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Suppose that the random variables \({{\bf{X}}_{\bf{1}}}{\bf{,}}{{\bf{X}}_{\bf{2}}}{\bf{,}}....{{\bf{X}}_{\bf{n}}}\)form a random sample of sizenfrom the uniform distribution on the interval [0,1].

Let \({{\bf{Y}}_{\bf{1}}}{\bf{ = min\{ }}{{\bf{X}}_{\bf{1}}}{\bf{,}}{{\bf{X}}_{\bf{2}}}{\bf{,}}....{{\bf{X}}_{\bf{n}}}{\bf{\} }}\), and let \({{\bf{Y}}_{\bf{n}}}{\bf{ = max\{ }}{{\bf{X}}_{\bf{1}}}{\bf{,}}{{\bf{X}}_{\bf{2}}}{\bf{,}}....{{\bf{X}}_{\bf{n}}}{\bf{\} }}\)

Find \({\bf{E(}}{{\bf{Y}}_{\bf{1}}}{\bf{)}}\)and \({\bf{E(}}{{\bf{Y}}_{\bf{n}}}{\bf{)}}\)

Short Answer

Expert verified

\(E\left( {{Y_1}} \right) = \frac{1}{{n + 1}}\) and \(E\left( {{Y_n}} \right) = \frac{n}{{n + 1}}\)

Step by step solution

01

Given Information

From the given information the random variables\({X_1}, \ldots ,{X_n}\)form a random sample of size\(n\)from the uniform distribution on the interval\(\left[ {0,1} \right]\). So the pdf of\({X_1}, \ldots ,{X_n}\)is given by

\(\begin{array}{c}f\left( {{X_1}, \ldots ,{X_n}} \right) = \frac{1}{{1 - 0}}\\ = 1\end{array}\)

Where the range is given by

\(\begin{array}{l}0 \le {X_1} \ldots \le {X_n} \le 1\\0 \le {X_{\left( 1 \right)}} \ldots \le {X_{\left( n \right)}} \le 1\end{array}\)

Then\({X_{\left( 1 \right)}} = 0\) and\({X_{\left( n \right)}} = 1\)

And also given \({Y_1} = \min \left\{ {{X_1}, \ldots ,{X_n}} \right\}\) and \({Y_n} = \max \left\{ {{X_1}, \ldots ,{X_n}} \right\}\)

02

Calculate \(E\left( {{Y_1}} \right)\) 

From the given distribution the mean will be calculated by order statistics. So by calculating it to get

\(\begin{array}{c}E\left( {{Y_1}} \right) = E\left[ {\min \left\{ {{X_1}, \ldots ,{X_n}} \right\}} \right]\\ = \min \left[ {E\left\{ {{X_1}, \ldots ,{X_n}} \right\}} \right]\\ = E\left[ {{X_{\left( 1 \right)}}} \right]\\ = \frac{1}{{n + 1}}\end{array}\)

03

Find \(E\left( {{Y_n}} \right)\)

Previous method apply to calculating the distribution to get

\(\begin{array}{c}E\left( {{Y_n}} \right) = E\left[ {\max \left\{ {{X_1}, \ldots ,{X_n}} \right\}} \right]\\ = \max \left[ {E\left\{ {{X_1}, \ldots ,{X_n}} \right\}} \right]\\ = E\left[ {{X_{\left( n \right)}}} \right]\\ = \frac{n}{{n + 1}}\end{array}\)

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Most popular questions from this chapter

Determine which of the three gambles in Exercise 2 would be preferred by a person whose utility function has the form\({\bf{U}}\left( {\bf{x}} \right){\bf{ = ax + b}}\)where a and b are constants\(\left( {{\bf{a > 0}}} \right)\).

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Consider the situation of pricing a stock option as in

Example 4.1.14.We want to prove that a price other than \(20.19 for the option to buy one share in one year for \)200 would be unfair in some way.

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dollars of net worth no matter what happens to the

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