Minimum Plus Maximum Exceeds One
Let be i.i.d. random variables, and set and . Find .
Work it out, then compare with the answer.
Answer
(for every )
SolutionShow the worked solution
Key idea. Reflecting every sample through swaps the minimum and the maximum and turns into .
Set . The are again i.i.d. , so has the same joint law as .
The map is decreasing. Hence
The pair has the same law as . Therefore
Next we show that the boundary case has probability zero. Since and are both among the , the event forces for some pair , with allowed. There are only finitely many such pairs, and each event has probability , because is a continuous random variable. So .
The two remaining probabilities are equal and sum to . Hence, for every ,