Distribution of the largest and smallest uniforms
Question
Let be independent and uniform on . For both and , find the cumulative distribution function, the density and the expected value.
Short answer
Max: , , mean . Min: , , mean . The max is below only if every is, and the min is above only if every is; differentiate and integrate to get the density and mean.
Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 4.6 Order Statistics, 'Expected value of max and min', p.98; question and answer rewritten by SelfMadeQuant.com.
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Open the worked solutionLessons behind this question
- Order Statistics and Sample Quantiles
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
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