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On the bounds for the expected maxima of random samples with known expected maxima of two samples of smaller size
D. V. Ivanov Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
Our aim in the present paper is to give a new representation of the previously known estimates and further investigate upper and lower bounds for expected maxima of $n$ independent and identically distributed (i.i.d.) standardized random variables (r.v.'s)
from known expected maxima of $m$ and $p$ r.v.'s with the same distribution, where $1<m<p<n$.
A new representation is obtained from expansion of the inverse distribution function in a system of orthonormal functions on the unit interval.
A criterion for attainability of the resulting bounds is put forward. We also obtain asymptotic properties of normed bounds for maxima expectations and normed maxima of r.v.'s with distribution where a criterion for attainability of these bound holds.
Keywords:
expected maxima, orthogonal expansion.
Received: 17.12.2018 Revised: 11.07.2022 Accepted: 08.09.2022
Citation:
D. V. Ivanov, “On the bounds for the expected maxima of random samples with known expected maxima of two samples of smaller size”, Teor. Veroyatnost. i Primenen., 68:1 (2023), 4–20; Theory Probab. Appl., 68:1 (2023), 2–15
Linking options:
https://www.mathnet.ru/eng/tvp5282https://doi.org/10.4213/tvp5282 https://www.mathnet.ru/eng/tvp/v68/i1/p4
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