[Math] Conditional distribution of order statistics

probabilityprobability distributionsprobability theoryrandom variablesuniform distribution

Let $X_{(1)},…,X_{(n)}$ be the order statistics of a set of $n$ independent uniform $(0,1)$ random variables. Find the conditional distribution of $X_{(n)}$ given that $X_{(1)}=s_1,X_{(2)}=s_2….,X_{(n-1)}=s_{n-1}$

I need to find: $P[X_{(n)}\le x_n| X_{(1)}=s_1,X_{(2)}=s_2….,X_{(n-1)}=s_{n-1}]$ which is equal to: $${P[X_{(n)}\le x_n, X_{(1)}=s_1,X_{(2)}=s_2….,X_{(n-1)}=s_{n-1}]\over P[X_{(1)}=s_1,X_{(2)}=s_2….,X_{(n-1)}=s_{n-1}]}$$

but I have no idea how to compute the above probability and also I donĀ“t know how to use the fact that the variables are uniform and independent. I would really appreciate if you can help me with this problem

Best Answer

Sure, you can work with the CDF as well but there is an easier way. Recall that for a random sample of size $n$ from a uniform (0,1) distribution, the joint density for all the order statistics is given by

$$f_{X_{(1)},X_{(2)},\ldots,X_{(n)}} \left(x_{(1)},x_{(2)},\ldots, x_{(n)} \right)=\begin{cases} n! & 0<X_{(1)}<X_{(2)}<\ldots<1 \\ 0 & \text{otherwise} \end{cases} $$

This is just all the possible permutations of the random variables. This density will serve as the numerator of your fraction. We need to integrate out the greatest order statistic so as to get the joint density of the remaining order statistics. Thus

$$f_{X_{(1)},X_{(2)},\ldots,X_{(n-1)}} \left(x_{(1)},\ldots,x_{(n-1)} \right)=\int \limits_{x_{(n-1)}}^{1} n!\ \mathrm{dy} =n!\left(1-x_{(n-1)}\right)$$

Putting these two together, gives the conditional probability you are looking for.

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