Estimates for order statistics in terms of quantiles

Inequalities; stochastic orderings (60E15) Nonparametric regression and quantile regression (62G08) Order statistics; empirical distribution functions (62G30)

Abstract: Let

X_{1}, l d o t s, X_{n}

be independent non-negative random variables with cumulative distribution functions

F_{1}, F_{2}, l d o t s, F_{n}

, each satisfying certain (rather mild) conditions. We show that the median of

k

-th smallest order statistic of the vector

(X_{1}, l d o t s, X_{n})

is equivalent to the quantile of order

(k - 1 / 2) / n

with respect to the averaged distribution

F = f r a c 1 n s u m_{i = 1}^{n} F_{i}

.

Review text

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 \(Y\).)

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