Does expectation of max – expectation of min always equal expectation of max – min

order-statisticsprobability

Suppose $X_1,X_2,\dots,X_N$ are iid.

Does $E[X_{max}]-E[X_{min}]$ equal $E[X_{max}-X_{min}]$ for any distribution?

For uniform, is does.

Is there a counterexample?

Best Answer

The expectation operator is linear, hence it commutes with subtraction. For any random variables,

$$E(X-Y)=E(X)-E(Y),$$

provided these expectations exist.

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