Probability inequality of multiple continuous random variables

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Let $X_0, ldots , X_n-1$ be i.i.d positive random variables with a continuous probability function $f_X$. I'm trying to prove that
$$
mathbbP[X_0 ge max(X_1, ldots , X_n-1)] = int_0^infty (F_X_0)^n-1(a)f_X_0(a) ,da
$$

Where $F$ is the CDF and $f$ is the PDF



I guess that $mathbbP[X_0 ge max(X_1, ldots , X_n-1)]= (n-1) mathbbP[X_0 ge X_1]$ because they're i.d.d, but how do I translate it to the CDF?










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    Let $X_0, ldots , X_n-1$ be i.i.d positive random variables with a continuous probability function $f_X$. I'm trying to prove that
    $$
    mathbbP[X_0 ge max(X_1, ldots , X_n-1)] = int_0^infty (F_X_0)^n-1(a)f_X_0(a) ,da
    $$

    Where $F$ is the CDF and $f$ is the PDF



    I guess that $mathbbP[X_0 ge max(X_1, ldots , X_n-1)]= (n-1) mathbbP[X_0 ge X_1]$ because they're i.d.d, but how do I translate it to the CDF?










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      up vote
      3
      down vote

      favorite
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      1





      Let $X_0, ldots , X_n-1$ be i.i.d positive random variables with a continuous probability function $f_X$. I'm trying to prove that
      $$
      mathbbP[X_0 ge max(X_1, ldots , X_n-1)] = int_0^infty (F_X_0)^n-1(a)f_X_0(a) ,da
      $$

      Where $F$ is the CDF and $f$ is the PDF



      I guess that $mathbbP[X_0 ge max(X_1, ldots , X_n-1)]= (n-1) mathbbP[X_0 ge X_1]$ because they're i.d.d, but how do I translate it to the CDF?










      share|cite|improve this question













      Let $X_0, ldots , X_n-1$ be i.i.d positive random variables with a continuous probability function $f_X$. I'm trying to prove that
      $$
      mathbbP[X_0 ge max(X_1, ldots , X_n-1)] = int_0^infty (F_X_0)^n-1(a)f_X_0(a) ,da
      $$

      Where $F$ is the CDF and $f$ is the PDF



      I guess that $mathbbP[X_0 ge max(X_1, ldots , X_n-1)]= (n-1) mathbbP[X_0 ge X_1]$ because they're i.d.d, but how do I translate it to the CDF?







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      asked 6 hours ago









      galah92

      22817




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          3 Answers
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          up vote
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          accepted










          Your guess is wong.



          Realize that $mathbb P(X_0geq X_1)=frac12$ on base of:



          • $P(X_0geq X_1)+P(X_1geq X_0)-P(X_0=X_1)$


          • $P(X_0geq X_1)=P(X_1geq X_0)$ on base of symmetry.


          • $P(X_0=X_1)=0$ on base of continuity.

          Likewise it can be verified that: $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=frac1n$$




          edit:



          Also $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=int Pleft(X_0geqmax(X_1,dots,X_n-1)mid X_0=aright)f_X(a)da=$$$$int P(max(X_1,dots,X_n-1)leq a)f_X(a)da=int F_X^n-1(a)f_X(a)da$$



          where the second equality rests on independence.






          share|cite|improve this answer






















          • I do understand that. I'm trying to get to the explicit general expression stated above.
            – galah92
            5 hours ago










          • I have added a justification of the equality.
            – drhab
            5 hours ago

















          up vote
          2
          down vote













          Disclaimer: this is just a remark on drhab's answer.



          Note that
          beginalign
          (F_X_0)^n-1(a)f_X_0(a) = fracdda frac1n (F_X_0)^n(a).
          endalign

          The fundamental theorem of calculus implies that the integral is equal to
          beginalign
          lim_a to infty frac1n (F_X_0)^n(a) - frac1n (F_X_0)^n(0) = frac1n,
          endalign

          where we used that $X_0$ is a positive random variable.






          share|cite|improve this answer



























            up vote
            1
            down vote













            Since the variables are i.i.d. it is
            beginalign*
            mathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x) &= mathbbP(xgeq max(X_1,ldots,X_n-1)|X_0=x) \
            & = mathbbP(xgeq max(X_1,ldots,X_n-1)) \
            & = mathbbP(X_1leq x,ldots,X_n-1leq x) \
            & = mathbbP(X_1leq x)^n-1 \
            & = F_X_0(x)^n-1.
            endalign*

            Hence:
            beginalign*
            mathbbP(X_0geq max(X_1,ldots,X_n-1)) &=int_0^+inftymathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x)f_X_0(x)dx \
            &=int_0^+infty F_X_0(x)^n-1f_X_0(x)dx
            endalign*

            Now you can use the fact that $F_X_0(x)^n-1f_X_0=frac1nfracddxF_X_0(x)^n$ to show that $mathbbP(X_0geq max(X_1,ldots,X_n-1))=frac1n$.



            Another way to reach this last result is the following. Let $X_(n)=max(X_0,X_1,ldots,X_n-1)$. The event $X_0geq max(X_1,ldots,X_n-1)$ is equivalent to the event $X_0=X_(n)$. Since the variables are i.i.d., $mathbbP(X_0=X_(n))=mathbbP(X_i=X_(n))=mathbbP(X_i textrm is the largest among X_0,ldots,X_n-1)$ for all $i=0,ldots,n-1$. Additionally, since ties have probability zero (as the distributions are continuous) it is
            $$1=sum_i=0^n-1 mathbbP(X_i=X_(n)) = nmathbbP(X_0=X_(n))=nmathbbP(X_0geq max(X_1,ldots,X_n-1))$$






            share|cite|improve this answer




















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              3 Answers
              3






              active

              oldest

              votes








              3 Answers
              3






              active

              oldest

              votes









              active

              oldest

              votes






              active

              oldest

              votes








              up vote
              3
              down vote



              accepted










              Your guess is wong.



              Realize that $mathbb P(X_0geq X_1)=frac12$ on base of:



              • $P(X_0geq X_1)+P(X_1geq X_0)-P(X_0=X_1)$


              • $P(X_0geq X_1)=P(X_1geq X_0)$ on base of symmetry.


              • $P(X_0=X_1)=0$ on base of continuity.

              Likewise it can be verified that: $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=frac1n$$




              edit:



              Also $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=int Pleft(X_0geqmax(X_1,dots,X_n-1)mid X_0=aright)f_X(a)da=$$$$int P(max(X_1,dots,X_n-1)leq a)f_X(a)da=int F_X^n-1(a)f_X(a)da$$



              where the second equality rests on independence.






              share|cite|improve this answer






















              • I do understand that. I'm trying to get to the explicit general expression stated above.
                – galah92
                5 hours ago










              • I have added a justification of the equality.
                – drhab
                5 hours ago














              up vote
              3
              down vote



              accepted










              Your guess is wong.



              Realize that $mathbb P(X_0geq X_1)=frac12$ on base of:



              • $P(X_0geq X_1)+P(X_1geq X_0)-P(X_0=X_1)$


              • $P(X_0geq X_1)=P(X_1geq X_0)$ on base of symmetry.


              • $P(X_0=X_1)=0$ on base of continuity.

              Likewise it can be verified that: $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=frac1n$$




              edit:



              Also $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=int Pleft(X_0geqmax(X_1,dots,X_n-1)mid X_0=aright)f_X(a)da=$$$$int P(max(X_1,dots,X_n-1)leq a)f_X(a)da=int F_X^n-1(a)f_X(a)da$$



              where the second equality rests on independence.






              share|cite|improve this answer






















              • I do understand that. I'm trying to get to the explicit general expression stated above.
                – galah92
                5 hours ago










              • I have added a justification of the equality.
                – drhab
                5 hours ago












              up vote
              3
              down vote



              accepted







              up vote
              3
              down vote



              accepted






              Your guess is wong.



              Realize that $mathbb P(X_0geq X_1)=frac12$ on base of:



              • $P(X_0geq X_1)+P(X_1geq X_0)-P(X_0=X_1)$


              • $P(X_0geq X_1)=P(X_1geq X_0)$ on base of symmetry.


              • $P(X_0=X_1)=0$ on base of continuity.

              Likewise it can be verified that: $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=frac1n$$




              edit:



              Also $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=int Pleft(X_0geqmax(X_1,dots,X_n-1)mid X_0=aright)f_X(a)da=$$$$int P(max(X_1,dots,X_n-1)leq a)f_X(a)da=int F_X^n-1(a)f_X(a)da$$



              where the second equality rests on independence.






              share|cite|improve this answer














              Your guess is wong.



              Realize that $mathbb P(X_0geq X_1)=frac12$ on base of:



              • $P(X_0geq X_1)+P(X_1geq X_0)-P(X_0=X_1)$


              • $P(X_0geq X_1)=P(X_1geq X_0)$ on base of symmetry.


              • $P(X_0=X_1)=0$ on base of continuity.

              Likewise it can be verified that: $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=frac1n$$




              edit:



              Also $$Pleft(X_0geqmax(X_1,dots,X_n-1)right)=int Pleft(X_0geqmax(X_1,dots,X_n-1)mid X_0=aright)f_X(a)da=$$$$int P(max(X_1,dots,X_n-1)leq a)f_X(a)da=int F_X^n-1(a)f_X(a)da$$



              where the second equality rests on independence.







              share|cite|improve this answer














              share|cite|improve this answer



              share|cite|improve this answer








              edited 5 hours ago

























              answered 5 hours ago









              drhab

              91.3k542124




              91.3k542124











              • I do understand that. I'm trying to get to the explicit general expression stated above.
                – galah92
                5 hours ago










              • I have added a justification of the equality.
                – drhab
                5 hours ago
















              • I do understand that. I'm trying to get to the explicit general expression stated above.
                – galah92
                5 hours ago










              • I have added a justification of the equality.
                – drhab
                5 hours ago















              I do understand that. I'm trying to get to the explicit general expression stated above.
              – galah92
              5 hours ago




              I do understand that. I'm trying to get to the explicit general expression stated above.
              – galah92
              5 hours ago












              I have added a justification of the equality.
              – drhab
              5 hours ago




              I have added a justification of the equality.
              – drhab
              5 hours ago










              up vote
              2
              down vote













              Disclaimer: this is just a remark on drhab's answer.



              Note that
              beginalign
              (F_X_0)^n-1(a)f_X_0(a) = fracdda frac1n (F_X_0)^n(a).
              endalign

              The fundamental theorem of calculus implies that the integral is equal to
              beginalign
              lim_a to infty frac1n (F_X_0)^n(a) - frac1n (F_X_0)^n(0) = frac1n,
              endalign

              where we used that $X_0$ is a positive random variable.






              share|cite|improve this answer
























                up vote
                2
                down vote













                Disclaimer: this is just a remark on drhab's answer.



                Note that
                beginalign
                (F_X_0)^n-1(a)f_X_0(a) = fracdda frac1n (F_X_0)^n(a).
                endalign

                The fundamental theorem of calculus implies that the integral is equal to
                beginalign
                lim_a to infty frac1n (F_X_0)^n(a) - frac1n (F_X_0)^n(0) = frac1n,
                endalign

                where we used that $X_0$ is a positive random variable.






                share|cite|improve this answer






















                  up vote
                  2
                  down vote










                  up vote
                  2
                  down vote









                  Disclaimer: this is just a remark on drhab's answer.



                  Note that
                  beginalign
                  (F_X_0)^n-1(a)f_X_0(a) = fracdda frac1n (F_X_0)^n(a).
                  endalign

                  The fundamental theorem of calculus implies that the integral is equal to
                  beginalign
                  lim_a to infty frac1n (F_X_0)^n(a) - frac1n (F_X_0)^n(0) = frac1n,
                  endalign

                  where we used that $X_0$ is a positive random variable.






                  share|cite|improve this answer












                  Disclaimer: this is just a remark on drhab's answer.



                  Note that
                  beginalign
                  (F_X_0)^n-1(a)f_X_0(a) = fracdda frac1n (F_X_0)^n(a).
                  endalign

                  The fundamental theorem of calculus implies that the integral is equal to
                  beginalign
                  lim_a to infty frac1n (F_X_0)^n(a) - frac1n (F_X_0)^n(0) = frac1n,
                  endalign

                  where we used that $X_0$ is a positive random variable.







                  share|cite|improve this answer












                  share|cite|improve this answer



                  share|cite|improve this answer










                  answered 5 hours ago









                  Stockfish

                  1414




                  1414




















                      up vote
                      1
                      down vote













                      Since the variables are i.i.d. it is
                      beginalign*
                      mathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x) &= mathbbP(xgeq max(X_1,ldots,X_n-1)|X_0=x) \
                      & = mathbbP(xgeq max(X_1,ldots,X_n-1)) \
                      & = mathbbP(X_1leq x,ldots,X_n-1leq x) \
                      & = mathbbP(X_1leq x)^n-1 \
                      & = F_X_0(x)^n-1.
                      endalign*

                      Hence:
                      beginalign*
                      mathbbP(X_0geq max(X_1,ldots,X_n-1)) &=int_0^+inftymathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x)f_X_0(x)dx \
                      &=int_0^+infty F_X_0(x)^n-1f_X_0(x)dx
                      endalign*

                      Now you can use the fact that $F_X_0(x)^n-1f_X_0=frac1nfracddxF_X_0(x)^n$ to show that $mathbbP(X_0geq max(X_1,ldots,X_n-1))=frac1n$.



                      Another way to reach this last result is the following. Let $X_(n)=max(X_0,X_1,ldots,X_n-1)$. The event $X_0geq max(X_1,ldots,X_n-1)$ is equivalent to the event $X_0=X_(n)$. Since the variables are i.i.d., $mathbbP(X_0=X_(n))=mathbbP(X_i=X_(n))=mathbbP(X_i textrm is the largest among X_0,ldots,X_n-1)$ for all $i=0,ldots,n-1$. Additionally, since ties have probability zero (as the distributions are continuous) it is
                      $$1=sum_i=0^n-1 mathbbP(X_i=X_(n)) = nmathbbP(X_0=X_(n))=nmathbbP(X_0geq max(X_1,ldots,X_n-1))$$






                      share|cite|improve this answer
























                        up vote
                        1
                        down vote













                        Since the variables are i.i.d. it is
                        beginalign*
                        mathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x) &= mathbbP(xgeq max(X_1,ldots,X_n-1)|X_0=x) \
                        & = mathbbP(xgeq max(X_1,ldots,X_n-1)) \
                        & = mathbbP(X_1leq x,ldots,X_n-1leq x) \
                        & = mathbbP(X_1leq x)^n-1 \
                        & = F_X_0(x)^n-1.
                        endalign*

                        Hence:
                        beginalign*
                        mathbbP(X_0geq max(X_1,ldots,X_n-1)) &=int_0^+inftymathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x)f_X_0(x)dx \
                        &=int_0^+infty F_X_0(x)^n-1f_X_0(x)dx
                        endalign*

                        Now you can use the fact that $F_X_0(x)^n-1f_X_0=frac1nfracddxF_X_0(x)^n$ to show that $mathbbP(X_0geq max(X_1,ldots,X_n-1))=frac1n$.



                        Another way to reach this last result is the following. Let $X_(n)=max(X_0,X_1,ldots,X_n-1)$. The event $X_0geq max(X_1,ldots,X_n-1)$ is equivalent to the event $X_0=X_(n)$. Since the variables are i.i.d., $mathbbP(X_0=X_(n))=mathbbP(X_i=X_(n))=mathbbP(X_i textrm is the largest among X_0,ldots,X_n-1)$ for all $i=0,ldots,n-1$. Additionally, since ties have probability zero (as the distributions are continuous) it is
                        $$1=sum_i=0^n-1 mathbbP(X_i=X_(n)) = nmathbbP(X_0=X_(n))=nmathbbP(X_0geq max(X_1,ldots,X_n-1))$$






                        share|cite|improve this answer






















                          up vote
                          1
                          down vote










                          up vote
                          1
                          down vote









                          Since the variables are i.i.d. it is
                          beginalign*
                          mathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x) &= mathbbP(xgeq max(X_1,ldots,X_n-1)|X_0=x) \
                          & = mathbbP(xgeq max(X_1,ldots,X_n-1)) \
                          & = mathbbP(X_1leq x,ldots,X_n-1leq x) \
                          & = mathbbP(X_1leq x)^n-1 \
                          & = F_X_0(x)^n-1.
                          endalign*

                          Hence:
                          beginalign*
                          mathbbP(X_0geq max(X_1,ldots,X_n-1)) &=int_0^+inftymathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x)f_X_0(x)dx \
                          &=int_0^+infty F_X_0(x)^n-1f_X_0(x)dx
                          endalign*

                          Now you can use the fact that $F_X_0(x)^n-1f_X_0=frac1nfracddxF_X_0(x)^n$ to show that $mathbbP(X_0geq max(X_1,ldots,X_n-1))=frac1n$.



                          Another way to reach this last result is the following. Let $X_(n)=max(X_0,X_1,ldots,X_n-1)$. The event $X_0geq max(X_1,ldots,X_n-1)$ is equivalent to the event $X_0=X_(n)$. Since the variables are i.i.d., $mathbbP(X_0=X_(n))=mathbbP(X_i=X_(n))=mathbbP(X_i textrm is the largest among X_0,ldots,X_n-1)$ for all $i=0,ldots,n-1$. Additionally, since ties have probability zero (as the distributions are continuous) it is
                          $$1=sum_i=0^n-1 mathbbP(X_i=X_(n)) = nmathbbP(X_0=X_(n))=nmathbbP(X_0geq max(X_1,ldots,X_n-1))$$






                          share|cite|improve this answer












                          Since the variables are i.i.d. it is
                          beginalign*
                          mathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x) &= mathbbP(xgeq max(X_1,ldots,X_n-1)|X_0=x) \
                          & = mathbbP(xgeq max(X_1,ldots,X_n-1)) \
                          & = mathbbP(X_1leq x,ldots,X_n-1leq x) \
                          & = mathbbP(X_1leq x)^n-1 \
                          & = F_X_0(x)^n-1.
                          endalign*

                          Hence:
                          beginalign*
                          mathbbP(X_0geq max(X_1,ldots,X_n-1)) &=int_0^+inftymathbbP(X_0geq max(X_1,ldots,X_n-1)|X_0=x)f_X_0(x)dx \
                          &=int_0^+infty F_X_0(x)^n-1f_X_0(x)dx
                          endalign*

                          Now you can use the fact that $F_X_0(x)^n-1f_X_0=frac1nfracddxF_X_0(x)^n$ to show that $mathbbP(X_0geq max(X_1,ldots,X_n-1))=frac1n$.



                          Another way to reach this last result is the following. Let $X_(n)=max(X_0,X_1,ldots,X_n-1)$. The event $X_0geq max(X_1,ldots,X_n-1)$ is equivalent to the event $X_0=X_(n)$. Since the variables are i.i.d., $mathbbP(X_0=X_(n))=mathbbP(X_i=X_(n))=mathbbP(X_i textrm is the largest among X_0,ldots,X_n-1)$ for all $i=0,ldots,n-1$. Additionally, since ties have probability zero (as the distributions are continuous) it is
                          $$1=sum_i=0^n-1 mathbbP(X_i=X_(n)) = nmathbbP(X_0=X_(n))=nmathbbP(X_0geq max(X_1,ldots,X_n-1))$$







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                          answered 5 hours ago









                          a.arfe

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