Probability

Order Statistics

The values of a sample arranged in sorted order, such as the minimum, maximum or median.

For n independent uniforms on [0,1], the k-th smallest has expectation k/(n+1). So the maximum averages n/(n+1) and the minimum 1/(n+1).

The intuition is pure symmetry: n points cut the interval into n+1 exchangeable gaps summing to 1, so each gap averages 1/(n+1). No integration needed, and saying it this way is much stronger than deriving it.

The exponential fact worth memorising: the minimum of independent exponentials is exponential with rate equal to the sum of the rates. That answers "expected time until the first of several machines fails" immediately.

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Order Statistics: Maxima, Minima and Uniform Spacings

Expected maximum of n uniforms, why the spacings are all the same size, and the interview questions built on both.

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