If U_1, dots , U_n are independent uniform random variables, find E(U_{(n)} -U_{(1)})

Ramsey

Ramsey

Answered question

2021-09-07

If U1,,Un are independent uniform random variables, find E(U(n)U(1))

Answer & Explanation

SchulzD

SchulzD

Skilled2021-09-08Added 83 answers

Step 1
U1,U2,,Un are independent uniform random variables in the interval [a,b].
The density of Ui is,
fUi(u){1ba,if aub0,otherwise
The distribution of U is
F(u)=P[Uu]
={0,if x<axaba,if axb1,if x>b
Step 2
The cumulative distribution function of U(n) is
FU(n)(u)=P[U(n)u]
=P[max{U1,U2,,Un}u]
=P[U1u,U2u,,Unu], as U1,U2,,Un are independent. 
=P[U1u]P[U2u]P[Unu]
=[P[U1u]]n
=[uaba]n
The density function of U(n) is
FU(n)(u)=dFU(n)(u)du
={ddu[uaba]n,if aub0, overwise.
={1(ba)nn(ua)n1if aub0, overwise.
Then the Expectation of U(n) is
E[U(n)]=abuf(u)du
=ab(ua)f(u)du+abaf(u)du

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