mean and the variance of the sampled median
Prof. Magdy E.
El-Adll
Ũn are, respectively, given by
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 14 / 36
 The mean and the variance of the sampled
median Ũn
Lecture 3: Joint
Distribution of Two
Order Statistics
Therefore, the mean and the variance of the sampled median
Prof. Magdy E.
El-Adll
Ũn are, respectively, given by
Joint Distribution of 1 1
Two Order Statistics E[Ũn ] = and V ar(Ũn ) = .
The joint distribution of
the minimum and
2 4(n + 2)
maximum

Distribution of Some
Functions of Order 1
Statistics Clearly, V ar(Ũn ) = → 0 as n → ∞.That is, the
The Distribution of the
Sample Median 4(n + 2)
The Distribution of the
Sample Range sample median is an unbiased and consistent estimator for the
Exercises
population median when the population follows a uniform dis-
tribution.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 14 / 36
 The sample median if the sample size n is
even
Lecture 3: Joint
Distribution of Two
Order Statistics Suppose the sample size n is even. Then, the sample median
Prof. Magdy E.
El-Adll can be expressed as the mean of two adjacent-order statistics.
Joint Distribution of Namely, in this case we have
Two Order Statistics
The joint distribution of
the minimum and
maximum 1

Distribution of Some X̃n = X n2 :n + X n2 +1:n .
Functions of Order
Statistics
2
The Distribution of the
Sample Median
The Distribution of the
Sample Range
In order to derive the distribution of the sample median for an
Exercises even sample size first, note that the joint PDF of X n2 and X n2 +1
takes the form
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 15 / 36
 The sample median if the sample size n is
even-Continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 16 / 36
 The sample median if the sample size n is
even-Continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

n!
{F (x1 )}n/2−1
Joint Distribution of
Two Order Statistics f n2 , n2 +1:n (x1 , x2 ) = 2
The joint distribution of
the minimum and
maximum
[(n/2 − 1)!]
Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 16 / 36
 The sample median if the sample size n is
even-Continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

n!
{F (x1 )}n/2−1
Joint Distribution of
Two Order Statistics f n2 , n2 +1:n (x1 , x2 ) = 2
The joint distribution of
the minimum and
maximum
[(n/2 − 1)!]
Distribution of Some
Functions of Order
× {1 − F (x2 )}n/2−1 f (x1 )f (x2 ),
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 16 / 36
 The sample median if the sample size n is
even-Continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

n!
{F (x1 )}n/2−1
Joint Distribution of
Two Order Statistics f n2 , n2 +1:n (x1 , x2 ) = 2
The joint distribution of
the minimum and
maximum
[(n/2 − 1)!]
Distribution of Some
Functions of Order
× {1 − F (x2 )}n/2−1 f (x1 )f (x2 ),
Statistics
The Distribution of the
Sample Median
−∞ < x1 < x2 < ∞. (7)
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 16 / 36
 The PDF of the sample median , X̃n
Lecture 3: Joint
Distribution of Two The PDF of the sample median , X̃n can be obtained from (7)
Order Statistics

Prof. Magdy E. by integrating out x1 . That is,

El-Adll

2n!
Joint Distribution of
Two Order Statistics fX̃n (x) =
The joint distribution of
the minimum and
[(n/2 − 1)!]2
maximum Z x n
Distribution of Some
Functions of Order × [F (x1 )]n/2−1 [1 − F (2x − x1 )]n/2−1 ,
Statistics
The Distribution of the
−∞
Sample Median
The Distribution of the
Sample Range
× f (x1 )f (2x − x1 )} dx1 , −∞ < x1 < x < ∞.(8)
Exercises
However, in most situations, the integration in Equation (8)
does not assume an explicit form.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 17 / 36
 The distribution of the sample range
Lecture 3: Joint
Distribution of Two Recall the the joint PDF of the minimum and maximum order
Order Statistics

Prof. Magdy E.
statistics from any continuous distribution F is given by
El-Adll

Joint Distribution of
Two Order Statistics
f1,n:n (x1 , xn )=n(n − 1)[F (xn ) − F (x1 )]n−2 f (x1 )f (xn ), (9)
The joint distribution of
the minimum and
maximum

Distribution of Some for x1 < xn . The sample range is defined to be the difference
Functions of Order
Statistics between the maximum and the minimum and denoted by Wn .
The Distribution of the
Sample Median
The Distribution of the That is, Wn = Xn:n − X1:n . It can be shown that the joint
Sample Range

Exercises PDF of X1:n and Wn is

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 18 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics
g(x1 , w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2 f (x1 )f (x1 + w),
Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics
g(x1 , w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2 f (x1 )f (x1 + w),
Prof. Magdy E.
El-Adll
−∞ < x1 < ∞, 0 < w < ∞. (10)
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics
g(x1 , w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2 f (x1 )f (x1 + w),
Prof. Magdy E.
El-Adll
−∞ < x1 < ∞, 0 < w < ∞. (10)
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
By integrating out x1 in (10), we can derive the density function
maximum

Distribution of Some
of the sample range Wn as
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics
g(x1 , w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2 f (x1 )f (x1 + w),
Prof. Magdy E.
El-Adll
−∞ < x1 < ∞, 0 < w < ∞. (10)
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
By integrating out x1 in (10), we can derive the density function
maximum

Distribution of Some
of the sample range Wn as
Functions of Order Z ∞n
Statistics
The Distribution of the
Sample Median gWn (w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2
The Distribution of the
Sample Range −∞
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range
Lecture 3: Joint
Distribution of Two
Order Statistics
g(x1 , w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2 f (x1 )f (x1 + w),
Prof. Magdy E.
El-Adll
−∞ < x1 < ∞, 0 < w < ∞. (10)
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
By integrating out x1 in (10), we can derive the density function
maximum

Distribution of Some
of the sample range Wn as
Functions of Order Z ∞n
Statistics
The Distribution of the
Sample Median gWn (w) = n(n − 1) [F (x1 + w) − F (x1 )]n−2
The Distribution of the
Sample Range −∞
Exercises
× f (x1 )f (x1 + w)} dx1 0 < w < ∞. (11)

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
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Statistics
Cairo, Egypt.) 26 / 2 / 2024 19 / 36
 The PDF of the sample range - continued
Lecture 3: Joint
Distribution of Two
Order Statistics
The information to be provided in (11) does not assume an
Prof. Magdy E. explicit form in most cases. The CDF of the sample range
El-Adll
after some efforts can be written in the simple form (for more
Joint Distribution of
Two Order Statistics details cf. Balakrishnan and Cohen, 1991)
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
GWn (w0 ) = P (Wn ≤ w0 )
Statistics Z ∞
[F (x1 + w0 ) − F (x1 )]n−1 f (x1 )dx1 ,
The Distribution of the
Sample Median
The Distribution of the
=n
Sample Range
−∞
Exercises
0 < w < ∞. (12)

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
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Statistics
Cairo, Egypt.) 26 / 2 / 2024 20 / 36
 Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll
We made the assumption that the population distribution has
Joint Distribution of
infinite support when deriving (11). We must, however, care-
Two Order Statistics
The joint distribution of
fully fix the limits of the integration in the scenario where the
the minimum and
maximum proposition’s distribution has finite support. In the case of the
Distribution of Some
Functions of Order
Statistics
uniform (0, 1) distribution, for instance, by recognising that
The Distribution of the
Sample Median
F (x1 + w) = 1 whenever x1 + w > 1, we obtain the density
The Distribution of the
Sample Range
function of Wn from (10) to be in the form:
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 21 / 36
 The uniform distribution
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll Z 1−w
Joint Distribution of
Two Order Statistics
gWn (w) = n(n − 1) wn−2 du1 ,
The joint distribution of
the minimum and
0
maximum n−2
Distribution of Some
= n(n − 1)w (1 − w), 0 < w < 1. (13)
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
The cumulative distribution function of Wn can be obtained
Sample Range

Exercises
from (10) and written in the simple form (for more details cf.
Balakrishnan and Cohen, 1991):
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
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Statistics
Cairo, Egypt.) 26 / 2 / 2024 22 / 36
 The uniform distribution-continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
Two Order Statistics
Z w0
The joint distribution of
the minimum and
maximum
GWn (w0 ) = P (Wn ≤ w0 ) = n(n − 1) (wn−2 − wn−1 )dw,
Distribution of Some 0
nw0n−1 1)w0n ,
Functions of Order
Statistics
The Distribution of the
= − (n − 0 < w0 < 1. (14)
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 23 / 36
 The standard exponential distribution
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll Another example is the standard exponential distribution with
Joint Distribution of
PDF
Two Order Statistics
The joint distribution of
the minimum and
f (x) = e−x , x ≥ 0
maximum

Distribution of Some
Functions of Order
and CDF
Statistics
The Distribution of the
F (x) = 1 − e−x , x ≥ 0.
Sample Median
The Distribution of the
Sample Range
The CDF of the sample range Wn may be obtained as follows:
Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 24 / 36
 The standard exponential distribution -
continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll GWn (w0 ) = P (Wn ≤ w0 )
Z ∞
[F (x1 + w0 ) − F (x1 )]n−1 f (x1 )dx1 ,
Joint Distribution of
Two Order Statistics
The joint distribution of
=n
Z−∞
the minimum and
maximum
∞h in−1
Distribution of Some
−x1 −(w0 +x1 )
Functions of Order
Statistics
=n e −e e−x1 dx1 ,
The Distribution of the
Sample Median
The Distribution of the
Z0 ∞

n−1 −nx
1 − e−w0
Sample Range

Exercises =n e 1 dx1 ,
0
(15)
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 25 / 36
 The standard exponential distribution -
continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll That is,
Joint Distribution of
Two Order Statistics
Z ∞
−w0 n−1
ne−nx1 dx1 ,


The joint distribution of
the minimum and
maximum
GWn (w0 ) = 1 − e
Distribution of Some 0
Functions of Order
−w0 n−1


Statistics
The Distribution of the
= 1−e , 0 < w0 < ∞. (16)
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
of 3:
Science,
Joint Distribution
Helwan University,
of Two Ain
Order
Helwan,
Statistics
Cairo, Egypt.) 26 / 2 / 2024 26 / 36
 The standard exponential distribution -
continued
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E. Consequently, the PDF of Wn is

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n−2
Joint Distribution of
Two Order Statistics gWn (w0 ) = (n − 1) 1 − e−w0 e−w0 , 0 < w0 < ∞.
The joint distribution of
the minimum and
maximum

Distribution of Some
Functions of Order
The result of the range presented in this section may be gen-
Statistics
The Distribution of the
eralized for the subrange Wr,s = Xs:n − Xr:n , 1 ≤ r < s ≤ n.
Sample Median
The Distribution of the
Sample Range
The PDF of Wr,s can be obtained by using the joint PDF of
Exercises Xr:n and Xs:n given in (3).

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

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 The PDF of the subrange Wr,s
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
Namely, the PDF of the subrange Wr,s is given by
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n!
Joint Distribution of
Two Order Statistics
gWr,s (w) =
The joint distribution of
(r − 1)!(s − r − 1)!(n − s)!
the minimum and Z ∞
maximum

Distribution of Some × F r−1 (xr ) [F (w + xr ) − F (xr )]s−r−1 [1 − F (w + xr )]n−s

Functions of Order
Statistics
−∞
The Distribution of the
Sample Median × f (xr )f (w + xr )dxr − ∞ < xr < ∞, 0 < w < ∞. (17)
The Distribution of the
Sample Range

Exercises

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

Lecture
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Joint Distribution
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 The PDF of the subrange Wr,s
Lecture 3: Joint
Distribution of Two
Order Statistics For the standard uniform distribution U (0, 1), the PDF of Wr,s
Prof. Magdy E.
El-Adll
is given by
Joint Distribution of
n!
ws−r−1 (1 − w)n−s+r ,
Two Order Statistics
The joint distribution of gWr,s (w) =
the minimum and
maximum (s − r − 1)!(n − s + r)!
Distribution of Some
Functions of Order
Statistics
The Distribution of the
For 0 < w < 1. Clearly, Wr,s depends only on the difference
Sample Median
The Distribution of the
Sample Range
s−r and not on r and s separately. It is also of interest to note
Exercises here that, for the uniform U (0, 1) the subrange Wr,s follows
beta (s − r, n − s + r + 1) distribution.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
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Joint Distribution
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Order
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 Presentation Outline
Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E. 1 Joint Distribution of Two Order Statistics

El-Adll
The joint distribution of the minimum and maximum
Joint Distribution of
Two Order Statistics
The joint distribution of
the minimum and
maximum
2 Distribution of Some Functions of Order Statistics
Distribution of Some
Functions of Order
The Distribution of the Sample Median
Statistics
The Distribution of the
The Distribution of the Sample Range
Sample Median
The Distribution of the
Sample Range

Exercises 3 Exercises

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

Lecture
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 Exercises
Lecture 3: Joint (1) Let X1 , X2 , and X3 be a random sample of size n = 3
Distribution of Two
Order Statistics from an exponentialpopulation
 with PDF
Prof. Magdy E. 1 x
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f (x) = exp − , x > 0 and β > 0.
Joint Distribution of
β β
Two Order Statistics
The joint distribution of
Answer the following:
the minimum and
maximum (a) Find the CDF of the sample minimum and then determine its
Distribution of Some
Functions of Order
distribution.
Statistics (b) Find the PDF of the sample maximum and then determine the
The Distribution of the
Sample Median
The Distribution of the
probability that the sample maximum exceeds twice the popu-
Sample Range
lation mean.
Exercises
(c) determine the CDF of the sample median.
(d) determine the distribution of the sample range.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
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 Lecture 3: Joint
Distribution of Two
Order Statistics
(2) Let X1 and X2 be a random sample of size n = 2 from
Prof. Magdy E. Pareto population with CDF
El-Adll

Joint Distribution of
Two Order Statistics
F (x) = 1 − x−β , x ≥ 1 and β > 0.
The joint distribution of
the minimum and
maximum Answer the following:
Distribution of Some
Functions of Order
(a) determine the distribution of the following random variables:
Statistics
The Distribution of the X2:2
Sample Median
The Distribution of the (i) X1:2 (ii) X2:2 − X1:2 (iii) .
Sample Range X1:2
Exercises
(b) Can you predict analogous results for order statistics based on
samples of size larger than 2?
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
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Joint Distribution
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 Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
(3) Let X1 and X2 be a random sample of size n = 2 from a
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population with PDF
Joint Distribution of
Two Order Statistics
 1
The joint distribution of sin x, 0 < x < π,
the minimum and
maximum f (x) = 2
Distribution of Some
0, otherwise.
Functions of Order
Statistics
The Distribution of the
Sample Median
The Distribution of the
Answer the following:
Sample Range
(a) determine the distribution of X2:2 .
Exercises
(b) Can you you derive the distribution of Xn:n ?

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

Lecture
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 Lecture 3: Joint
Distribution of Two
Order Statistics
(4) Let X1 and X2 be a random sample of size n = 2 from
Prof. Magdy E. an exponential population with PDF
El-Adll
 
Joint Distribution of 1 x
Two Order Statistics
f (x) = exp − , x > 0 and β > 0.
The joint distribution of
the minimum and
maximum
β β
Distribution of Some
Functions of Order
Statistics
Define the random variables Z and W as follows:
The Distribution of the
Sample Median
The Distribution of the X1:2 X1
Sample Range Z= and W = .
Exercises X1 + X2 X1 + X2
Determine the distributions of Z and W.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
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 Lecture 3: Joint
Distribution of Two
Order Statistics

Prof. Magdy E.
El-Adll

Joint Distribution of
(5) Let X1 , X2 , X3 , and X4 be a random sample of size n = 4
Two Order Statistics
The joint distribution of
from an exponential distribution with mean of one.
the minimum and
maximum Find the following :
Distribution of Some
Functions of Order (a) P (X4:4 > 3)
Statistics
The Distribution of the
(b) P (X2:4 < 1).
Sample Median
The Distribution of the
Sample Range

Exercises

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

Lecture
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Joint Distribution
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Order
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 Lecture 3: Joint
Distribution of Two
Order Statistics (6) Let X1 , X2 , and X3 be independent and identically dis-
Prof. Magdy E.
El-Adll tributed random variables
 from a triangular distribution
Joint Distribution of with pdf 2x, 0 < x < 1,
Two Order Statistics f (x) =
The joint distribution of
the minimum and
0, otherwise.
maximum

Distribution of Some
Answer the following:
Functions of Order
Statistics (a) Calculate the median of the distribution.
The Distribution of the
Sample Median (b) Calculate the probability that the minimum of these X’s exceeds
The Distribution of the
Sample Range the median of the distribution.
Exercises
(c) Calculate the probability that the median of these X’s exceeds
the median of the distribution.
Prof. Magdy E. El-Adll ( Department of Mathematics, Faculty
Lecture
of 3:
Science,
Joint Distribution
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of Two Ain
Order
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