Estimates for order statistics in terms of quantiles (Q2313799): Difference between revisions

The authors give sharp estimates for order statistics of independent, not necessarily identically distributed random variables in terms of quantiles. Let \(X_{1},\dots,X_{n}\) be independent nonnegative random variables with distribution function \(F_{1},\dots,F_{n}\). Given \(1\leq k\leq n\), denote by \(k\!-\min_{1\leq i \leq n} X_{i}\) the \(k\)th smallest order statistics of \(X_{1},\dots,X_{n} \). Let \(F=\frac{1}{n}\sum_{i=1}^{n} F_{i}\) be the averaged distribution. Suppose that there exists a constant \(K>1\) such that \[ \frac{F(Kt)}{1-F(Kt)}\geq \frac{2F(t)}{1-F(t)} \] for all \(t>0\). The authors give examples when this condition is satisfied. The main result of the paper is the following: \[ K^{-10} q_{F} \left( \frac{k-1/2}{n}\right) \le \mathrm{Med} \left(k-\min_{1\leq i \leq n} X_{i}\right) \leq K^{13} q_{F} \left( \frac{k-1/2}{n}\right), \] where \(q_{F}(t)\) is the quantile of order \(t\) with respect to \(F\). (The symbol \(\mathrm{Med}(Y)\) denotes the median of \(Y\).)