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CDF and density of the kth smallest of n draws

Question

Let X1,…,XnX_1,\dots,X_n be i.i.d. with CDF FF and density ff, and let X(k)X_{(k)} be the kk-th smallest of them. Find the CDF and the density of X(k)X_{(k)}.

Short answer

P(X(k)≤x)=∑j=kn(nj)F(x)j(1−F(x))n−j\mathbb{P}(X_{(k)}\le x)=\sum_{j=k}^{n}\binom nj F(x)^j(1-F(x))^{n-j}, with density n!(k−1)! (n−k)!F(x)k−1(1−F(x))n−kf(x)\dfrac{n!}{(k-1)!\,(n-k)!}F(x)^{k-1}(1-F(x))^{n-k}f(x). The CDF counts the ways at least kk draws fall below xx. For the density, one draw sits at xx, k−1k-1 fall below and n−kn-k above.

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.32, p.84; question and answer rewritten by SelfMadeQuant.com.

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