[Math] What does “maximum value” of a set of random variables mean

probabilitystatistics

In our statistical mechanics lecture the professor said something along the lines of:

If we have some independent random variables $x_1,x_2,x_3,…,x_n$ having identical distributions:

Suppose $M_{n}=\text{max}(x_1,x_2,x_3,…)$, then we say that
probability that $M_{n}<x$ is $\text{$\text{Pr}(M_{n}<x$)}$ (say).

In such a case
$\text{$\text{Pr}(M_n<x$)}=\text{$\text{Pr}(x_1<x,x_2<x,x_3<x,…$)}=(\text{Pr}(x))^{n}$

Now, first of all I don't understand what he meant by $M_{n}=\text{max}(x_1,x_2,x_3,…)$. What does maximum of a set of random variables even mean? Does it refer to the random variable which can take the highest value?

Secondly I don't understand the step $\text{$\text{Pr}(M_n<x$)}=\text{$\text{Pr}(x_1<x,x_2<x,x_3<x,…$)}=(\text{Pr}(x))^{n}$

Best Answer

I think it will help you to think through an example. Consider this one:

Let $x_1, x_2,$ and $x_3$ be three rolls with a fair die. Each $x_i$ can take the values from $1$ to $6$, however it is random which values they take.

Three Examples:

You roll $1$, $5$, and $2$ (i.e. $x_1 = 1$, $x_2 = 5$, $x_3 = 2$). Then $\max\{x_1,x_2,x_3\} = 5$.

You roll $1$, $1$, and $2$. Then $\max\{x_1,x_2,x_3\} = 2$.

You roll $3$, $2$, and $6$. Then $\max\{x_1,x_2,x_3\} = 6$.

Let us now calculate $\mathrm{Pr}(M_3<x)$ for, say, $x=4$. This means that all rolls must be below 4, i.e. 3 or lower. Each roll has $3/6 = 1/2$ chance of rolling $3$ or lower and the rolls are independent, hence the probability is given by $$\mathrm{Pr}(M_3<4) = \frac12\times\frac12\times\frac12 = \frac18.$$

In other words $$\mathrm{Pr}(M_3<4) = \left(\mathrm{Pr}(x_i<4)\right)^3. $$

If this example helps you understand it, it may help you generalize to other random variables.

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