CDF and density of the kth smallest of n draws
Question
Let be i.i.d. with CDF and density , and let be the -th smallest of them. Find the CDF and the density of .
Short answer
, with density . The CDF counts the ways at least draws fall below . For the density, one draw sits at , fall below and 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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Open the worked solutionLessons behind this question
- Order Statistics and Sample Quantiles
- Continuous Random Variables and Probability Density Functions
- Cumulative Distribution Functions
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