Calculating the Distribution of a Linear Combination of Uniform Order Statistics

Morganna Carmem Diniz, Edmundo de Souza e Silva, H. Richard Gail

INFORMS Journal on Computing · 2002 · Volume 14 · Issue 2

Abstract

The calculation of the distribution of a linear combination of order statistics from random variables that are uniformly distributed is considered. A simple recursion to compute this distribution is presented that, unlike previous methods, is numerically stable and efficient. As such, this should be the algorithm of choice when the linear combination distribution needs to be obtained.

Keywords

Reliability: Availability, probability: Stochastic Model Applications, probability: Markov Processes, probability: Distributions, statistics, order Statistics, performability

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