Sunday, November 27, 2016

probability - Pick the highest of two (or n) independent uniformly distributed random numbers - average value?



With "random number" I mean an independent uniformly distributed random number.



One




Picking one random number is easy: When I pick a random number from x to y, the average value is (x+y)/2.



Two



I'm no maths expert, nevertheless I was able to work out a solution for whole numbers: When I pick the highest of two random whole numbers from x to y ...



Let n be the count of possible results n=yx+1.



I looked at the probability of every single possible outcome and noticed an arithmetic sequence. I knew the sequence had to start with the rarest possibility: Rolling two times in a row the lowest value.




p1=1n2



And I knew the sequence had to have a sum of 100 %. This made it possible to calculate the last, the nth, element:



pn=2np1



Based on that it was easy to calculate the difference between elements and subsequently the formula for the sequence.



pi=2in2in+1n3n2




All I had to do now, was multiplying the probabilities with their respective values and sum this.



ni=12in2in+1n3n2(x+i1)



Questions



What sort of distribution is this, how is it called? I can't name it and I can hardly search for it.




What is the solution for picking the highest of two random real numbers from x to y? I feel a little bit lost, because my approach fails, because there are infinite real numbers.



What is the solution for picking the highest of c random real numbers from x to y?


Answer



Here is exactly what you are looking for for all types of random variables.



For n iid discrete uniform random variables the PDF is



P(Ymax=y)=(ya+1ba+1)n(yaba+1)n




For n iid continuous uniform random variables the PDF is



fYmax(y)={n(1ba)n1(yaba)n,y[a,b]0,otherwise


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