Order Statistics and Applications

Order Statistics and Applications

E. Jack Chen (BASF Corporation, USA)
DOI: 10.4018/978-1-5225-7598-6.ch033
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Order statistics refer to the collection of sample observations sorted in ascending order and are among the most fundamental tools in non-parametric statistics and inference. Statistical inference established based on order statistics assumes nothing stronger than continuity of the cumulative distribution function of the population and is simple and broadly applicable. The authors discuss how order statistics are applied in statistical analysis (e.g., tests of independence, tests of goodness of fit, hypothesis tests of equivalence of means, ranking and selection, and quantile estimation). These order-statistics techniques are key components of many studies.
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Let 978-1-5225-7598-6.ch033.m01 denote a sequence of mutually independent random samples from a common distribution of the continuous type having a probability density function (pdf) 978-1-5225-7598-6.ch033.m02 and a cumulative distribution function (cdf) F. Let 978-1-5225-7598-6.ch033.m03 be the 978-1-5225-7598-6.ch033.m04th smallest of these 978-1-5225-7598-6.ch033.m05 such that 978-1-5225-7598-6.ch033.m06. Then 978-1-5225-7598-6.ch033.m07 is called the 978-1-5225-7598-6.ch033.m08th order statistic of the random sample 978-1-5225-7598-6.ch033.m09 Note that even though the samples 978-1-5225-7598-6.ch033.m10 are independently and identically distributed (iid), the order statistics 978-1-5225-7598-6.ch033.m11 are not independent because of the order restriction. The difference 978-1-5225-7598-6.ch033.m12 is called the sample range. It is a measure of the dispersion in the sample and should reflect the dispersion in the population.

Suppose 978-1-5225-7598-6.ch033.m13, where “978-1-5225-7598-6.ch033.m14” denotes “is distributed as” and “978-1-5225-7598-6.ch033.m15” denotes a uniform distribution with range [a,b]. We are interested in the distribution of 978-1-5225-7598-6.ch033.m16, which can be viewed as the second order statistic. The cdf of 978-1-5225-7598-6.ch033.m17 is

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