Distributions and expectations of order statistics for possibly dependent random variables

  • Authors:
  • Tomasz Rychlik

  • Affiliations:
  • -

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 1994

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Abstract

The class of all possible distribution functions of each order statistic for a sample of possibly dependent, identically distributed random variables is characterized. An effective method of determination of the extreme values for the expectation and variance of an arbitrary Borel function of order statistic is presented and applied for calculating the moments in the case of uniformly distributed random variables.