p-norm bounds on the expectation of the maximum of a possibly dependent sample (Q1069606)

Let \(X_ 1,X_ 2,...,X_ n\) be identically distributed possibly dependent random variables with finite pth absolute moment assumed without loss of generality to be equal to 1. Denote the order statistics by \(X_{1:n},X_{2:n},...,X_{n:n}\). Bounds are derived for \(E(X_{n:n})\) when it is assumed that the \(X_ i's\) are (i) arbitrarily dependent and (ii) independent. The effect of assuming a symmetric common distribution for the \(X_ i's\) is discussed. Analogous bounds are described for the expected range of the sample. Bounds on expectations of general linear combinations of order statistics are described in the independent case.