Distribution function of r.v. $\min(X_1,\ldots,X_n)$

probabilityprobability distributionsprobability theoryrandom variables

I have the following exercise:

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I don't know if I have done the exercise correctly. Please tell me if my reasoning is correct:

1) Define $Y = \min(X_1,\ldots,X_n)$;

2) Obtain the distribution function $F_Y(y)$ as follows (having in mind that $X_i$ are independent):
\begin{align}
F_Y(y) &= \mathrm P(Y\leq y) = \mathrm P(\min(X_1,\ldots,X_n)\leq y) \\
&= 1 – \mathrm P(\min(X_1,\ldots,X_n)>y) \\
&= 1 – \mathrm P(X_1>y) \times \cdots \times \mathrm P(X_n>y) \\
&= 1 – ( 1 – \mathrm P(X_1 \leq y)) \times \cdots \times ( 1 – \mathrm P(X_n \leq y)) \\
&= 1 – ( 1 – F_1(y)) \times \cdots \times ( 1 – F_n(y)) \\
&= 1 – \prod_{i=1}^n (1 – F_i(y))
\end{align}

3) The density function is given by:

$$
f_Y(y) = \frac{\mathrm d}{\mathrm dy} F_Y(y) = ( 1 – f_1(y)) \times \cdots \times ( 1 – f_n(y))
$$

I believe some of the things I wrote are wrong! Can someone please correct me and tell the steps (or resolution) that I should follow! Thanks in advance!

Best Answer

You are correct about the distribution function:

$$F_Y(y)=P(Y<y)=1-\prod_i \left(1-F_i(y)\right)$$

The derivative of this is more complicated. You get:

$$\begin{align}f_Y(y)&=-\frac{d}{dy}\prod_i \left(1-F_i(y)\right)\\ &=\sum_{j} \left[f_j(y)\prod_{i\neq j}\left(1-F_i(y)\right)\right] \end{align}$$

Each term in the sum is the probability density for $X_j$ at $y$ times the probability that each of the other variables are greater than $y.$