Calculating the Distribution of a Linear Combination of Uniform Order Statistics

  • Authors:
  • Morganna Carmem Diniz;Edmundo de Souza e Silva;H. Richard Gail

  • Affiliations:
  • -;-;-

  • Venue:
  • INFORMS Journal on Computing
  • Year:
  • 2002

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Abstract

The calculation of the distribution of a linear combination of order statistics from random variables that are uniformly distributed is considered. A simple recursion to compute this distribution is presented that, unlike previous methods, is numerically stable and efficient. As such, this should be the algorithm of choice when the linear combination distribution needs to be obtained.