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TheBasics
Let'smotivatethedefinitionofasetoforderstatisticsbywayofasimpleexample.

Example
Supposearandomsampleoffiveratsyieldsthefollowingweights(ingrams):
x1=602x2=781x3=709x4=742x5=633
Whataretheobservedorderstatisticsofthissetofdata?

Solution.Well,withoutevenknowingtheformaldefinitionofanorder
statistic,weprobablydon'tneedarocketscientisttotellusthat,inorderto
findtheorderstatistics,weshouldprobablyarrangethedatainincreasingnumericalorder.Doingso,theobserved
orderstatisticsare:
y1=602<y2=633<y3=709<y4=742<y5=781

Theonlythingthatmighthavetrippedusupabitinsuchatrivialexampleisiftwooftheratshadsharedthesameweight,as
observingtiesiscertainlyapossibility.We'llwashourhandsofthelikelihoodofthathappening,though,bymakingan
assumptionthatwillholdthroughoutthislesson...andbeyond.Wewillassumethatthenindependentobservations
comefromacontinuousdistribution,therebymakingtheprobabilityzerothatanytwoobservationsareequal.Of
course,tiesarestillpossibleinpractice.Makingtheassumption,though,thatthereisanearzerochanceofatiehappening
allowsustodevelopthedistributiontheoryoforderstatisticsthatholdsatleastapproximatelyeveninthepresenceofties.

Thatsaid,let'snowformallyprovideadefinitionforasetoforderstatistics.

Definition.IfX1,X2,...,Xnareobservationsofarandomsampleofsizenfromacontinuousdistribution,welettherandom
variables:
Y1<Y2<<Yn
denotetheorderstatisticsofthesample,with:
Y1beingthesmallestoftheX1,X2,...,Xnobservations
Y2beingthesecondsmallestoftheX1,X2,...,Xnobservations
....
Yn1beingthenexttolargestoftheX1,X2,...,Xnobservations
YnbeingthelargestoftheX1,X2,...,Xnobservations

Now,whatwewanttodoisworkourwayuptofindingtheprobabilitydensityfunctionofanyofthenorderstatistics,therth
orderstatisticYr,say.Thatway,we'dknowhowtheorderstatisticsbehave,andthereforecouldusethatknowledgeto
drawconclusionsabout,say,thefastestautomobileinaraceortheheaviestmouseonacertaindiet.Infindingthe
probabilitydensityfunction,we'llusethedistributionfunctiontechniquetodoso.It'sprobablybeenamightybitsincewe
usedthetechnique,soincaseyouneedareminder,ourstrategywillbetofirstfindthedistributionfunctionGr(y)oftherth
orderstatistic,andthentakeitsderivativetofindtheprobabilitydensityfunctiongr(y)oftherthorderstatistic.We'regettinga
littlebitaheadofourselvesthough.That'swhatwe'lldoonthenextpage.Tomakeourworktheremoreunderstandable,let's
firsttakealookataconcreteexamplehere.

Example
LetY1<Y2<Y3<Y4<Y5<Y6betheorderstatisticsassociatedwithn=6independentobservationseachfromthe
distributionwithprobabilitydensityfunction:
f (x) =

1
2

for0<x<2.Whatistheprobabilitythatthenexttolargestorderstatistic,
thatis,Y5,islessthan1?Thatis,whatisP(Y5<1)?

Solution.Thekeytofindingthedesiredprobabilityistorecognizethat
theonlywaythatthefifthorderstatistic,Y5,wouldbelessthanoneis
ifatleast5oftherandomvariablesX1,X2,X3,X4,X5,andX6areless
thanone.Forthesakeofsimplicity,let'ssupposethefirstfive
observedvaluesx1,x2,x3,x4,x5arelessthanone,butthesixthx6is
not.Inthatcase,theobservedfifthorderstatistic,y5,wouldbeless
thanone:

Theobservedfifthorderstatistic,y5,wouldalsobelessthanoneifallsixoftheobserved
valuesx1,x2,x3,x4,x5,x6arelessthanone:

Theobservedfifthorderstatistic,y5,wouldnotbelessthanoneifthefirstfourobservedvaluesx1,x2,x3,x4are
lessthanone,butthefifthx5andsixthx6isnot:

Again,theonlywaythatthefifthorderstatistic,Y5,wouldbelessthanoneisif5or6...thatis,atleast5...ofthe
randomvariablesX1,X2,X3,X4,X5,andX6arelessthanone.Forthesakeofsimplicity,weconsideredjustthe
firstfiveorsixrandomvariables,butinrealityanyfiveorsixrandomvariableslessthanonewoulddo.Wejust
havetodosome"choosing"tocountthenumberofwaysthatwecangetanyfiveorsixoftherandomvariablesto
belessthanone.
Ifyouthinkaboutit,then,wehaveabinomialprobabilitycalculationhere.Iftheevent{Xi<1},i=1,2,,5is
considereda"success,"andweletZ=thenumberofsuccessesinsixmutuallyindependenttrials,thenZisa
binomialrandomvariablewithn=6andp=0.25:
1

1
P (Xi 1) =

x
[

xdx =
2

x=1

]
2

1
2

x=0

1
(

1
0) =

Findingtheprobabilitythatthefifthorderstatistic,Y5,islessthanonereducestoabinomialcalculationthen.That
is:
6
P (Y5 < 1) = P (Z = 5) + P (Z = 6) = (

1
)(

) (
4

3
)
4

6
+ (

1
)(

) (
4

3
)

= 0.0046

Thefactthatthecalculatedprobabilityissosmallshouldmakesenseinlightofthegivenp.d.f.ofX.Afterall,each
individualXihasagreaterchanceoffallingabove,ratherthanbelow,one.Forthatreason,itwouldunusualto
observeasmanyasfiveorsixX'slessthanone.

WhatisthecumulativedistributionfunctionG5(y)ofthefifthorderstatisticY5?

Solution.Recallingthedefinitionofacumulativedistributionfunction,G5(y)isdefinedtobetheprobabilitythatthe
fifthorderstatisticY5islessthansomevaluey.Thatis:
G5 (y) = P (Y5 < y)

Well,inourabovework,wefoundtheprobabilitythatthefifthorderstatisticY5islessthanaspecificvalue,namely
1.Wejustneedtogeneralizeourworktheretoallowforanyvaluey.Well,iftheevent{Xi<y},i=1,2,,5is
considereda"success,"andweletZ=thenumberofsuccessesinsixmutuallyindependenttrials,thenZisa
binomialrandomvariablewithn=6andprobabilityofsuccess:
y

1
P (Xi y) =

1
2

x=y

xdx =
0

]
2

y
(

0) =

x=0

Therefore,thethecumulativedistributionfunctionG5(y)ofthefifthorderstatisticY5is:
6
G5 (y) = P (Y5 < y) = P (Z = 5) + P (Z = 6) = (

y
)(

(1

) + (

for0<y<2.

Whatistheprobabilitydensityfunctiong5(y)ofthefifthorderstatisticY5?

Solution.Allweneedtodotofindtheprobabilitydensityfunctiong5(y)istotakethederivativeofthedistribution
functionG5(y)withrespecttoy.Doingso,weget:

g5 (y) = G (y) = (
5

y
)(

2y
(

6
) + (

) (1

y
) 5(

)
4

Uponrecognizingthat:
6

( ) = 6
5

and( 5) 5

6!
5!1!

5 =

6!
4!1!

2y
(

y
) + 6(

)
4

2y
(

)
4

weseethatthemiddletermsimplifiessomewhat,andthefirsttermisjustthenegativeofthethirdterm,and
thereforetheycanceleachotherout:

Therefore,theprobabilitydensityfunctionofthefifthorderstatisticY5is:
6!
g5 (y) =

(1
4!1!

y
)(

1
(

y)
2

for0<y<2.Whenwegoontogeneralizeourworkonthenextpage,itwillbenefitustonotethatbecausethe
densityfunctionanddistributionfunctionofeachXare:
f (x) =

1
2

andF (x)

respectively,when0<x<2,wecanalternativelywritetheprobabilitydensityfunctionofthefifthorder
statisticY5as:
6!
g5 (y) =

[F (y)]

[1 F (y)] f (y)

4!1!

Done!

Whew!Now,let'spushontothemoregeneralcaseoffindingtheprobabilitydensityfunctionoftherthorderstatistic.
SourceURL:https://onlinecourses.science.psu.edu/stat414/node/313