Majorization bounds for distribution functions

Publication date 21 September 2012

Abstract: Let

X

be a random variable with distribution function

F,

and

X_{1}, X_{2}, ..., X_{n}

are independent copies of

X .

Consider the order statistics

X_{i : n},

i = 1, 2, ..., n

and denote

F_{i : n} (x) = P X_{i : n} l e q x .

Using majorization theory we write upper and lower bounds for

F

expressed in terms of mixtures of distribution functions of order statistics, i.e.

s u m l i m i t s_{i = 1}^{n} p_{i} F_{i : n}

and

s u m l i m i t s_{i = 1}^{n} p_{i} F_{n - i + 1 : n} .

It is shown that these bounds converge to

F

for a particular sequence

(p_{1} (m), p_{2} (m), ..., p_{n} (m)), m = 1, 2, ..

as

m i g h t a r r o w i n f t y .

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