[Math] Independence of max and min of a set of random variables.

probabilityprobability theoryrandom variables

Suppose $X_1,\ldots,X_n$ are independent and identically distributed random variables with cdf $F_X(x)$. Define $U$ and $L$ as $U=\max\{ X_1, \ldots ,X_n\}$ and $L = \min\{X_1,\ldots,X_n\}$.

Are $U$ and $L$ independent?

I believe they are I just don't know how to prove it.

Best Answer

No, they are not. If we know that $L=x$, then the probability that $U<x$ is zero (while it is well possible that the prior probability was non-zero).

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