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Let X1, X2, X3, X4, X5 be independent continuous random variables having a common distribution function F and density function f, and set I = P{X1 < X2 < X3 < X4 < X5}

(a) Show that I does not depend on F. Hint: Write I as a five-dimensional integral and make the change of variables ui = F(xi), i = 1, ... , 5.

(b) Evaluate I.

(c) Give an intuitive explanation for your answer to (b).

Short Answer

Expert verified

The required probability isI=15!

Step by step solution

01

Explanation (part a)

Using the definition of probability measure of random vector, we have that

I=fx1<......<fx5fx1(x1)......fx5(x5)dx1.....dx5

The integral in the most inner brackets is equal to I -F (x4). Hence the integral in second most inner bracket is equal to

x3fx4(x4).(1-(F(x4)dx4

Using the substitution u4=1-F(x4)we have that du4=-fx4dx4and boundaries goes from 1-F(x3)to zero. Hence,

x3fx4(x4).(1-F(x4))dx4=01-F(x3)u4du4=(1-F(x3))22

02

Explanation (Part b)

Observe the sequence that has been made here. Sub integration functions are as follows

1-F(x4),(1-F(x3))22,(1-F(x2))33!,(1-F(x1))44I=(1-F(x1))44fx1x1dx1

and with u1=1-F(x1)we end up with

(1-F(x1))44fx1x1dx1=01u414!du1=15!

03

Explanation (Part c)

Since variable x1,.....x5 are independent and equally distributed they can order themselves in any possible way with the same probability.

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