Expected largest value and spread of n uniforms
Question
Draw independent random numbers, each uniform on . What is the expected value of the largest one? What is the expected difference between the largest and the smallest?
Short answer
and . The maximum has CDF , so . By symmetry , and the expected range is the difference.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.29, p.83; 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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