Exponential Distribution Theory and Methods

MATHEMATICS RESEARCH DEVELOPMENTS
EXPONENTIAL DISTRIBUTION:
THEORY AND METHODS

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MATHEMATICS RESEARCH DEVELOPMENTS

EXPONENTIAL DISTRIBUTION:
THEORY AND METHODS

M. AHSANULLAH
AND
G. G. HAMEDANI

Nova Science Publishers, Inc.
New York
Copyright 2010 by Nova Science Publishers, Inc.

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LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA
Ahsanullah, M. (Mohammad)
Exponential distribution : theory and methods / Mohammad Ahsanullah, G.G.
Hamedani.
p. cm.
Includes bibliographical references and index.
ISBN 978-1-61324-566-8 (eBook)
1. Distribution (Probability theory) 2. Exponential families (Statistics)
3. Order statistics. I. Hamedani, G. G. (Gholamhossein G.) II. Title.
QA273.6.A434 2009
519.2'4--dc22
2010016733

Published by Nova Science Publishers, Inc. New York

To Masuda, Nisar, Tabassum, Faruk,
Angela, Sami, Amil and Julian
MA

To Azam , Azita , Hooman , Peter ,
Holly , Zadan and Azara
GGH

Contents

Preface ix

1. Introduction 1
1.1 Preliminaries 3

2. Order Statistics 11
2.1 Preliminaries and Definitions 11
2.2 Minimum Variance Linear Unbiased Estimators Based
on Order Statistics
18
2.3 Minimum Variance Linear Unbiased Predictors
(MVLUPs)
24
2.4 Limiting Distributions 27

3. Record Values 31
3.1 Definitions of Record Values and Record Times 31
3.2 The Exact Distribution of Record Values 31
3.3 Moments of Record Values 38
3.4 Estimation of Parameters 44
3.5 Prediction of Record Values 46
3.5 Limiting Distribution of Record Values 48

4. Generalized Order Statistics 51
4.1 Definition 51
4.2 Generalized Order Statistics of Exponential Distribution 52

vi Contents

5. Characterizations of Exponential Distribution I 65
5.1 Introduction 65
5.2 Characterizations Based on Order Statistics 66
5.3 Characterizations Based on Generalized Order Statistics 86

6. Characterizations of Exponential Distribution II 99
6.1 Characterizations Based on Record Values 99
6.2 Characterizations Based on Generalized Order Statistics 120

References 121

Index 143

Preface

The univariate exponential distribution is the most commonly used
distribution in modeling reliability and life testing analysis. The exponential
distribution is often used to model the failure time of manufactured items in
production. If X denotes the time to failure of a light bulb of a particular make,
with exponential distribution, then P(X>x) represent the survival of the light
bulb. The larger the average rate of failure, the bigger will be the failure time.
One of the most important properties of the exponential distribution is the
memoryless property; P(X>x+y|X>x) = P(X>y). Given that a light-bulb has
survived x units of time, the chances that it survives a further y units of time is
the same as that of a fresh light-bulb surviving y units of time. In other words
past history has no effect on the light-bulbs performance. The exponential
distribution is used to model Poisson process, in situations in which an object
actually in state A can change to state B with constant probability per unit.
The aim of this book is to present various properties of the exponential
distribution and inferences about them. The book is written on a lower
technical level and requires elementary knowledge of algebra and statistics.
This book will be a unique resource that brings together general as well as
special results for the exponential family. Because of the central role that the
exponential family of distributions plays in probability and statistics, this book
will be a rich and useful resource for Probabilists, Statisticians and researchers
in the related theoretical as well as applied fields. The book consists of six
chapters. The first chapter describes some basic properties of exponential
distribution. The second chapter describes order statistics and inferences based
on order statistics. Chapter three deals with record values and chapter 4
presents generalized order statistics. Chapters 5 and 6 deal with the
characterizations of exponential distribution based on order statistics, record
values and generalized order statistics.
Summer research grant and sabbatical leave from Rider University
enabled the first author to complete part of the book. The first author expresses
his sincere thanks to his wife Masuda for the longstanding support and
x M.Ahsanullah and G.G.Hamedani
encouragement for the preparation of this manuscript. The second author
thanks his family for their encouragement during the preparation of this work.
He is grateful to Marquette University for partial support during preparation of
part of this book.
The authors wish to thank Nova Science Publishers for their willingness
to publish this manuscript.

M. Ahsanullah
G. G.Hamedani

About the Authors
Dr. M.Ahsanullah is a Professor of Statistics at Rider University. He earned his
Ph.D. from North Carolina State University ,Raleigh, North Carolina. He is a
Fellow of American Statistical Association and Royal Statistical Society. He is
an elected member of the International Statistical Institute. He is editor-in-Chief
of Journal of Applied Statistical Science and Co-editor of Journal of Statistical
Theory and Applications. He has authored and co-authored more than twenty
books and published more than 200 research articles in reputable journals. His
research areas are Record Values, Order Statistics, Statistical Inferences, Char-
acterizations of Distributions etc.
Dr. Hamedani is a Professor of Mathematics and Statistics at Marquette
University in Milwaukee Wisconsin. He received his doctoral degree from
Michigan State University, East Lansing, Michigan in 1971. He is Co-Editor of
Journal of Statistical Theory and Applications and Member of Editorial Board
of Journal of Applied Statistical Science and Journal of Applied Mathematics,
Statistics and Informatics. Dr. Hamedani has authored or co-authored over 110
research papers in mathematics and statistics journals. His main research areas
are characterizations of continuous distributions and differential equations
Chapter 1
Introduction
The exponential family of distributions is a very rich class of distributions with
extensive domain of applicability. The structure of the exponential family al-
lows for the development of important theory as it is shown via a body of work
related to this family in the literature.
We will be using some terminologies in the next few paragraphs which will
formally be dened later in the chapter. To give the reader some ideas about
the nature of the univariate exponential distribution, let us start with a basic
random experiment, a corresponding sample space and a probability measure.
We follow the usual notational convention: X, Y, Z, . . . stand for real-valued
random variables; boldface XXX, YYY, ZZZ, . . . denote vector-valued random variables.
Suppose that X is a real-valued continuous randomvariable for the basic experi-
ment with cumulative distributionfunction F and the corresponding probability
density function f . We perform n independent replications of the basic exper-
iment to generate a random sample of size n from X: (X
1
, X
2
, . . ., X
n
). These
are independent random variables, each with the same distribution as that of X.
If X
i

s are exponential random variables with cumulative distribution function
F (x) = 1 e
x
, x 0, where > 0 is a parameter, then

n
i=1
X
i
is distributed
as Gamma with parameters n and . The random variable 2

n
i=1
X
i
has a Chi-
square distribution with 2n degrees of freedom. Consider a series system (a
system which works only if all the components work) with independent com-
ponents with common cumulative distribution function F (x) = 1e
x
, x 0,
and let T be the life of the system. Then P(T >t) = P(min
1in
X
i
>t) =
2 M. Ahsanullah and G.G. Hamedani
P(X
1
>t, X
2
>t, . . . , X
n
>t) =
n
i=1
P(X
i
>t) =e
nt
, which is an exponential
random variable with parameter n.
Let N be a geometric random variable with probability mass function
P(N = k) = p q
k1
, k = 1, 2, . . . where p +q = 1. Now if X
i

s are indepen-
dent and identically distributed with cumulative distribution function F(x) =
1 e
x
, x 0 and if V =

N
i=1
X
i
is the geometrically compounded random
variable, then pV
d
= X
i
_
d
= means equal in distribution
_
. To see this, let L(t)
be the Laplace transform of V, then
L(t) = E
_
E
_
e
tV
|N
_
=
k=1
_
1+
t
_
k
pq
k1
=
_
1+
t
p
_
1
.
Thus, p V
d
= X
i
.
Suppose the random variable X has cumulative distributionfunction F (x) =
1 e
x
, x 0, and Y = [X], the integral part of X, then Y has the geometric
distribution with probability mass function P(Y = k) = pq
k
, k = 0, 1, . . . and
p = 1e
,
P(Y = y) = P(y X < y+1) = F(y+1) F (y)
= e
y
e
(y+1)
=
_
1e
_
e
y
.
Let X
k,n
denote the k
th
smallest of (X
1
, X
2
, . . ., X
n
). Note that X
k,n
is a func-
tion of the sample variables, and hence is a statistic, called the k
th
order statistic.
Our goal in Chapter 2 is to study the distribution of the order statistics, their
properties and their applications. Note that the extreme order statistics are the
minimum and maximum values:
X
1,n
= min{X
1
, X
2
, . . ., X
n
}, andX
n,n
= max{X
1
, X
2
, . . ., X
n
}.
If X has cumulative distribution function F (x) = 1 e
x
, x 0, then 1
F
1,n
(x) = P(X
1,n
x) = e
nx
and F
n,n
(x) = P(X
n,n
x) =
_
1e
x
_
n
.
Record values arise naturally in many real life applications such as in sports,
environment, economics, business, to name a few. Let X be a random variable.
We keep drawing observations from X and, from time to time, an observation
will be larger than all the previously drawn observations: this observation is
Introduction 3
then called a record, and its value a record value, or, more precisely, an upper
record value. The rst observation is obviously a record. We call it the rst
record. The second upper record is the rst observation whose value is larger
than that of the rst one. We can dene the lower records similarly by consider-
ing lower values. In Chapter 3 we will study record values, in particular when
the underlying random variable X has an exponential distribution.
Order statistics and record values are special cases of generalized order
statistics. Many of their properties can be obtained from the generalized or-
der statistics. In chapter 4, we have presented generalized order statistics of
exponential distribution.
The problem of characterizing a distribution is an important problem which
has attracted the attention of many researchers in recent years. Consequently,
various characterization results have been reported in the literature. These char-
acterizations have been established in many different directions. The goal of
Chapters 5 and 6 is to present characterizations of the exponential distribution
based on order statistics and based on generalized order statistics (Chapter 5) as
well as based on record values (Chapter 6).
For the sake of self-containment, we mention here some elementary deni-
tions, which most of the readers may very well be familiar with them. The read-
ers with knowledge of introduction to probability theory may skip this chapter
all together and go straight to the next chapter.
1.1. Preliminaries
Denition 1.1.1. A random or chance experiment is an operation whose
outcome cannot be predicted with certainty.
We denote a random experiment with E. Throughout this book experi-
ment means random experiment.
Examples 1.1.2.
(a) Flipping a coin once.
(b) Rolling a die once.
Denition 1.1.3. The set of all possible outcomes of an experiment E is
called the sample space for E and is denoted by S.
Examples 1.1.4. Sample spaces corresponding to Examples (a) and (b)
above are:
S
a
={H, T}, H for heads and T for tails;
S
b
={1, 2, . . ., 6}.
Note that the set {even, odd} is also an acceptable sample space for E of
Example 1.1.2 (b), so sample space is not unique.
Event 1.1.5. An event is a collection of outcomes of an experiment. Hence
every subset of sample space is an event.
We denote events with capital letters A, B, C , . . . . We denote two events are
called mutually exclusive if they have no common elements.
Denition 1.1.6. A probabilityfunction is a real-valued set function dened
on the power set of S (P(S)), denoted by P, whose range is a subset of [0, 1],
i.e.
P : P(S) [0, 1] ,
satisfying the following Axioms of probability
(i) P(A) 0 for any A P(S).
(ii) P(S) = 1.
(iii) If A
1
, A
2
, . . . is a sequence (nite or innite) of mutually exclusive
events (subsets) of S ( or elements of P(S) ), then
P(A
1
A
2
) = P(A
1
) +P(A
2
) + .
Denition 1.1.7. A random variable (rv for short) is a real-valued function
dened on S, a sample space for an experiment E.
We denote rv

s with capital letters X,Y, Z, . . . (as mentioned before) and
their values with lower case letters x, y, z, . . .. Range of a rv X is the set of all
possible values of X and is denoted by R(X).
Denition 1.1.8. A rv X is called
(i) discrete if R(X) is countable;
(ii) continuous if R(X) is an interval and P(X = x) = 0, for all x R(X);
(iii) mixed if X is neither discrete nor continuous.
Denition 1.1.9. Let X be a rv. The cumulative distribution function (cd f )
of X denoted by F
X
is a real-valued function dened on R whose range is a
subset of [0, 1]. F
X
is dened by
F
X
(t) = P(X t), t R.
Properties of cd f F
X
:
(i) lim
t+
F
X
(t) =
0
1
;
(ii) F
X
is non-decreasing on R;
(iii) F
X
is right-continuous on R.
Proposition 1.1.10. The set of discontinuitypoints of a distributionfunction
is at most countable.
Remark 1.1.11. A point x is said to belong to the support of the cd f F if
and only if for every

> 0, F(x+) F (x) > 0. The set of all such points
is called the support of F and is denoted by Supp F.
We will restrict our attention, throughout this book, to continuous rv

s, in
particular exponential rv.
Denition 1.1.12. Let X be a continuous rv with cd f F
X
. Then the proba-
bility density function (pd f ) of X (or pd f corresponding to cd f F
X
) is denoted
by f
X
and is dened by
f
X
(t) =
_
d
dt
F
X
(t), if derivative exists,
0, otherwise.
Remark 1.1.13. Since F
X
is continuous and non-decreasing, its derivative
exists for all t, except possibly for at most a countable number of points in R.
We dene f
X
(t) = 0 at those points.
Properties of pd f f
X
:
(i) f
X
(t) 0 for all t R;
(ii)

R
f
X
(t)dt = 1.
Denition 1.1.14. The rv X has an exponential distribution with location
parameter ( < < ) and scale parameter ( > 0) if its cd f is given by
F
X
(t) =
_
0, t < ,
1e
(t)
, t ,
where =
1
.
Graph of F
X
for = 0 and different values of
It is clear that
d
dt
F
X
(t) exists everywhere except at t = , so the corresponding
pd f of F
X
is given by
f
X
(t) =
_
e
(t)
, t > ,
0, otherwise,
Figure 1.1. Graph o f F
X
f or = 0 and di f f erent values o f .
Introduction 7
Graph of f
X
for = 0 and different values of
We use the notation X E (, ) for such a rv. The rv X E(0, ) will be de-
noted by X E(). We use the notation X E(1) for the standard exponential
random variable.
Figure 1.2. Graph o f f
X
f or = 0 and di f f erent values o f .
We observe that the condition P(X > s +t|X > s) = P(X >t) is equivalent
to 1 F (s +t) = (1F (s))(1F (t)). Now, if X is a non-negative and non-
degenerate rv satisfying this condition, then cd f of X will be F(x) = 1 e
x
,
x 0. To see this, note that condition 1 F (s +t) = (1F (s))(1F (t)) will
lead to the condition
1F (nx) = (1F (x))
n
, for all n 1 and all x 0,
that is, 1 F (x) =
_
1F(
x
n
)
_
n
. The solution of this last equation with bound-
ary conditions F (0) = 0 and F () = 1 is F (x) = 1e
x
.
The hazard rate ( f (x)/(1F (x))) is constant for E(, ). In fact E(, )
is the only family of continuous distributions with constant hazard rate. It can
easily be shown that the constant () hazard rate of a continuous cd f F together
with boundary conditions F (0) = 0 and F () = 1 imply that F (x) = 1e
x
.
The linear exponential distribution with increasing hazard rate has pd f of
the form
f (x) = (+x) e
(x+x
2
/2)
, , > 0, x 0,
and the corresponding cd f is F (x) = 1 e
(x+x
2
/2)
, , > 0, x 0. The
hazard rate is +x. If = 0, then it is the exponential with cd f F (x) =
1e
x
.
If X E(), then P(X > s +t|X > s) = P(X >t) for all s, t 0.
This property is known as memoryless property of the standard exponential
random variable (or distribution).
The p
th
quantile of a rv X is dened by F
1
(p). For X E(), we have
F
1
(p) =
ln(1p)
. The rst, second and fourth quartiles are

1
ln
_
4
3
_
,
ln2
and
ln4
respectively.
Denition 1.1.15. Let X be a continuous rv with pd f f
X
, then the r
th
mo-
ment of X about the origin is dened by
r
= E[X
r
] =
R
x
r
f
X
(x)dx, r = 0, 1, . . . ,
provided the integral is absolutely convergent.
Note that throughout this book we will use the notation E[h(X)] =
R
h(x)dF
X
(x) for the expected value of the rv h(X).
Remarks 1.1.16.
(a)
0
= 1,
1
= E [X] is expected value or mean of X .
2
X
=
2
1
is
variance of X and
X
is standard deviation of X.
(b) The r
th
moment of X about
X
=
1
is dened by
r
= E[(X
X
)
r
] =
R
(x
X
)
r
f
X
(x) dx, r = 1, 2, . . . ,
provided the right hand side (RHS) exists. Note that
2
=
2
X
.
(c) It is easy to show that from
r

s one can calculate
r

s and vice versa.
In fact if the moments about any real number a are known, then moments about
Introduction 9
any other real number b can be calculated from those about a. Moments about
zero,
r

s , are the most common moments used.
Example 1.1.17. Let X E(). Find all the moments of X which exist.
Solution:
r
=

0
x
r
e
x
dx =
(r +1)
r
, r = 1, 2, . . . .
Denition 1.1.18. Let X be a continuous rv with pd f f
X
. The MGF (Mo-
ment Generating Function) of X denoted by M
X
(t) is dened by
M
X
(t) = E
_
e
tX
R
e
tx
f
X
(x)dx,
for those t

s for which the RHS exists.
Properties of MGF :
(i) M
X
(0) = 1;
(ii) M
(r)
X
(0) =
r
, r = 1, 2, . . ., where M
(r)
X
(0) is the r
th
derivative of the
MGF evaluated at 0.
Example 1.1.19. For X E(, ), the MGF is
M
X
(t) =
e
tx
e
(x)
dx = e
t

0
e
(t)x
dx =e
t
(t)
1
, if t <,
from which we obtain
1
= M
(1)
X
(0) = +
1
2
= M
(2)
X
(0) =
2
+
2
+
2
2
.
So,
X
= +
1
,
2
X
=
2
+
2
+
2
2
(+
1
)
2
=
1
2
and
X
=
1
.
For X E(), M
X
(t) = (t)
1
, i f t < and
M
(r)
X
(t) = (r!)(t)
(r+1)
, for r = 1, 2, . . . ,
Then
r
=
r!
r
=
r
r1
, which is a recurrence relation for the moments of E().
The n
th
cumulant of a rv X is dened by K
n
=
d
n
dt
n
ln M
X
(t) |
t=0
. Here

ln
is used for natural logarithm. For X E(), M

X
(t) = (t)
1
, t < and
K
n
=(n)/
n
.
Remarks 1.1.20. If X
1
, X
2
, . . ., X
n
form an independent sample from an
exponential distribution with parameter , then
(i) method of moments estimator of is

=
1
X
, where X =
1
n
n
i=1
X
i
;
(ii) maximum likelihood estimator of is also
=
1
X
;
(iii) entropy of is 1ln .
For E(, ), the maximum likelihood estimators of and
are given by
= X
1,n
and
= 1/
_
X X
1,n
_
respec-
tively, where, as mentioned before, X
1,n
= min{X
1
, X
2
, . . .,
X
n
}. The entropy of E(, ) denoted by EEE
X
is
EEE
X
=
(ln f (x)) f (x)dx =
_
ln
_
e
(x)
__
e
(x)
dx = 1ln,
which does not depend on location parameter . It is the same as the entropy of
the exponential distribution E().
Chapter 2
Order Statistics
2.1. Preliminaries and Denitions
Let X
1
, X
2
, . . . , X
n
be n independent and identically distributed (i.i.d.) rv

s with
common cd f F and pd f f . Let X
1,n
X
2,n
X
n,n
denote the order
statistics corresponding to
1
, X
2
, . . . , X
n
. We call X
k,n
, 1 k n, the k
th
or-
der statistic based on a sample X
1
, X
2
, . . ., X
n
. The joint pd f of order statistics
X
1,n
, X
2,n
, . . ., X
n,n
has the form
f
1,2,...,n:n
(x
1
, x
2
, . . . , x
n
)
=
_
n!
n
k=1
f (x
k
), < x
1
< x
2
< < x
n
< ,
0, otherwise.
(2.1.1)
Let f
k:n
denote the pd f of X
k,n
. From (2.1.1) we have
f
k:n
(x)
=

. . .
f
1,2,...,n:n
(x
1
, . . ., x
k1
, x, x
k+1
, . . . , x
n
)dx
1
dx
k1
dx
k+1
dx
n
= n! f (x)

. . .
k1
j=1
f (x
j
)
n
j=k+1
f (x
j
)dx
1
dx
k1
dx
k+1
dx
n
, (2.1.2)
where the integration is over the domain
< x
1
< < x
k1
< x
k+1
< < x
n
<.
The symmetry of

k1
j=1
f (x
j
) with respect to x
1
, . . ., x
k1
and that of

n
j=k+1
f
(x
j
) with respect to x
k+1
, . . ., x
n
help us to evaluate the integral on the RHS of
(2.1.2) as follows:

. . .
k1
j=1
f (x
j
)
n
j=k+1
f (x
j
)dx
1
dx
k1
dx
k+1
dx
n
=
1
(k 1)!
k1
j=1
f (x
j
)dx
j
1
(nk)!
n
j=k+1

x
f (x
j
)dx
j
= (F(x))
k1
(1F (x))
nk
/(k 1)! (nk)!. (2.1.3)
Combining (2.1.2) and (2.1.3), we arrive at
f
k:n
(x) =
n!
(k 1)! (nk)!
(F(x))
k1
(1F (x))
nk
f (x). (2.1.4)
Clearly, equality (2.1.3) immediately follows from the corresponding formula
for cd f
s of single order statistics, but the technique, which we used to arrive at

(2.1.3), is applicable for more complicated situations. The following exercise
can illustrate this statement.
The joint pd f f
k(1),k(2),...,k(r):n
(x
1
, x
2
, . . . , x
r
) of order statistics X
k(1),n
,
X
k(2),n
, . . . ,
X
k(r),n
, where 1 k(1) < k(2) < < k(r) n, is given by
f
k(1),k(2),...,k(r):n
(x
1
, x
2
, . . . , x
r
)
=
n!
r+1
j=1
(k( j)k( j 1) 1)!
r+1
j=1
(F (x
j
) F (x
j1
))
k( j)k(j1)1
r
j=1
f (x
j
),
if x
1
< x
2
< < x
r
,
and = 0, otherwise.
In particular, if r = 2, 1 i < j n, and x
1
< x
2
, then
f
i, j:n
(x
1
, x
2
) =
n!
(i 1)! ( j i 1)! (n j)!
(F(x
1
))
i1
[F (x
2
) F (x
1
)]
ji1
[1F (x
2
)]
nj
f (x
1
) f (x
2
).
Order Statistics 13
The conditional pd f of X
j,n
given X
i,n
= x
1
is
f
j|i,n
(x
2
|x
1
)
=
(ni)!
( j i 1)! (n j)!
_
F(x
2
) F (x
1
)
1F (x
1
)
_
ji1
_
1F (x
2
)
1F (x
1
)
_
nj
f (x
2
)
1F (x
1
)
.
Thus, X
j,n
given X
i,n
= x
1
is the ( j i)
th
order statistic in a sample of ni from
truncated distribution with cd f F
c
(x
2
|x
1
) =
F(x
2
)F(x
1
)
1F(x
1
)
. For F (x) = 1 e
x
,
x 0, we will have F
c
(x
2
|x
1
) = 1e
(x
2
x
1
)
, x
2
x
1
.
If X E(1) and Z
1,n
Z
2,n
Z
n,n
are the n order statistics corre-
sponding to a sample of size n from X, then it can be shown that the joint pd f
of Z
1,n
, Z
2,n
, . . . , Z
n,n
is
f
1,2,...,n
(z
1
, z
2
, . . ., z
n
) =
_
n!e
(
n
i=1
z
i
)
, 0 z
1
z
2
z
n
<,
0, otherwise.
Using the transformation W
i
= (ni +1) (Z
i,n
Z
i1,n
), i = 1, 2, . . ., n with
Z
0,n
= 0, we obtain the joint pd f of W
1
, W
2
, . . . ,W
n
as
f
1,2,...,n
(w
1
, w
2
, . . . , w
n
) =
_
e
(
n
i=1
w
i
)
, 0 w
i
< , i = 1, 2, . . ., n,
0, otherwise.
Thus, W
1
, W
2
, . . . ,W
n
are i.i.d. exponential with cd f F (w) = 1e
w
, w 0.
Hence we can write
Z
k,n
d
=
W
1
n
+
W
2
n1
+ +
W
k
nk +1
, k = 1, 2, . . ., n, (2.1.5)
where W
i
s are i.i.d. with cd f F (x) = 1e
x
, x 0.
Clearly, nX
1,n
d
= X E(1). Since E[W
i
] = 1, Var [W
i
] = 1, from (2.1.5) it
follows that
E[Z
k,n
] =
k
i=1
E
_
W
i
ni +1
_
=
k
i=1
1
ni +1
,
Var [Z
k,n
] =
k
i=1
Var
_
W
i
ni +1
_
=
k
i=1
1
(ni +1)
2
, 1 k n,
and
Cov(Z
k,n
, Z
s,n
) =
k
i=1
Var
_
W
i
ni +1
_
=
k
i=1
1
(ni +1)
2
, k s.
Furthermore, letting
k
i,n
=E
_
X
k
i,n
_
, k 1, n 1, then we have the following
theorems (see, Joshi, (1978)).
Theorem 2.1.1.
k
1,n
=
k
n
k1
1,n
, k 1, n 1.
Proof.
k
1,n
=

0
x
k
ne
nx
dx = x
k
e
nx
|
0
+

0
kx
k1
e
nx
dx =
k
n
k1
1,n
.
Theorem 2.1.2.
k
i,n
=
k
i1,n1
+
k
n
k1
i,n
, k 1, 2 i n.
Proof. For k 1 and 2 i n,
k1
i,n
=
n!
(i 1)! (ni)!

0
x
k1
_
1e
x
_
i1
e
(ni+1)x
dx.
Integrating by parts, we obtain
k1
i,n
=
n!
(i 1)! (ni)!k
[

0
(ni +1) x
k
_
1e
x
_
i1
e
(ni+1)x
dx

0
(i 1)x
k
_
1e
x
_
i2
e
(ni+2)x
dx]
=
n!
(i 1)! (ni)!k
[n

0
x
k
_
1e
x
_
i1
e
(ni+1)x
dx
(i 1)

0
x
k
_
1e
x
_
i2
e
(ni+1)x
dx]
=
n
k
k
i,n
n
k
k
i1,n1
.
Thus,
k
i,n
=
k
i1,n1
+
k
n
k1
i,n
.
Order Statistics 15
Theorem 2.1.3. Let
i, j,n
= E[X
i,n
X
j,n
], 1 i < j n, then
i,i+1,n
=
2
i,n
+
1
ni
i,n
, 1 i n1,
and
i, j,n
=
i1, j,n
+
1
n j +1
i, j1,n
, 1 i < j n, j i 2.
Proof.
i,n
= E
_
X
i,n
X
0
i+1,n
=
n!
(i 1)! (ni +1)!

x
i
x
i
_
1e
x
i
_
i1
e
x
i
e
(ni)x
i+1
dx
i+1
dx
i
=
n!
(i 1)! (ni +1)!

0
x
i
_
1e
x
i
_
i1
e
x
i
I
x
i
dx
i
,
where
I
x
i
=

x
i
e
(ni)x
i+1
dx
i+1
= x
i+1
e
(ni)x
i+1
|
x
i
+(ni)

x
i
x
i+1
e
(ni)x
i+1
dx
i+1
.
Thus,
i,n
=
n! (ni)
(i 1)! (ni +1)!

x
i
x
i
x
i+1
_
1e
x
i
_
i1
e
x
i
e
(ni)x
i+1
dx
i+1
dx
i
n!
(i 1)! (ni +1)!

0
x
2
i
_
1e
x
i
_
i1
e
(ni+1)x
i
dx
i
= (ni)
i,i+1,n
(ni)
2
i,n
.
Upon simplication, we obtain
i,i+1,n
=
2
i,n
+
1
ni
i,n
, 1 i n1.
For j > i +1,
i, j1,n
= E
_
X
i,n
X
0
j1,n
n!
(i 1)! ( j i 1)! (ni +1)!

x
i
x
i
_
1e
x
i
_
i1
(e
x
i
e
x
j
)
ji1
e
x
i
e
(nj+1)x
j
dx
j
dx
i
=
n!
(i 1)! (ni 1)! (n j)!

0
x
i
_
1e
x
i
_
i1
e
x
i
J
x
i
dx
i
,
where
J
x
i
=

x
i
(e
x
i
e
x
j
)
ji1
e
(nj+1)x
j
dx
j
= (n j +1)

x
i
x
j
(e
x
i
e
x
j
)
ji1
e
(nj+1)x
j
dx
j
( j i 1)

x
i
(e
x
i
e
x
j
)
ji2
e
(nj+2)x
j
dx
j
.
Thus,
i, j1,n
=
n!
(i 1)! ( j i 1)! (n j)!

0
x
i
_
1e
x
i
_
i1
e
x
i
[(n j +1)

x
i
x
j
(e
x
i
e
x
j
)
ji1
e
(nj+1)x
j
dx
j
( j i 1)

x
i
(e
x
i
e
x
j
)
ji2
e
(nj+2)x
j
dx
j
]dx
i
= (n j +1)
i, j,n
(n j +1)
i1, j,n
.
Upon simplication, we arrive at
i, j,n
=
i1, j,n
+
1
n j +1
i, j1,n
, 1 i < j n, j i 2.
The relation, in this case, to uniform rv is interesting. If we let U be a
uniformly distributed rv on (0, 1) and U
i,n
is the i
th
order statistic from U, then
it can be shown that
X
i,n
d
=lnU
ni+1,n
or equivalently X
i,n
d
=ln(1U
i,n
).
Let
f
1,...,r1,r+1,...,n|r
(x
1
, . . ., x
r1
, x
r+1
, . . . , x
n
|v)
denote the joint conditional pd f of order statistics X
1,n
, . . ., X
r1,n
,
X
r+1,n
, . . ., X
n,n
given that X
r,n
= v. We suppose that f
r:n
(v) > 0 for this value of
Order Statistics 17
v, where f
r:n
,as usual, denotes the pd f of X
r,n
. The standard procedure gives us
the required pd f :
f
1,...,r1,r+1,...,n|r
(x
1
, . . . , x
r1
, x
r+1
, . . ., x
n
|v)
= f
1,2,...,n:n
(x
1
, . . . , x
r1
, v, x
r+1
, . . . , x
n
)/ f
r:n
(v). (2.1.6)
Upon substituting (2.1.1) and (2.1.4) in (2.1.6), we obtain
f
1,...,r1,r+1,...,n|r
(x
1
, . . . , x
r1
, x
r+1
, . . ., x
n
|v)
= (r 1)!
r1
j=1
f (x
j
)
F(v)
(n j)!
n
j=r+1
f (x
j
)
1F (v)
,
x
1
< < x
r1
< x
r+1
< < x
n
, (2.1.7)
and equal zero otherwise.
Finally, we would like to present Fishers Information, I, for the order statis-
tics from E(). Fishers Information for a continuous random variable X with
pd f f (x, ) and parameter , under certain regularity conditions, is given by
I =E
_

2
2
ln( f (X, ))
_
.
The exponential distribution E () satises the regularity conditions and the
Fishers Information for order statistics from this distribution are as follows:
For X
1,n
,
I
1
= E
_

2
2
ln
_
ne
nX
_
_
=
1
2
.
For X
2,n
,
I
2
= E
_

2
2
ln{n(n1)(1e
X
)e
(n1)X
}
_
= E
_
1
2
+
X
2
e
X
(1e
X
)
2
_
=

0
_
1
2
+
x
2
e
x
(1e
x
)
2
_
n(n1)(1e
x
)e
(n1)x
dx
=
1
2
+

0
n(n1)
x
2
1e
x
e
nx
dx
=
1
2
+
2n(n1)
k=0
1
(n+k)
3
.
For X
r,n
, r > 2,
I
r
= E
_

2
2
ln
_
n!
(r 1)!(nr)!
(1e
X
)
r1
e
(nr+1)X
__
= E
_
1
2
+
(r 1)X
2
e
X
(1e
X
)
2
_
=

0
_
1
2
+
(r 1)X
2
e
X
(1e
X
)
2
_
n!
(r 1)!(nr)!
(1e
x
)
r1
e
(nr+1)x
dx
=
1
2
+
n!
(r 2)!(nr)!

0
x
2
(1e
x
)
r3
e
(nr+2)x
dx
=
1
2
+
n(nr +1)
(r 2)

(n1)!
(r 3)!(nr +1)!

0
x
2
(1e
x
)
r3
e
(nr+2)x
dx
=
1
2
+
n(nr +1)
(r 2)
2
E[X
2
r2,n
]
=
1
2
_
1+
n(nr +1)
(r 2)
_
r3
k=0
1
(nk)
2
+(
r3
k=0
1
nk
)
2
__
.
2.2. Minimum Variance Linear Unbiased Estimators
Based on Order Statistics
We will use MVLUEs for minimum variance linear unbiased estimators. Let us
begin from MVLUEs of location and scale parameters. Suppose that X has an
absolutely continuous cd f F of the form
F
_
(x)
_
, < < , > 0.
Order Statistics 19
Further, assume that
E[X
r,n
] = +
r
, r = 1, 2, . . ., n,
Var [X
r,n
] = v
rr
2
, r = 1, 2, . . ., n,
Cov(X
r,n
, X
s,n
) =Cov(X
s,n
, X
r,n
) = v
rs
2
, 1 r < s n.
Let
XXX
= (X
1,n
, X
2,n
, . . ., X
n,n
).
We can write
E [XXX] = 111+++, (2.2.1)
where
111 = (1, 1, . . ., 1)
,
= (
1
,
2
, . . . ,
n
)
,
and
Var (XXX) =
2
,
where
is a matrix with elements v

rs
, 1 r s n.
Then the MVLUEs of the location and scale parameters and are
=
1
1
(111
111
1
_
X, (2.2.2)
and
=
1
_
111
1
(111
1
_
X, (2.2.3)
where
=
_
_
_
111
111
_
1
111
_
2
.
The variances and covariance of these estimators are given by
Var ( ) =

2
_
, (2.2.4)
Var ( ) =

2
_
111
1
111
_
, (2.2.5)
and
Cov( , ) =
2
_
1
111
_
. (2.2.6)
The following lemma (see Garybill, 1983, p. 198) will be useful in nding
the inverse of the covariance matrix.
Lemma 2.2.1. Let
= (
rs
) be an nn matrix with elements, which satisfy
the relation
rs
=
sr
= c
r
d
s
, 1 r, s n,
for some positive numbers c
1
, c
2
, . . ., c
n
and d
1
, d
2
, . . ., d
n
. Then its inverse
1
= (
rs
) has elements given as follows:
11
= c
2
/c
1
(c
2
d
1
c
1
d
2
),
nn
= d
n1
/d
n
(c
n
d
n1
c
n1
d
n
),
k+1k
=
kk+1
= 1/(c
k+1
d
k
c
k
d
k+1
),
kk
= (c
k+1
d
k1
c
k1
d
k+1
)/(c
k
d
k1
c
k1
d
k
)(c
k+1
d
k
c
k
d
k+1
),
k = 2, 3, . . ., n1,
and
i j
= 0, if |i j| > 1.
Let
f (x) =
_
_
1
_
exp((x) /), < < x < , 0 < <,
0, otherwise.
We have seen that
E[X
r,n
] = +
r
j=1
1
n j +1
Var [X
r,n
] =
2
r
j=1
1
(n j +1)
2
, r = 1, 2, . . ., n,
and
Cov(X
r,n
, X
s,n
) =
2
r
j=1
1
(n j +1)
2
, 1 r s n.
Order Statistics 21
One can write that
Cov(X
r,n
, X
s,n
) =
2
c
r
d
s
, 1 r s n,
where
c
r
=
r
j=1
1
(n j +1)
2
, 1 r n,
and
d
s
= 1, 1 s n.
Using Lemma 2.2.1, we obtain
j j
= (n j)
2
+(n j +1)
2
, j = 1, 2, . . ., n,
j+1 j
=
j j+1
= (n j)
2
, j = 1, 2, . . ., n1,
and
i j
= 0, if |i j| > 1, i, j = 1, 2, . . ., n.
It can easily be shown that
111
1
=
_
n
2
, 0, 0, . . ., 0
_
,
1
= (1, 1, . . ., 1)
and
= n
2
(n1).
The MVLUEs of the location and scale parameters and are respectively
=
nX
1,n
X
n1
, (2.2.7)
and
=
n
_
X X
1,n
_
n1
, (2.2.8)
where X =

n
r=1
X
r,n
n
.
The corresponding variances and covariance of the estimators are
Var [ ] =

2
n(n1)
, (2.2.9)
Var [ ] =

2
n1
, (2.2.10)
and
Cov( , ) =

2
n(n1)
. (2.2.11)
The remainder of this section will be devoted to MVLUEs based on cen-
sored samples. We consider the case, when some smallest and largest obser-
vations are missing. In this situation we construct the MVLUEs for location
and scale parameters. Suppose now that the smallest r
1
and largest r
2
of these
observations are lost and we can deal with order statistics
X
r
1
+1,n
X
nr
2
,n
.
We will consider here the MVLUEs of the location and scale parameters
based on X
r
1
+1,n
, . . . , X
nr
2
,n
.
Suppose that X has an absolutely continuous cd f F of the form
F((x)/), < < , > 0.
Further, we assume that
E[X
r,n
] = +
r
,
Var [X
r,n
] = v
rr
2
, r
1
+1 r nr
2
,
Cov(X
r,n
, X
s,n
) = v
rs
2
, r
1
+1 r, s nr
2
.
Let XXX
= (X
r
1
+1,n
, . . . , X
nr
2
,n
), then we can write
E
_
XXX
= 111+++,
with 111 === (1, 1, . . ., 1)
, === (
r
1
+1
, . . .,
nr
2
)
, and
Var
_
XXX
=
2
,
where

is an (nr
2
r
1
) (nr
2
r
1
) matrix with elements v
rs
, r
1
< r, s
nr
2
.
The MVLUEs of the location and scale parameters and based on the
order statistics XXX
are
=
1
1
(111
111
1
_
X, (2.2.12)
Order Statistics 23
and
=
1
_
111
1
(111
1
_
X, (2.2.13)
where
=
_
__
111
1
111
_
1
111
_
2
.
The variances and covariance of these estimators are given as
Var
_
=

2
_
, (2.2.14)
Var
_

=

2
_
111
1
111
_
, (2.2.15)
and
Cov
_
_
=
2
_
1
111
_
. (2.2.16)
Now, we consider the exponential distribution with cd f F as
F(x) = 1exp{(x)/}, < < x < , 0 < <.
Assume that the smallest r
1
and the largest r
2
observations are missing. Then
the MVLUEs of and , based on the order statistics X
r
1
+1,n
, . . . , X
nr
2
,n
, are
=
1
nr
2
r
1
1
_
nr
2
j=r
1
+1
X
j,n
(nr
1
)X
r
1
+1,n
+r
2
X
nr
2
,n
_
, (2.2.17)
= X
r
1
+1,n
r
1
+1

, (2.2.18)
where
r
1
+1
=
1
E[X
r
1
+1,n
] =
r
1
+1
j=1
1
n j +1
.
If r
1
= r
2
= 0, then (2.2.17) and (2.2.18) coincide with (2.2.8) and (2.2.7)
respectively. The variances and covariance of the estimators are:
Var
_
=
2
_

2
r
1
+1
nr
2
r
1
1
+
r
1
+1
j=1
1
(n j +1)
2
_
,
Var
_

=

2
nr
2
r
1
1
,
and
Cov
_

_
=

r
1
+1
2
nr
2
r
1
1
.
Sarhan and Greenberg (1967) prepared tables of the coefcients, Best Linear
Unbiased Estimators (BLUEs), variances and covariances of these estimators
for n up to 10.
2.3. Minimum Variance Linear Unbiased Predictors
(MVLUPs)
Suppose that X
1,n
, X
2,n
, . . . , X
r,n
are r (r < n) order statistics from a distribution
with location and scale parameters and respectively. Then the best (in the
sense of minimum variance) linear predictor

X
s,n
of X
s,n
(r < s n) is given by
X
s,n
= +
s
+WWW
s
VVV
1
(XXX 111 ),
where and are MVLUEs of and respectively, based on
XXX
= (X
1,n
, X
2,n
, . . . , X
r,n
),
s
= E [(X
s,n
)/] ,
and
WWW
s
= (W
1s
,W
2s
, . . .,W
rs
),
where
W
js
=Cov(X
j,n
, X
s,n
), j = 1, 2, . . ., r.
Here VVV
1
is the inverse of the covariance matrix of XXX
.
Suppose that for the exponential distribution with cd f
F(x) = 1exp{(x)/}, < < x < , 0 < <,
all the observations were available. We recall that
E[X
r,n
] = +
r
j=1
1
n j +1
,
Var [X
r,n
] =
2
r
j=1
1
(n j +1)
2
, r = 1, 2, . . ., n,
Order Statistics 25
and
Cov(X
r,n
, X
s,n
) =
2
r
j=1
1
(n j +1)
2
, 1 r s n.
To obtain MVLUEs for the case, when r
1
+r
2
observations are lost, we
need to deal with the covariance matrix

of size (nr
1
r
2
) (nr
1
r
2
),
elements of which coincide with
Cov(X
r,n
, X
s,n
) =
2
c
r
d
s
, r
1
+1 r s nr
2
,
where
c
r
=
r
j=1
1
(n j +1)
2
,
and
d
s
= 1.
We can obtain the inverse matrix

1
using Lemma 2.2.1 as
1
=
_
_
(nr
1
1)
2
+1/c
r
1
+1
(nr
1
1)
2
. . . 0
(nr
1
1)
2
(nr
1
2)
2
+(nr
1
1)
2
. . . 0
0 (nr
1
2)
2
. . . 0
0 0 . . . 0
.
.
.
.
.
. . . . 0
0 0 . . . (r
2
+1)
2
0 0 . . . (r
2
+1)
2
_
_
,
where
11
= (nr
1
1)
2
+1/c
r
1
+1
,
nr
1
r
2
nr
1
r
2
= (r
2
+1)
2
,
j j
= (nr
1
j)
2
+(nr
1
j +1)
2
, j = 2, 3, . . ., nr
1
r
2
1,
j+1 j
=
j j+1
=(nr
1
j)
2
, j = 1, 2, . . ., nr
1
r
2
1,
and
i j
= 0, for |i j| > 1, i, j = 1, 2, . . ., nr
1
r
2
.
Note also that we have
=== (
r
1
+1
, . . .,
nr
2
)
,
where
r
= E[(X
r,n
)/] =
r
j=1
1
n j +1
.
Simple calculations show that
1
=
_
r
1
+1
c
r
1
+1
(nr
1
1), 1, 1, . . ., 1, r
2
+1
_
,
1
===

2
r
1
+1
c
r
1
+1
+(nr
1
r
2
1),
1
111 =
r
1
+1
/c
r
1
+1
,
111
1
111 = 1/c
r
1
+1
,
111
1
===
r
1
+1
/c
r
1
+1
,
111
1
111
1
=
1
c
r
1
+1
_
r
1
+1
c
r
1
+1
(nr
1
1), 1, 1, . . ., r
2
+1
_
,
111
1
111
1
=
1
c
r
1
+1
_
r
1
+1
c
r
1
+1
, 0, 0, . . ., 0
_
,
=
_
__
111
1
111
_
1
111
_
2
= (nr
1
r
2
1)/c
r
1
+1
.
Upon simplication, we obtain
=
1
_
111
1
111
1
111
1
111
1
_
X
=
1
nr
2
r
1
1
_
nr
2
j=r
1
+1
X
j,n
(nr
1
)X
r
1
+1,n
+r
2
X
nr
2
,n
_
.
Analogously, from (2.2.12) and (2.2.14)(2.2.16) we have the necessary ex-
pressions for

, Var
_

_
, Var
_

, and Cov
_

_
.
Order Statistics 27
2.4. Limiting Distributions
Let X
1
, X
2
, . . . , X
n
be i.i.d. exponentially distributed rv
s with cd f F (x) = 1
e
x
, x 0. Then with a sequence of real numbers a
n
=lnn and b
n
= 1, we have
P(X
n,n
a
n
+b
n
x) = P(X
n,n
lnn+x) =
_
1e
(lnn+x)
_
n
=
_
1
e
x
n
_
n
e
e
x
as n .
Thus the limiting distribution of X
n,n
with the constant a
n
= lnn and b
n
= 1
when X
j
s are E(1) is type 1 extreme value distribution. The numbers a
n
and b
n
are known as normalizing constants.
Remark 2.4.1. We know that if Y has type 1 extreme value distribution,
then E[Y] = , the Euler constant. Thus E[X
n,n
] lnn , as n . But
E[X
n,n
] =

n
j=1
1
nj+1
, so we have the known result,

n
j=1
1
nj+1
lnn , as
n .
For the derivation of the limiting distribution of X
1,n
, we need the following
lemma.
Lemma 2.4.2. Let (X
n
)
n1
be a sequence of i.i.d. rv
s with cd f F. Consider
a sequence (e
n
)
n1
of real numbers. Then for any , 0 < , the following
two statements are equivalent:
(a) lim
n
(nF (e
n
)) =;
(b) lim
n
P(X
1,n
> e
n
) = e
.
Since lim
n
_
n
_
1e
x
n
__
= e
x
, if X
j
s are i.i.d. E(1), then
lim
n
P
_
X
1,n
>
x
n
_
= e
e
x
.
Thus, the limiting distribution of X
1,n
with constants c
n
= 0 and d
n
= 1/n
when X
j
s are i.i.d. E(1) is type 3 extreme value distribution. Here again the
numbers c
n
and d
n
are normalizing constants.
Let us now consider the asymptotic distribution of X
nk+1,n
for xed k as n
tends to . It is given in the following theorem.
Theorem 2.4.3. Let X
1
, X
2
, . . . , X
n
be n i.i.d. rv
s with cd f F and X
nk+1,n
be their (nk +1)
th
order statistic. If for some stabilizing constants a
n
and b
n
(a
n
+b
n
x as n ), F
n
(a
n
+b
n
x) T (x) as n , for all x, for some
distribution T (x), then
P(X
nk+1,n
a
n
+b
n
x)
k1
j=0
T (x)(lnT (x))
j
/ j! as n ,
for any xed k and all x.
Proof. Let us consider a sequence (c
n
)
n1
such that as n , c
n
c. Then
lim
n
_
1
c
n
n
_
n
=e
c
. Take c
n
(x) =n(1F (a
n
+b
n
x)). Now, for every xed
x,
P(X
nk+1,n
a
n
+b
n
x) =
n
j=nk+1
_
n
j
_
(F (a
n
+b
n
x))
j
(1F (a
n
+b
n
x))
nj
=
k1
j=0
_
n
j
_
(c
n
(x)/n)
j
(1c
n
(x)/n)
nj
.
Thus, for each xed x, the RHS of the above equality can be considered as
the value of a binomial cd f with parameters n and c
n
(x)/n at k 1. Since
F
n
(a
n
+b
n
x) T (x), as n , we have
nln[1(1F (a
n
+b
n
x))] T (x), as n .
Thus, for sufciently large n, we have
nln[1(1F (a
n
+b
n
x))]
=n(1F (a
n
+b
n
x))
=c
n
(x) T (x), as n ,
from which we obtain lim
n
c
n
(x) = T (x) uniformly in x. Now, using Pois-
son approximation to binomial, we arrive at
P(X
nk+1,n
a
n
+b
n
x)
k1
j=0
T (x)(lnT (x))/ j!, as n , for all x.
Order Statistics 29
For the special case of i.i.d. E(1) rv
s with a
n
= lnn and b
n
= 1, we have
F
n
(a
n
+b
n
x) e
e
x
, as n , for all x 0. We will then have
P(X
nk+1,n
a
n
+b
n
x)
k1
j=0
e
jx
j!
e
e
x
, as n , for all x 0.
The asymptotic distribution of X
k,n
for xed k as n is given by the
following theorem whose proof is similar to that of Theorem 2.4.3 and hence
will be omitted.
1
, X
2
, . . ., X
n
be n i.i.d. rv
s with cd f F and X
k,n
be their k
th
order statistic. If for some stabilizing constants a
n
and b
n
(a
n
+b
n
x 0 as n ), F
n
(a
n
+b
n
x) G(x), as n , for all x, for some
distribution G(x), then
P(X
k,n
> a
n
+b
n
x)
k1
j=0
G(x)
_
lnG(x)
_
j
j!
, as n , for any xed k and all x.
Again, for the special case of i.i.d. E(1) rv
s with a
n
= 0 and b
n
= 1/n,
we have F
n
(a
n
+b
n
x) e
x
as n . But, in this case F
n
_
0+
1
n
x
_
= e
x
for
all n, and hence we will have
P(X
k,n
> a
n
+b
n
x) =
k1
j=0
G(x)
_
lnG(x)
_
j
j!
=
k1
j=0
e
x
x
j
j!
, for all x and all n.
Chapter 3
Record Values
3.1. Denitions of Record Values and Record Times
Suppose that (X
n
)
n1
is a sequence of i.i.d. rv
s with cd f F. Let Y
n
=
max(min){X
j
|1 j n} for n 1. We say X
j
is an upper (lower) record
value of {X
n
|n 1}, if X
j
> (<)Y
j1
, j > 1. By denition X
1
is an upper
as well as a lower record value. One can transform the upper records to
lower records by replacing the original sequence of (X
n
)
n1
by (X
n
)
n1
or
(if P(X
n
> 0) = 1 for all n) by (1/X
n
)
n1
; the lower record values of this se-
quence will correspond to the upper record values of the original sequence.
The indices at which the upper record values occur are
given by the record times {U (n), n 1}, where U (n) =
min
_
j| j >U(n1), X
j
> X
U(n1)
, n > 1
_
and U (1) = 1. The record times
of the sequence (X
n
)
n1
are the same as those for the sequence (F (X
n
))
n1
.
Since F (X) has a uniform distribution for rv X, it follows that the distribution
of U (n), n 1 does not depend on F. We will denote L(n) as the indices
where the lower record values occur. By our assumption U (1) = L(1) = 1.
The distribution of L(n) also does not depend on F.
3.2. The Exact Distribution of Record Values
Many properties of the record value sequence can be expressed in terms of the
function R(x) =lnF (x), 0 <F (x) <1. If we dene F
n
(x) as the cd f of X
U(n)
for n 1, then we have
F
1
(x) = P
_
X
U(1)
x
_
= F (x),
F
2
(x) = P
_
X
U(2)
x
_
=
j=1
(F (u))
j1
dF (u)dF(y)
=
dF(u)
1F (u)
dF (y) =
R(y)dF (y),
(3.2.1)
where R(x) =ln(1F (x)), 0 < F (x) < 1.
If F has a pd f f , then the pd f of X
U(2)
is
f
2
(x) = R(x) f (x). (3.2.2)
The cd f
F
3
(x) = P
_
X
U(3)
x
_
=
j=0
(F (u))
j
R(u)dF(u)dF (y)
=
R(u)
1F (u)
dF (u)dF (y) =
(R(u))
2
2!
dF (u). (3.2.3)
The pd f f
3
of X
U(3)
is
f
3
(x) =
(R(x))
2
2!
f (x). (3.2.4)
It can similarly be shown that the cd f F
n
of X
U(n)
is
F
n
(x) =
(R(u))
n1
(n1)!
dF(u), < x < . (3.2.5)
This can be expressed as
F
n
(x) =
R(x)
u
n1
(n1)!
e
u
du, < x < ,
and
F
n
(x) = 1F
n
(x) = F (x)
n1
j=0
(R(x))
j
j!
= e
R(x)
n1
j=0
(R(x))
j
j!
.
Record Values 33
The pd f f
n
of X
U(n)
is
f
n
(x) =
(R(x))
n1
(n1)!
f (x), < x < . (3.2.6)
Note that F
n
(x) F
n1
(x) =
F(x)
f (x)
f
n
(x), and for E(), F
n
(x) F
n1
(x) =
n1
x
n1
(n)
e
x
.
A rv X is said to be symmetric about zero if X and X have the same
distribution function. If f is their pd f , then f (x) = f (x) for all x. Two
rv
s X and Y with cd f
s F and G are said to be mutually symmetric if F (x) =

1 G(x) for all x, or equivalently if their corresponding pd f
s f and g exist,
then f (x) = g(x) for all x. If a sequence of i.i.d. rv
s are symmetric about

zero, then they are also mutually symmetric about zero but not conversely. It is
easy to show that for a symmetric or mutually symmetric (about zero) sequence
(X
n
)
n1
of i.i.d. rv
s, X
U(n)
and X
L(n)
are identically distributed.
The joint pd f f (x
1
, x
2
, . . . , x
n
) of the n record values X
U(1)
, X
U(2)
, . . . , X
U(n)
is given by
f (x
1
, x
2
, . . ., x
n
)
=
n1
j=1
r (x
j
) f (x
n
), < x
1
< x
2
< < x
n1
< x
n
< , (3.2.7)
where, as before,
r (x) =
d
dx
R(x) =
f (x)
1F (x)
, 0 < F(x) < 1.
The joint pd f of X
U(i)
and X
U( j)
is
f
i j
(x
i
, x
j
) =
(R(x
i
))
i1
(i 1)!
r (x
i
)
[R(x
j
) R(x
i
)]
ji1
( j i 1)!
f (x
j
),
for < x
i
< x
j
< . (3.2.8)
In particular, for i = 1 and j = n we have
f
1n
(x
1
, x
n
) = r (x
1
)
[R(x
n
) R(x
1
)]
n2
(n2)!
f (x
n
), for < x
1
< x
n
< .
U( j)
|X
U(i)
= x
i
is
f (x
j
|x
i
) =
f
i j
(x
i
, x
j
)
f
i
(x
i
)
=
[R(x
j
) R(x
i
)]
ji1
( j i 1)!

f (x
j
)
1F (x
i
)
, for < x
i
< x
j
< . (3.2.9)
For j = i +1
f (x
i+1
|x
i
) =
f (x
i+1
)
1F (x
i
)
, for < x
i
< x
i+1
<. (3.2.10)
For i > 0, 1 k < m, the joint conditional pd f of X
U(i+k)
and X
U(i+m)
given
X
U(i)
is
f
(i+k)(i+m)
_
x, y|X
U(i)
= z
_
=
1
(mk)
1
(k)
[R(y) R(x)]
mk1
[R(x) R(z)]
k1
f (y)r (x)
F (z)
,
for < z < x < y <.
The marginal pd f of the n
th
lower record value can be derived by using the
same procedure as that of the n
th
upper record value. Let H(u) = lnF (u),
0 < F (u) < 1 and h(u) =
d
du
H(u), then
P
_
X
L(n)
x
_
=
(H(u))
n1
(n1)!
dF(u), (3.2.11)
and corresponding pd f f
(n)
can be written as
f
(n)
(x) =
(H(x))
n1
(n1)!
f (x). (3.2.12)
The joint pd f of X
L(1)
, X
L(2)
, . . . , X
L(m)
can be written as
f
(1)(2)...(m)
(x
1
, x
2
, . . . , x
m
)
=
_
m1
j=1
h(x
j
) f (x
m
), < x
m
< x
m1
< < x
1
<,
0, otherwise.
(3.2.13)
Record Values 35
The joint pd f of X
L(i)
and X
L( j)
is
f
(i)( j)
(x, y) =
(H(x))
i1
(i 1)!

[H(y) H (x)]
ji1
( j i 1)!
h(x) f (y),
j > i and < y < x <. (3.2.14)
Using the transformation U = H(y) and V = H(x)/H(y) in (3.2.14), it
can easily be shown that V is distributed as B
i, ji
(x), where B
m,n
(x) =
B(m, n)x
m1
(1x)
n1
and B(m, n) is the Beta function.
Proceeding as in the case of upper record values, we can obtain the condi-
tional pd f
s of the lower record values.

We will nowconsider the exponential distributionwith pd f given, as before,
by
f (x) =
_
1
exp
_
1
(x)
_
, x ,
0, otherwise,
(3.2.15)
where and ( > 0) are parameters.
The corresponding cd f F and the hazard rate r of the rv X with pd f (3.2.15)
are respectively
F (x) = 1exp
_
1
(x)
_
, x ,
and
r (x) = f (x)/(1F (x)) =
1
. (3.2.16)
Again, as before, we will denote the ex-
ponential distribution with pd f (3.2.15) with
E(, ), the exponential distribution ( = 0, = 1/) with E(), and the
standard exponential distribution with E (1).
For E (, ),the joint pd f of X
U(m)
and X
U(n)
, m < n is
f
m,n
(x, y)
=
_

n
(m)
(x)
m1 (yx)
nm1
(nm)
exp
_
1
(y)
_
, x < y <,
0, otherwise.
(3.2.17)
It is easy to see that,in this case,
_
X
U(n)
X
U(n1)
_
and
_
X
U(m)
X
U(m1)
_
are
i.d. for 1 < m < n <.
It can be shown that X
U(m)
d
= X
U(m1)
+U, (m > 1) where U is independent
of X
U(m)
and X
U(m1)
and is identically distributed as X
1
if and only if X
1

E(). For E(1)with n 1,
P
_
X
U(n+1)
> wX
U(n)
_
=

wx
x
n1
(n)
e
y
dydx
=

0
x
n1
(n)
e
wx
dx = w
n
.
U(n)
given X
U(m)
= x is
f (y|x) =
_
mn
(yx)
nm1
(nm)
exp
_
1
(yx)
_
, x < y <,
0, otherwise.
(3.2.18)
Thus, P
__
X
U(n)
X
U(m)
_
= y|X
U(m)
= x
_
does not depend on x. It can be shown
that if = 0, then X
U(n)
X
U(m)
is identically distributed as X
U(nm)
, m < n.
We take = 0 and = 1 and let T
n
=
n
j=1
X
U( j)
. Since
T
n
= X
U(n)
X
U(n1)
+2
_
X
U(n1)
X
U(n2)
_
+
+(n1)
_
X
U(2)
X
U(1)
_
+nX
U(1)
=
n
j=1
jW
j
,
where W
j
s are i.i.d.E(1), the characteristic function of T
n
can be written as
n
(t) =
n
j=1
1
1 jt
. (3.2.19)
Inverting (3.2.19), we obtain the pd f f
T
n
of T
n
as
f
T
n
(u) =
n
j=1
1
( j)
(1)
nj
(n j +1)
e
u/ j
j
n2
. (3.2.20)
Theorem 3.2.1. Let (X
n
)
n1
s with the standard

exponential distribution. Suppose
j
=
X
U( j)
X
U( j+1)
, j = 1, 2, . . ., m1, then
s are
independent.
Record Values 37
Proof. The joint pd f of X
U(1)
, X
U(2)
, . . . , X
U(m)
is
f (x
1
, x
2
, . . ., x
m
) =
_
m1
j=1
x
j
_
e
x
m
, 0 < x
1
< x
2
< < x
m
<.
Let us now use the transformation
0
= X
U(1)
and
j
=
X
U( j)
X
U( j+1)
, j = 1, 2, . . ., m1.
The Jacobian of the transformation is
J =
_
X
U(1)
, X
U(2)
, . . ., X
U(m)
_
(
0,
1
, . . .,
m1
)
=

m1
0
m
1
m1
2
. . .
2
m1
.
We can write the pd f of
j
, j = 0, 1, . . ., m1, as
f (e
0
, e
1
, . . . , e
m1
) =

m
e
m1
0
e
m
1
e
m1
2
e
2
m1
e
(e
0
/(e
1
e
2
e
m1
))
.
Now, integrating the above expression with respect to e
0
, we obtain the joint
pd f of
j
, j = 1, 2, . . ., m1, as
f (e
1
, e
2
, . . . , e
m1
) =(m)e
2
e
m2
m1
.
Thus
j
, j = 1, 2, . . ., m1 are independent and
P(
j
x) = x
j
, 1 j m.
Since R(x) = x for the standard exponential distribution, the pd f of
j
=
X
U( j)
/X
U( j+1)
, j = 1, 2, . . ., m1 can easily be obtained.
Corollary 3.2.2. Let W
j
= (
j
)
j
, j = 1, 2, . . ., m 1, then W
j
, j =
1, 2, . . ., m1 are i.i.d. U (0, 1) (uniform over the unit interval ) random vari-
ables.
Finally, the Fishers Information for the n
th
record of E() is n/
2
.
3.3. Moments of Record Values
Without any loss of generality we will consider in this section the standard ex-
ponential distribution E(1), with pd f f (x) = exp(x), x > 0, for which we
also have f (x) = 1 F(x). We already know that X
U(n)
,in this setting, can be
written as the sum of n i.d. rv
s V
1
,V
2
, ..,V
n
with common distribution E (1).
Further, we have also seen that
E
_
X
U(n)
= n,
Var
_
X
U(n)
= n,
and
Cov
_
X
U(n)
, X
U(m)
_
= m, m < n. (3.3.1)
For m < n,
E
_
X
p
U(n)
X
q
U(m)
_
=
u
0
1
(m)
1
(nm)
u
q
e
x
v
m+p1
(uv)
nm1
dvdu.
Substituting tu = v and simplifying we get
E
_
X
p
U(n)
X
q
U(m)
_
=

0
1
(m)
1
(nm)
u
n+p+q1
e
x
t
m+p1
(1t)
nm1
dtdu
=
(m+p) (n+p+q)
(m)(n+p)
.
Using (3.2.19), it can be shown that for T
n
=

n
j=1
X
U( j)
, we have
E[T
n
] = n(n+1)/2 and Var [T
n
] = n(n+1)(2n+1)/6.
Some simple recurrence relations satised by single and product moments
of record values are given by the following theorem.
Theorem 3.3.1. For n 1 and k = 0, 1, . . .
E
_
X
k+1
U(n)
_
= E
_
X
k+1
U(n1)
_
+(k +1)E
_
X
k
U(n)
_
, (3.3.2)
Record Values 39
and consequently, for 0 m n1 we can write
E
_
X
k+1
U(n)
_
= E
_
X
k+1
U(m)
_
+(k +1)
n
j=m+1
E
_
X
k
U( j)
_
, (3.3.3)
with E
_
X
k+1
U(0)
_
= 0 and E
_
X
0
U(n)
_
= 1.
Proof. For n 1 and k = 0, 1, . . ., we have
E
_
X
k
U(n)
_
=
1
(n)

0
x
r
(R(x))
n1
f (x)dx
=
1
(n)

0
x
k
(R(x))
n1
(1F (x))dx, ( f (x) = 1F (x)).
Upon integration by parts, treating x
k
for integration and the rest of the integrand
for differentiation, we obtain
E
_
X
k
U(n)
_
=
1
(k +1)(n)
_

0
x
k1
(R(x))
n1
f (x)dx(n1)

0
x
k+1
(R(x))
n2
f (x)dx
_
=
1
k +1
_

0
x
k+1
1
(n)
(R(x))
n1
f (x)dx

0
x
k+1
1
(n1)
(R(x))
n2
f (x)dx
_
=
1
k +1
_
E
_
X
k+1
U(n)
_
E
_
X
k+1
U(n1)
__
,
which, when rewritten, gives the recurrence relation (3.3.2). Then repeated
application of (3.3.2) will derive the recurrence relation (3.3.3).
Remark 3.3.2. The recurrence relation (3.3.2) can be used in a simple way
to compute all the simple moments of all the record values. Once again, using
property that f (x) = 1 F(x), we can derive some simple recurrence relations
for the product moments of record values.
Theorem 3.3.3. For m 1 and p, q = 0, 1, 2, . . .
E
_
X
p
U(m)
X
q+1
U(m+1)
_
= E
_
X
p+q+1
U(m)
_
+(q+1)E
_
X
p
U(m)
X
q
U(m+1)
_
, (3.3.4)
and for 1 m n2, p, q = 0, 1, 2, . . .
E
_
X
p
U(m)
X
q+1
U(n)
_
= E
_
X
p
U(m)
X
q+1
U(n1)
_
+(q+1)E
_
X
p
U(m)
X
q
U(n)
_
, (3.3.5)
Proof. Let us consider 1 m < n and p, q = 0, 1, 2, . . .
E
_
X
p
U(m)
X
q
U(n)
_
=
1
(m)(nm)

0
x
p
(R(x))
m1
r (x)I (x)dx, (3.3.6)
where
I (x) =

x
y
q
[R(y) R(x)]
nm1
f (y)dy
=

x
y
q
[R(y) R(x)]
nm1
(1F (y))dy, since f (y) = 1F (y).
Upon performing integration by parts, treating y
q
for integration and the rest of
the integrand for differentiation, we obtain, when n = m+1, that
I (x) =
1
q+1
_

x
y
q+1
f (y)dyx
q+1
(1F (x))
_
,
and when n m+2, that
I (x) =
1
q+1
_

x
y
q+1
{R(y) R(x)}
nm1
f (y)dy
(nm1)

x
y
q+1
{R(y) R(x)}
nm2
f (y)dy
_
.
Substituting the above expression of I (x) in equation (3.3.6) and simplifying,
we obtain, when n = m+1 that
E
_
X
p
U(m)
X
q
U(m+1)
_
=
1
q+1
_
E
_
X
p
U(m)
X
q+1
U(m+1)
_
E
_
X
p+q+1
U(m)
__
,
E
_
X
p
U(m)
X
q
U(n)
_
=
1
q+1
_
E
_
X
p
U(m)
X
q+1
U(n)
_
E
_
X
p
U(m)
X
q+1
U(n1)
__
.
The recurrence relations (3.3.4) and (3.3.5) follow readily when the above two
equations are rewritten.
Record Values 41
Remark 3.3.4. By repeated application of the recurrence relation (3.3.5),
with the help of the relation (3.3.4), we obtain, for n m+1, that
E
_
X
p
U(m)
X
q+1
U(n)
_
= E
_
X
p+q+1
U(m)
_
+(q+1)
n
j=m+1
_
X
p
U(m)
X
q
U( j)
_
. (3.3.7)
Corollary 3.3.5. For n m+1,
Cov
_
X
U(m)
, X
U(n)
_
=Var
_
X
U(m)
.
Proof. By setting p = 1 and q = 0 in (3.3.7), we obtain
E
_
X
U(m)
X
U(n)
= E
_
X
2
U(m)
_
+(nm) E
_
X
U(m)
. (3.3.8)
Similarly, by setting p = 0 in (3.3.3), we obtain
E
_
X
U(n)
= E
_
X
U(m)
+(nm), n > m. (3.3.9)

With the help of (3.3.8) and (3.3.9), we get for n m+1
Cov
_
X
U(m)
, X
U(n)
_
= E
_
X
U(m)
X
U(n)
E
_
X
U(m)
E
_
X
U(n)
= E
_
X
2
U(m)
_
+(nm) E
_
X
U(m)
_
E
_
X
U(m)
_
2
(nm) E
_
X
U(m)
=Var
_
X
U(m)
.
Corollary 3.3.6. By repeated applicationof the recurrence relations (3.3.4)
and (3.3.5), we also obtain for m 1
E
_
X
p
U(m)
X
q+1
U(m+1)
_
=
q+1
j=0
(q+1)
( j)
E
_
X
p+q+1j
U(m)
_
,
and for 1 m n2
E
_
X
p
U(m)
X
q+1
U(n)
_
=
q+1
j=0
(q+1)
( j)
E
_
X
p
U(m)
X
q+1j
U(n1)
_
,
where
(q+1)
(0)
= 1 and (q+1)
( j)
= (q+1)q (q+1 j +1) , for j 1.
Remark 3.3.7. The recurrence relations (3.3.4) and (3.3.5) can be used in
a simple way to compute all the product moments of all record values.
Theorem 3.3.8. For m 2 and p, q = 0, 1, 2, . . .,
E
_
X
p+1
U(m1)
X
q
U(m)
_
= E
_
X
p+q+1
U(m)
_
(p+1)E
_
X
p
U(m)
X
q
U(m+1)
_
, (3.3.10)
and for 2 m n2 and p, q = 0, 1, 2, . . .,
E
_
X
p+1
U(m1)
X
q
U(n1)
_
= E
_
X
p+1
U(m)
X
q
U(n1)
_
(p+1) E
_
X
p
U(m)
X
q
U(m+1)
_
.
(3.3.11)
Proof. For 2 m n and p, q = 0, 1, 2, . . .,
E
_
X
p
U(m)
X
q
U(n)
_
=

0
x
p
y
q
f
mn
(x, y)dxdy
=
1
(m1)! (nm1)!

0
y
q
f (y)J (y)dy, (3.3.12)
where
J (y) =
y
0
x
p
{ln(1F (x))}
m1
{ln(1F (x)) +ln(1F (y))}
nm1
f (x)
1F (x)
dx
=

0
x
p
{ln(1F (x))}
m1
{ln(1F (x)) +ln(1F (y))}
nm1
dx,
since f (x) = 1 F (x). Upon integration by parts, treating x
p
for integration
and the rest of the integrand for differentiation, we obtain, for n = m+1, that
J (y) =
1
p+1
_
y
p+1
{ln(1F (y))}
m+1
_
(m1)
y
0
x
p+1
{ln(1F (x))}
m2
f (x)
1F (x)
dx,
Record Values 43
J (y) =
1
p+1
[(nm1)
y
0
x
p+1
{ln(1F (x))}
m1
f (x)
1F (x)
{ln(1F (y)) +ln(1F (x))}
nm2
dx
(m1)
y
0
x
p+1
{ln(1F (x))}
m2
f (x)
1F (x)
{ln(1F (y)) +ln(1F (x))}
m2
dx].
Now, substituting the above expression of J (y) in equation (3.3.12) and simpli-
fying, we obtain, for n = m+1, that
E
_
X
p
U(m)
X
q
U(n)
_
=
1
p+1
_
E
_
X
p+q+1
U(m)
_
E
_
X
p+1
U(m1)
X
q
U(m)
__
,
and for n m+2 that
E
_
X
p
U(m)
X
q
U(n)
_
=
1
p+1
_
E
_
X
p+1
U(m)
X
q
U(n)
_
E
_
X
p+1
U(m1)
X
q
U(n1)
__
.
The recurrence relations (3.3.10) and (3.3.11) follow readily when the above
two equations are rewritten.
Corollary 3.3.9. By repeated application of the recurrence relation
(3.3.11), with the help of (3.3.10), we obtain for 2 m n 1 and p,
q = 0, 1, 2, . . .
E
_
X
p+1
U(m1)
X
q
U(n1)
_
= E
_
X
p+q+1
U(n1)
_
(p+1)
n1
j=m
E
_
X
p
U( j)
X
q
U(n)
_
.
Corollary 3.3.10. By repeated application of the recurrence relations
(3.3.10) and (3.3.11), we also obtain for m 2 that
E
_
X
p+1
U(m1)
X
q
U(m)
_
=
p+1
j=0
(1)
j
(p+1)
( j)
E
_
X
p+q+1j
U(m+j)
_
,
and for 2 m n2 that
E
_
X
p+1
U(m1)
X
q
U(n1)
_
=
p+1
j=0
(1)
j
(p+1)
( j)
E
_
X
p+1j
U(mj)
X
q
U(n+1j)
_
,
where (1+p)
( j)
is as dened earlier.
It is also important to mention here that this approach can easily be adopted
to derive recurrence relations for product moments involving more than two
record values.
3.4. Estimation of Parameters
We shall consider here the linear estimations of and .
(a) Minimum Variance Linear Unbiased Estimator (MVLUE)
Suppose X
U(1)
, X
U(2)
, . . ., X
U(m)
are the m record values from an i.i.d. se-
quence of rv
s with common cd f E (, ). Let Y

i
=
1
_
X
U(i)
_
, i =
1, 2, . . ., m. Then
E[Y
i
] = i =Var [Y
i
] , i = 1, 2, . . ., m,
and
Cov(Y
i
,Y
j
) = min{i, j}.
Let
XXX =
_
X
U(1)
, X
U(2)
, . . . , X
U(m)
_
,
then
E[XXX] = LLL+,
Var [XXX] =
2
VVV,
where
LLL = (1, 1, . . ., 1)
, = (1, 2, . . ., m)
,
VVV = (V
i j
), V
i j
= min{i, j}, i, j = 1, 2, . . ., m.
The inverse VVV
1
=
_
V
i j
_
can be expressed as
V
i j
=
_
_
2 if i = j = 1, 2, . . ., m1,
1 if i = j = m,
1 if |i j| = 1, i, j = 1, 2, . . ., m,
0, otherwise.
Record Values 45
The MLVLUEs , of and respectively are
=
VVV
1
_
LLL
LLL
_
VVV
1
XXX///,
= LLL
VVV
1
_
LLL
LLL
_
VVV
1
XXX///,
where
=
_
L
VVV
1
L
__
VVV
1
_
LLL
VVV
1
_
2
,
and
Var [ ] =
2
LLL
VVV
1
///,
Var [ ] =
2
LLL
VVV
1
LLL///,
Cov( , ) =
2
LLL
VVV
1
///.
It can be shown that
LLL
VVV
1
= (1, 0, 0, . . ., 0),
VVV
1
= (0, 0, . . ., 0, 1),
VVV
1
= m and = m1.
Upon simplication we get
=
_
mX
U(1)
X
U(m)
_
/(m1),
=
_
X
U(m)
X
U(1)
_
/(m1),
(3.4.1)
with
Var [ ] = m
2
/(m1), Var [ ] =
2
/(m1) and
Cov( , ) =
2
/(m1). (3.4.2)
(b) Best Linear Invariant Estimator (BLIE)
The best linear invariant (in the sense of minimum mean squared error and
invariance with respect to the location parameter ) estimators, BLIEs, ,

of
and are
=
_
E
12
1+E
12
_
,
and
= /(1+E
12
),
where and are MVLUEs of and and
_
Var[ ] Cov( , )
Cov( , ) Var[ ]
_
=
2
_
E
11
E
12
E
21
E
22
_
.
The mean squared errors of these estimators are
MSE[] =
2
_
E
11
E
2
12
(1+E
22
)
1
_
,
and
MSE[
] =
2
E
22
(1+E
22
)
1
.
We have
E[()(
)] =
2
E
12
(1+E
22
)
1
.
Using the values of E
11
, E
12
and E
22
from (3.4.2), we obtain
=
_
(m+1)X
U(1)
X
U(m)
_
/m,
=
_
X
U(m)
X
U(1)
_
/m,
Var [] =
2
_
m
2
+m1
_
/m,
and
Var [
] =
2
(m1)/m
2
.
3.5. Prediction of Record Values
We will predict the s
th
upper value based on the rst m record values for s > m.
Let
WWW
= (W
1
,W
2
, . . . ,W
m
),
where
2
W
i
=Cov
_
X
U(i)
, X
U(s)
_
, i = 1, 2, . . ., m,
and
=
1
E
_
X
U(s)
.
Record Values 47
The best linear unbiased predictor of X
U(s)
is

X
U(s)
, where
X
U(s)
= +
+WWW
VVV
1
(XXX LLL ),
and are MVLUEs of and respectively. It can be shown that WWW
VVV
1
(XXX
LLL ) = 0, and hence
X
U(s)
=
_
(s 1)X
U(m)
+(ms)X
U(1)
_
/(m1), (3.5.1)
E[

X
U(s)
] = +s,
Var[
X
U(s)
] =
2
_
m+s
2
2s
_
/(m1),
MSE[

X
U(s)
] = E[(

X
U(s)
X
U(s)
)
2
] =
2
(s m)(s 1) /(m1).
Let

X
U(s)
be the best linear invariant predictor of X
U(s)
. Then it can be shown
that
X
U(s)
=

X
U(s)
C
12
(1+E
22
)
1
, (3.5.2)
where
C
12
2
=Cov
_
,
_
LLLWWW
VVV
1
LLL
_
+
_
WWW
VVV
1
_

_
and
2
E
22
=Var[ ].
Upon simplication, we get
X
U(s)
=
ms
m
X
U(1)
+
s
m
X
U(m)
,
E
_
X
U(s)
_
= +
_
ms +ms
m
_
,
Var
_
X
U(s)
_
=
2
_
m
2
+ms
2
s
2
_
/m,
MSE
_
X
U(s)
_
= MSE[

X
U(s)
] +
(s m)
2
m(m1)
2
=
s (s m)
m

2
.
It is well-known that the best (unrestricted) least square predictor of X
U(s)
is
X
U(s)
= E
_
X
U(s)
|X
U(1)
, . . . , X
U(m)
= X
U(m)
+(s m) . (3.5.3)
But

X
U(s)
depends on the unknown parameter . If we substitute the minimum
variance unbiased estimate for , then

X
U(s)
becomes equal to

X
U(s)
. Now
E[
X
U(s)
] = +s = E
_
X
U(s)
,Var[
X
U(s)
] = m
2
and
MSE[
X
U(s)
] = E[(
X
U(s)
X
U(s)
)
2
] = (s m)
2
.
We like to mention also that by considering the mean squared errors of
X
U(s)
,
X
U(s)
and

X
U(s)
, it can be shown that
MSE[
X
U(s)
] = E[(
X
U(s)
X
U(s)
)
2
] = (s m)
2
.
3.6. Limiting Distribution of Record Values
We have seen that for = 0 and = 1, E
_
X
U(n)
= n and Var
_
X
U(n)
= n.
Hence
P
_
X
U(n)
n
n
x
_
= P
_
X
U(n)
n+x
n
_
=
n+x
n
0
x
n1
e
x
(n)
dx, (3.6.1)
= p
n
(x), say.
Let
(x) =
1
e
t
2
/2
dt.
The following table gives values of p
n
(x) for various values of n and x
and values of (x) for comparison.
Record Values 49
Table 1. Values of p
n
(x)
_
_
n\x 2 1 0 1 2
5 0.0002 0.1468 0.5575 0.8475 0.9590
10 0.0046 0.1534 0.5421 0.8486 0.9601
15 0.0098 0.1554 0.5343 0.8436 0.9653
25 0.0122 0.1568 0.5243 0.8427 0.9684
45 0.0142 0.1575 0.5198 0.8423 0.9698
(x) 0.0226 0.1587 0.5000 0.8413 0.9774
_
_
Thus for large values of n, (x) is a good approximation of p
n
(x).
Finally, the entropy of n
th
upper record value X
U(n)
is
n+ln(n) ln(n1)(n),
where (n) is the digamma function, (n) =
(n)/(n). To see this we ob-

serve that pd f of X
U(n)
is given by
f
n
(x) =

n
(n)
x
n1
e
x
, x 0,
and its entropy is computed as follows
E
n
= E[lnX
U
(n)]
=
n
(n)
e
x
(ln(n) nln+x(n1)lnx)dx
= ln(n) nln+n(n1){ln+(n)}
= n+ln(n)ln(n1)(n).
Chapter 4
Generalized Order Statistics
In this chapter we will consider some of the basic properties of the generalized
order statistics from exponential distribution. We shall present some inferences
based on the distributional properties of the generalized order statistics.
4.1. Denition
The concept of generalized order statistics (gos) was introduced by Kamps
(1995) in terms of their joint pd f . The order statistics, record val-
ues and sequential order statistics are special cases of the gos. The rv
s
X (1, n, m, k), X(2, n, m, k), . . ., X (n, n, m, k), k > 0, m R, are n gos from
an absolutely continuous cd f F with corresponding pd f f if their joint pd f
f
1,2,...,n
(x
1
, x
2
, . . ., x
n
) can be written as
f
1,2,...,n
(x
1
, x
2
, . . . , x
n
)
= k
_
n1
j=1
j
__
n1
j=1
(1F (x
j
))
m
f (x
j
)
_
(1F (x
n
))
k1
f (x
n
),
F
1
(0+) < x
1
< < x
n
< F
1
(1), (4.1.1)
where
j
= k + (n j)(m+1) 1 for all j, 1 j n, kis a positive integer
and m 1. A more general form of (4.1.1), again due to Kamps, with a new
notation for the joint pd f will be given in Chapter 5.
If k =1 and m = 0, then X (s, n, m, k) reduces to the ordinary s
th
order statis-
tic and (4.1.1) will be the joint pd f of the n order statistics X
1,n
X
2,n

X
n,n
. If k = 1 and m =1, then (4.1.1) will be the joint pd f of the rst n upper
record values of the i.i.d. rv
s with cd f F and pd f f .
Integrating out x
1
, x
2
, . . ., x
s1
, x
s+1
, .., x
n
from (4.1.1) we obtain the pd f
f
s,n,m,k
of X (s, n, m, k)
f
s,n,m,k
(x) =
c
s
(s 1)!
(1F (x))
s
1
f (x)g
s1
m
(F (x)), (4.1.2)
where c
s
=
s
j=1
j
and
g
m
(x) =
_
1
(m+1)
_
1(1x)
m+1
_
, m =1,
ln(1x) , m =1, x (0, 1).
Since lim
m1
1
m+1
_
1(1x)
m+1
_
= ln(1x) , we will write g
m
(x) =
1
m+1
_
1 (1x)
m+1
_
, for all x (0, 1) and for all m with g
1
(x) =
lim
m1
g
m
(x).
4.2. Generalized Order Statistics of Exponential
Distribution
Recall that pd f of X E(, ), is given by
f (x) =
_
1
exp
_
1
(x)
_
, x > , > 0,
0, otherwise.
(4.2.1)
Lemma 4.2.1. Let (X
i
)
i1
s from E (, ), then
1
X (1, n, m, k) E (
1
, ) and X (s, n, m, k)
d
= +
s
j=1
W
j
j
, where
W
j
E(0, 1) = E(1) for all j
s.
Proof. From (4.1.2), pd f f
s,n,m,k
of X (s, n, m, k), in this case, is
f
s,n,m,k
(x) =
c
s
(s 1)!

1
_
e
1
(x)
s
_
g
s1
m
_
1e
1
(x)
_
. (4.2.2)
Generalized Order Statistics 53
For s = 1, we obtain pd f of X (1, n, m, k) via (4.2.2) as
f
1,n,m,k
(x) =
1
1
_
e
1
(x)
1
_
, x > .
Thus, X (1, n, m, k) E
_
,
1
1
_
and
1
X (1, n, m, k) E(
1
, ).
The moment generating function of X (s, n, m, k), denoted by M
s,n,m,k
is (us-
ing
(4.2.2))
M
s,n,m,k
(t)
=
e
tx
c
s1
(s 1)!

1
_
e
1
(x)
s
_
g
s1
m
_
1e
1
(x)
_
dt
=
c
s1
(s 1)!
e
t

0
e
(
s
t)y
_
1
m+1
(1exp((m+1)y))
_
s1
dy. (4.2.3)
Using the following property (see, Gradsheyn and Ryzhik, (1980), p. 305)

0
e
ay
_
1e
by
_
s1
dy =
1
b
B
_
a
b
, s
_
,
where B(, ) is the Beta function, and the fact that
s
+ j (m+1) =
sj
, we
obtain from (4.2.3)
M
s,n,m,k
(t) =
c
s1
(s 1)!
e
t
(s 1)!
s
j=1
j
_
1
t
j
_
= e
t
s
j=1
_
1
t
j
_
1
. (4.2.4)
Thus
X (s, n, m, k)
d
= +
s
j=1
W
j
j
. (4.2.5)
Remarks 4.2.2. (a) For = 0, from Lemma 4.2.1, we have
1
X (1, n, m, k) E (0, ).
(b) For k = 1, m = 0, from (4.2.5), we obtain the following well-known
result for order statistics for i.i.d. rv
s from E(, )
X
s,n
d
= +
s
j=1
W
j
/(n j +1). (4.2.6)
(c) From (4.2.6) it follows that
s
{X (s, n, m, k)X (s 1, n, m, k)}
E(0, ). This property can also be obtained by considering the joint pd f
of X (s, n, m, k) and X (s 1, n, m, k) and using the transformation U
1
=
X (s 1, n, m, k) and T
s
=
s
{X (s, n, m, k)X (s 1, n, m, k)}.
(d) For k = 1 and m =1, we obtain X
U(s)
= +
s
j=1
W
j
.
For X E(, ), we have from(4.2.5), E[X (s, n, m, k)] =+
s
j=1
1
j
and
the recurrence relation
E[X (s, n, m, k)] E [X (s 1, n, m, k)] =

s
.
Let
D(1, n, m, k) =
1
X (1, n, m, k),
D(s, n, m, k) =
s
X (s, n, m, k)X (s 1, n, m, k), 2 s n,
then for X E() all the D( j, n, m, k), j = 1, 2, . . ., n are i.i.d. E(). Thus, we
have the obvious recurrence relation
E[D(s, n, m, k)] = E[D(s 1, n, m, k)] .
For k = 1 and m = 0, it coincides with the known results corresponding to
order statistics. For k = 1 and m = 1, it coincides with the known results of
upper record values.
In the remainder of this section we would like to present two recurrence
relations for the moments (single moments and product moments) of gos from
the standard exponential distribution E(1).
The joint pd f of X (r, n, m, k) and X (s, n, m, k), denoted by f
r,s,n,m,k
(x, y) is
(see p. 68 of Kamps (1995))
f
r,s,n,m,k
(x, y) =
c
s
(r 1)! (s r 1)!
(1F (x))
m
f (x)
g
r1
m
(F (x))[h(F (y)) h(F (x))]
sr1
(1F (y))
s
f (y), (4.2.7)
where
h(x) =
_
1
m+1
(1x)
m+1
, m = 1,
ln(1x), m = 1.
Theorem 4.2.3. For E (1) and s > 1
E
_
(X (s, n, m, k))
p+1
= E
_
(X (s 1, n, m, k))
p+1
_
+
p+1
s
E[(X (s, n, m, k))
p
] ,
and consequently for s > r
E
_
(X (s, n, m, k))
p+1
=E
_
(X (r, n, m, k))
p+1
_
+
s
j=r+1
p+1
j
E[(X ( j, n, m, k))
p
] .
Proof. We have
E[(X (s, n, m, k))
p
] =

0
x
p
c
s
(s 1)!
e
s
x
g
s1
m
_
1e
x
_
dx
=
s
c
s
(p+1) (s 1)!
x
p+1
e
s
x
g
s1
m
_
1e
x
_
dx

0
c
s
(s 1)
(p+1)(s 1)!
x
p+1
e
s
x
g
s2
m
_
1e
x
_
e
(m+1)
dx
=

s
(p+1)
_
E
_
(X (s, n, m, k))
p+1
E
_
(X (s 1, n, m, k))
p+1
__
,
from which the result follows.
For k = 1 and m = 1, Theorem 4.2.3 coincides with Theorem 3.3.1. For
k = 1 and m = 0, we obtain
E
_
(X
s,n
)
p+1
_
= E
_
(X
s1,n
)
p+1
_
+
p+1
ns +1
E[(X
s,n
)
p
]
and consequently
E
_
(X
s,n
)
p+1
_
= E
_
(X
s1,n
)
p+1
_
+
s
j=r+1
p+1
n j +1
E[(X
j,n
)
p
] .
Letting p = 0, in the last equation, we have
E[X
s,n
] = E [X
1,n
] +
s
j=2
1
n j +1
,
that is,
E [X
s,n
] =
s
j=1
1
n j +1
.
Theorem 4.2.4. For E (1), 1 r < s n and p, q = 0, 1, 2, . . . we have
E
_
(X(r, n, m, k))
p
(X (s, n, m, k))
q+1
_
= E
_
(X (r, n, m, k))
p
(X (s 1, n, m, k))
q+1
_
+
q+1
s
E[(X (r, n, m, k))
p
(X (s, n, m, k))
q
] .
Proof. We have
E[(X (r, n, m, k))
p
(X (s, n, m, k))
q
]
=

0
c
s
(r 1)! (s r 1)!
e
(m+1)x
g
r1
m
_
1e
x
_
I (x)dx, (4.2.8)
where
I (x) =

x
y
q
_
1
m+1
_
1e
(m+1)y
_
1
m+1
_
1e
(m+1)x
_
_
sr1
e
s
y
dy
=

s
q+1

x
y
q+1
_
1
m+1
_
1e
(m+1)y
_
1
m+1
_
1e
(m+1)x
_
_
sr1
e
s
y
dy
1
q+1

x
y
q+1
_
1
m+1
_
1e
(m+1)y
_
1
m+1
_
1e
(m+1)x
_
_
sr2
e
s1
y
dy.
Upon substituting for I (x) in (4.2.8), we obtain
E[(X (r, n, m, k))
p
(X (s, n, m, k))
q
]
=

s
q+1
E
_
(X (r, n, m, k))
p
(X (s, n, m, k))
q+1
_
E
_
(X (r, n, m, k))
p
(X (s 1, n, m, k))
q+1
_
.
Thus,
E
_
(X(r, n, m, k))
p
(X (s, n, m, k))
q+1
_
= E
_
(X (r, n, m, k))
p
(X (s 1, n, m, k))
q+1
_
+
q+1
s
E[(X (r, n, m, k))
p
(X (s, n, m, k))
q
] .
For k = 1 and m = 1, Theorem 4.2.4 coincides with Theorem 3.3.3. For
k = 1 and m = 0, we obtain from Theorem 4.2.4
E
_
X
p
r,n
X
q+1
s,n
= E
_
X
p
r,n
X
q+1
s1,n
_
+
q
ns +1
E
_
X
p
r,n
X
q
s1,n
_
.
Estimation of and
Minimum Variance Linear Unbiased Estimators (MVLUEs)
Lemma 4.2.5. Let

and

be the MVLUEs of and respectively, based
on n gos X (1, n, m, k), X(2, n, m, k), . . ., X (n, n, m, k) from an absolutely contin-
uous cd f F with pd f f . Then
= X (1, n, m, k)(
/
1
)
and
=
1
n1
_
n
j=1
(
j
j+1
)X ( j, n, m, k)
1
X (1, n, m, k)
_
, with
n+1
= 0,
Var
_
_
= n
2
/(n1)
2
1
,Var
_
_
=
2
/(n1),
Cov
_
_
=
2
/(n1)
1
.
Proof. It is not hard to show that
E[X (s, n, m, k)] = +
s
,
Var [X (s, n, m, k)] =
2
V
s
, for 1 s n,
where
s
=

s
j=1
1
j
, V
s
=
s
j=1
1
2
j
. Let
XXX = (X (1, n, m, k), X (2, n, m, k), . . . , X(n, n, m, k)),
then
E [XXX] = 1+,
Cov(X ( j, n, m, k), X (i, n, m, k)) =
2
V
i
, 1 i < j n,
Var [XXX] =
2
VVV,
where, as in Chapter 3, 111is an n 1vector of units, === (
1
,
2
, . . .,
n
), VVV ===
(V
i j
) and V
i j
=V
i
for 1 j n.
Let ===VVV
1
=
_
V
i j
_
, then
V
ii
=
2
i
+
2
i+1
, i = 1, 2, . . ., kn,
n+1
= 0,
V
i+1i
=V
ii+1
=
i+1
,
V
i j
= 0, for |i j| > 1.
The MVLUEs

and

respectively are (see, David, (1981))
VVV
1
(111
111
)VVV
1
XXX///,
= 111
VVV
1
(111
111
)VVV
1
XXX///,
where
= (111
VVV
1
111)))(
VVV
1
))) (111
VVV
1
)))
2
.
We also have
Var
_
_
=
2
VVV
1
, Var
_
_
=
2
111
VVV
1
111///,
and
Cov
_
_
=
2
111
VVV
1
///.
It can easily be shown that
111
VVV
1
= (
1
, 0, 0, . . ., 0),
VVV
1
= (
1
2
,
2
3
, . . . ,
n1
n
,
n
),
VVV
1
= n, 111
VVV
1
111 =
2
1
, 111
VVV
1
=
1
and = (n1)
2
1
.
Now,
111
VVV
1
(111
111
)VVV
1
XXX/// =
1
(111
VVV
1
111
111
VVV
1
111
)VVV
1
XXX
=
1
(
2
1
VVV
1
XXX
1
111
VVV
1
XXX) =
1
n1
(
VVV
1
XXX
1
X (1, n, m, k)).
Hence
=
1
n1
_
n
j=1
(
j
j+1
)X ( j, n, m, k)
1
X (1, n, m, k)
_
.
We can write
=
1
1
111
+ccc
, where
ccc
=
_
0,
1
2
,
1
2
+
1
3
,
1
2
+
1
3
+
1
4
, . . . ,
n
j=2
1
j
_
.
Thus
=ccc
VVV
1
(111
111
)VVV
1
XXX///
1
.
We have
ccc
VVV
1
111 = 0, ccc
VVV
1
= n1 and hence

= X (1, n, m, k)
1
.
If k = 1 and m = 0, then
j
=n j +1 and

and

coincide with MVLUEs
given by order statistics (see, Arnold et al., (1992), p. 176). If k = 1 and
m = 0, then
j
= 1 and

and

coincide with MVLUEs given by Ahsanullah,
((1980), p.466).
The variances and covariance of

and

are
Var
_
_
=

2
VVV
1
) = n
2
/(n1)
2
1
,
Var
_
_
=

2
VVV
1
111) =
2
/(n1),
Cov
_
_
=
VVV
1
111) =
2
/(n1)
1
.
Best Linear Invariant Estimators (BLIEs)
The best linear invariant (in the sense of minimum mean squared error and in-
variance with respect to the location parameter )

and

of and are
_
E
12
1+E
22
_
and

=

/(1+E
22
),
where

and

are MVLUEs of and and
_
_
Var[
] Cov
Cov
Var[
]
_
_
=
2
_
E
11
E
12
E
21
E
22
_
.
The mean squared errors of these estimators are
MSE
_
_
=
2
_
E
11
E
2
12
(1+E
22
)
1
_
and
MSE
_
_
=
2
E
22
(1+E
22
)
1
.
Substituting the values of E
12
and E
22
in the above equations, we have, on sim-
plication, that
=

+
1
n
1
and

=
n1
n
,
MSE
_
_
=
n+1
n

2
1
and MSE
_
_
=
1
n
2
.
Prediction of X (s, n, m, k)
We shall assume that s > n. Let = (
1
,
2
, . . .,
n
) where
j
= Cov(X(s, n, m, k), X( j, n, m, k)), j = 1, 2, . . ., n and
1
E[X (x, n, m, k)]. The best linear unbiased predictor (BLUP)
X (s, n, m, k) of X (s, n, m, k) is

X (x, n, m, k) =

+
+VVV
1
(XXX
111
),
where

and

are the MVLUEs of and respectively. But
=
s
and
= (V
1
,V
2
, . . . ,V
n
). It can be shown that
VVV
1
= (0, 0, . . ., 0, 1) and hence
X (s, n, m, k) =

+
s
+X (n, n, m, k)
= X (n, n, m, k)+(
s
n
)

. (4.2.9)
If k = 1 and m = 0, then
j
= n j +1 and

X (s, n, m, k) coincides with the
BLUP based on the order statistics (see, Arnold et al. (1992), p. 181). If k = 1
and m = 1, then
j
= 1 and

X (s, n, m, k) coincides with the BLUP based on
record values (see, Ahsanullah (1980), p. 467).
We have
E[

X (x, n, m, k)] = +(
s
n
),
Var[
X(x, n, m, k)] =
2
V
n
+(
s
n
)
2

2
n1
+2(
s
n
)Cov(

X(n, n, m, k),

)
=
2
__
1
2
1
+ +
1
2
n
_
+
1
n1
_
1
n+1
+
1
s
_
2
+
2
n1
_
1
n+1
+ +
1
s
__
1
2
+ +
1
n
__
,
MSE[

X(x, n, m, k)] = E[(

X (x, n, m, k)X (s, n, m, k))
2
]
= E[(X(n, n, m, k)X (x, n, m, k)+(
s
n
)

)
2
]
=
2
_
V
n
+V
s
2V
n
+(
s
n
)
2
1
n1
_
=
2
_
V
s
V
n
+(
s
n
)
2
(n1)
1
_
.
If k =1 and m=1, then the BLUP

X
U(s)
of the s
th
upper record value from
(4.2.9) is
X
U(s)
=
(x1) X
U(n)
(s n)X
U(1)
(n1)
, (4.2.10)
and
E[

X
U(n)
] =
2
_
m+s
2
2s
_
/(m1). (4.2.11)
Let

X (x, n, m, k) be the best linear invariant predictor of X (s, n, m, k). Then
X (s, n, m, k) =

X (s, n, m, k)
c
12
1+c
22
, (4.2.12)
where
c
12
2
=Cov(
,
_
1
VVV
1
111
_
+
_
VVV
1
) and c
22
2
=Var[
].
It can easily be shown that c
12
= (
s
n
)/(n1) and since c
22
= 1/(n1),
we have
c
12
1+c
22
=

s
n
n
. Thus
X (s, n, m, k) =

X (s, n, m, k)
n
n
= X (n, n, m, k)+
n1
n
(
s
n
)

(4.2.13)
E[
X (s, n, m, k)] = +
_
s
+

s
n
n
_
(4.2.14)
and
Var[
X(s, n, m, k)] =
2
_
V
n
+
_
n1
n
_
2
(
s
n
)
2
1
n1
_
=
2
_
n
+
n1
n
2
(
s
n
)
2
_
. (4.2.15)
The bias term is
E[
X(s, n, m, k) X(s, n, m, k)] = (

n
s
)+
n1
n
(
s
n
)
=
1
n
(
s
n
).
Thus,
MSE[
X (s, n, m, k)] =Var[
X(s, n, m, k)] +(bias)

2
=
2
_
n
+
n1
n
2
(
s
n
)
2
_
+
_
1
n
(
s
n
)
_
2
=
2
_
n
+
1
n
(
s
n
)
2
_
= MSE[

X (s, n, m, k)]
1
n(n1)
(
s
n
)
2
.
For k = 1 and m = 0, we obtain
E[

X
U(s)
] = +
_
s +
s n
n
_
,
Var[
X
U(s)
] =
2
_
n
2
+ns s
2
n
2
_
.
Chapter 5
Characterizations of
Exponential Distribution I
5.1. Introduction
The more serious work on characterizations of exponential distribution based
on the properties of order statistics, as far as we have gathered, started in early
sixties by Ferguson (1964,1965), Tanis (1964), Basu (1965), Crawford (1966)
and Govindarajulu (1966). Most of the results reported by these authors were
based on the independence of suitable functions of order statistics. Chan (1967)
reported a characterization result based on the expected values of extreme order
statistics. The goal of this chapter is rst to review characterization results re-
lated to the exponential distribution based on order statistics (Section 5.2) and
then based on generalized order statistics (Section 5.3). We will discuss these
results in the chronological order rather than their importance. We apologize in
advance if we missed to report some of the existing pertinent results.
Let X
1
and X
2
be two i.i.d. random variables with common cd f F (x) and let
X
(1)
= min{X
1
, X
2
} and X
(2)
= max{X
1
, X
2
}. Basu (1965) showed that if F(x)
is absolutely continuous with F(0) = 0, then a necessary and sufcient condi-
tion for F to be the cd f of an exponential random variable with parameter ,
is that the random variables X
(1)
and
_
X
(2)
X
(1)
_
are independent. Freguson
(1964) and Crawford (1966) also used the property of independence of X
(1)
and
(X
1
X
2
) to characterize the exponential distribution. Puri and Rubin (1970)
showed that X
(2)
X
(1)
X
1
( means having the same distribution) charac-
terizes the exponential distribution among the class of absolutely continuous
distributions. Seshardi et al. (1969) reported a characterization of the expo-
nential distributionbased on the identical distributionof an (n1)-dimensional
random vector of random variables V
r
= S
r
/S
n
, r = 1, 2, . . ., n 1, where S
r
is
the r
th
partial sum of the random sample, and vector of order statistics of n 1
i.i.d. U (0, 1) random variables. Cs org o et al. (1975) and Menon and Seshardi
(1975) pointed out that the proof given in Seshardi et al. was incorrect and
presented a new proof. Puri and Rubin (1970) established a characterization
of the exponential distribution based on the identical distribution of X
s,n
X
r,n
and X
sr,nr
(these rv
s will be dened in the next paragraph). Rossberg (1972)

gave a more general result when s = r +1, which will be stated in the following
section. A different type of result characterizing the exponential distribution
based on a function of the order statistics having the same distribution as the
one sampled was established by Desu (1971), which is stated in the following
section as well.
Let X
1
, X
2
, . . ., X
n
be a randomsample from a random variable X with cd f F.
Let
X
1,n
X
2,n
X
n,n
,
be the corresponding order statistics. As pointed out by Gather et al. (1997),
the starting point for many characterizations of exponential distribution via
identically distributed functions of order statistics is the well-known result of
Sukhatme (1937): The normalized spacings
D
1,n
= nX
1,n
and D
r,n
= (nr +1) (X
r,n
X
r1,n
), 2 r n (5.1.1)
from an exponential distribution with parameter , i.e., F (x) = 1e
x
, x 0,
> 0, are again independent and identically exponentially distributed. Thus,
we have
F E() implies that D
1,n
, D
2,n
, . . . , D
n,n
are i.i.d. E(). (5.1.2)
5.2. Characterizations Based on Order Statistics
We start this section with the following result due to Desu (1971).
Characterizations of Exponential Distribution I 67
Theorem 5.2.1. If F is a nondegenerate cd f , then for each positive integer
k, kX
1,k
and X
1
are identically distributed if and only if F (x) = 1 e
x
for
x 0, where is a positive parameter.
Arnold (1971) proved that the characterization is preserved if in Theorem
5.2.1 the assumption for all k is replaced with the assumption for two rela-
tively prime positive integers k
1
, k
2
> 1 . Here is his theorem:
Theorem 5.2.2. Let supp(F) = (0, ). Then X
1
E() if and only if
n
i
X
1,n
i
E() for 1 < n
1
< n
2
with lnn
1
/lnn
2
irrational.
Ahsanullah and Rahman (1972) presented the following characterization of
the exponential distribution.
Theorem 5.2.3. A necessary and sufcient condition that a non-negative
random variable X with an absolutely continuous cd f F has an exponential dis-
tribution is that its k
th
order statistic, X
k,n
, can be expressed as
X
k,n
=
k
j=1
Y
j
(n j +1)
,
for any k N (the set of all positive integers ) such that 1 k n, where the Y
j
s
( j = 1, 2, . . ., k) are i.i.d. with cd f F.
Galambos (1972) and Rossberg (1972) presented characterizations of the
exponential distributions by the independence of certain functions of order
statistics. Here we state Rossbergs result which has an interesting proof based
on complex analysis.
Theorem 5.2.4. Let (F) = inf{x : F (x) > 0} > . Suppose that for
some xed r, n N, 2 r n, the Laplace transform

e
sx
dF
r1
(x) is non-
zero for all s C (the set of all complex numbers) with Re(s) > 0. Then
D
r,n
E(1) if and only if X
1
(F) E(1).
Rossberg pointed out that the assumption concerning the Laplace transform
cannot be dropped since D
r,n
E(1) is satised by underlying distributions
other than exponential. He then gave the following example to demonstrate this
point. Let
F (x) = 1e
x
_
1+
4
2
(1cos (x))
_
, 2
2, x 0,
then D
r,n
E(1), but the corresponding Laplace transformhas zeros in {s C:
Re(s) > 0}.
We would like to point out that Arnolds result (Theorem 5.2.2 above) re-
quires kX
1,k
E () for two different values of k and Gupta (1973) requires
lim
x0
(F (x)/x) = for some 0 < < . Furthermore, Huang (1974)
showed that Desus (1971) result is readily improved by special cases of char-
acterization theorems in Chan (1967) and Huang (1974) as follows:
Theorem 5.2.5. If F does not degenerate at the origin, and if
E[nX
1,n
] = E[X
1
] < , for n = 2, 3, . . .,
then F is an exponential distribution function.
Remark 5.2.6. Huang (1974) showed that despite his assumption of
E[X
1
] <, this assumption is less restrictive than Desus (Theorem 5.2.1) con-
dition. He then presented two stronger versions of Theorem 5.2.5 as stated
below in Theorems 5.2.5
and 5.2.5
.
Theorem 5.2.5
. If F does not degenerate at the origin and if (i) nX

1,n
and
X
1
are i.d. for some n 2, and (ii) E[nX
1,n
] = E [X
1
] for the other n
s, then F is
exponential.
Theorem 5.2.5
. If F does not degenerate at the origin, and if there exists

a real number and a positive integer k such that
E[X
k,n
] =
k
j=1
(n j +1)
1
for n = n
1
, n
2
, . . ., where n
i
s are distinct positive integers with

i=1
n
1
i
= ,
then F is exponential.
Kotz (1974) and Galambos (1975) discussed rather extensively the charac-
terizations of distributions including the exponential distributionby order statis-
tics. Ahsanullah (1975) reported a characterization of the exponential distribu-
tion based on identical distribution of nX
1,n
and the spacing X
n,n
X
n1,n
and
then generalized his result in his (1976) paper as follows.
Theorem 5.2.7. Let X be a non-negative random variable with an abso-
lutely continuous (with respect to the Lebesgue measure) strictly increasing
distribution F (x) for all x > 0, and F (x) < 1, for all x. Then the following
properties are equivalent:
(a) X has an exponential distribution;
(b) X has a monotone hazard rate and for one i and one n with 2 i n,
the random variables D
1,n
and D
i,n
are i.d.
Arnold and Ghosh (1976) presented characterizations of exponential distri-
bution based on the conditional distributions of the spacings. These results were
later extended by Rao and Shanbhag (1994), which will be stated later in this
section.
Let F be the cd f of a non-negative random variable and let, as before,
F (x) = 1 F (x),for x 0. We will call F new better than used (NBU), if
F (x+y) F (x)F (y), x, y 0, and F is new worse than used (NWU) if
F (x+y) F (x)F (y), x, y 0. We will say that F belongs to the class C, if F
is either NBU or NWU. Using these concepts, Ahsanullah (1977) established
the following characterization of the exponential distribution.
lutely continuous (with respect to the Lebesgue measure) cd f F which is strictly
increasing on [0, ). Then the following properties are equivalent:
(b) for some i and n, 1 i < n, the random variables D
i+1,n
and X are i.d.
and F belongs to class C.
Gather (1989) pointed out that the weaker condition of NBU or NWU were
assumed in Theorem 5.2.8. However, there is a gap in the proof and the desired
result can be obtained for the special case r = n.
Let F be cd f of a non-negative random variable X. Then F has increas-
ing failure rate (IFR) (decreasing failure rate (DFR)) if
[1F(x+y)]
[1F(x)]
is decreasing
(increasing) on the support of Ffor all y 0. For the class of IFR(DFR) distribu-
tions, Ahsanullah (1978a) showed that D
1,n
D
r+1,n
is sufcient to characterize
exponential distribution. If F is absolutely continuous with pd f f , then F is IFR
(DFR) if its failure rate
f (x)
F(x)
is increasing (decreasing) on the support of F. In
Ahsanullah (1978a), below, we nd that D
r,n
D
s,n
is a characteristic property
of the exponential distribution if F is absolutely continuous.
Theorem 5.2.9. Let F be absolutely continuous, strictly increasing on
(0, ), and IFR or DFR. Then F E() if and only if there exists a triple
(r, s, n), 2 r < s n, with D
r,n
D
s,n
.
Again let F be an absolutely continuous cd f of a non-negative random vari-
able with pd f f , and with hazard rate r (x) =
f (x)
F(x)
, for x 0, and F(x) > 0. We
will say that F has increasing hazard rate (IHR) if r (x) r (x+y), x, y 0 and
F has decreasing hazard rate (DHR) if r (x) r (x+y), x, y 0. We say that F
belongs to class D if F is either IHR or DHR. Using these concepts, Ahsanullah
(1978b) presented the following characterization of the exponential distribution.
lutely continuous (with respect to the Lebesgue measure) cd f F which is strictly
increasing on [0, ). Then the following properties are equivalent:
(b) for some i, j and n, 1 i < j < n, the random variables D
i,n
and D
j,n
are i.d. and F belongs to class D.
Property nX
1,n
X
1
is studied in more general setting by Shimizu (1979) as
stated below.
Theorem 5.2.11. Let m, n
1
, . . . , n
m
N, c, a
1
, . . . , a
m
> 0 with
_
c > max
1km
a
k
, if m > 1,
c = a
1
, if m = 1
and let
_
be the uniquely determined positive real number with

m
k=1
a
k
= c
, if m > 1,
> 0 arbitrary, if m = 1.
Let the trivial case m = n
1
= a
1
= 1 be excluded. Let
_
X
(k)
j
_
1jn
k
, 1km
be i.i.d. random variables with distribution function F satisfying 0 = F (0) <
F (x) < 1 for some x > 0, and X
(k)
1,n
k
= min
1jn
k
X
(k)
j
. Then
min
1km
_
cn
1/
k
a
k
X
(k)
1,n
k
_
F
if and only if
F (x) =
_
1exp(x
H(lnx)), x 0,
0, x < 0,
where H is a positive, bounded function with periods A
k
=ln(cn
1/
k
/a), 1 k
m.
As pointed out by Gather et al. (1997), the above general setting reduces to
the case c = = 1 via the monotone transformation X
(k)
j

_
cX
(k)
j
_
. Davies
and Shanbhag (1987) pointed out that the proof can be simplied by applying
the integrated Cauchy functional equation. As corollaries to Theorem 5.2.11,
characterizations of exponential distribution result without assuming continuity
of F. One of these corollaries is due to Shimizu (1979) which is stated below.
Corollary 5.2.12. Let F be as in Theorem 5.2.11, a
1
, a
2
, . . . , a
n
> 0 with
n
k=1
a
k
= 1 and lna
i
/lna
j
irrational for some i , j {1, 2, . . ., n}. Then F
E() if and only if min
1kn
X
k
/a
k
F.
Huang et al. (1979) restated Seshardi et al. (1965) result as follows.
Theorem 5.2.13. Let F have mean 1/, 0 < < , and X
1
> 0, n 3. Let
S
n
=

n
i=1
X
i
and V
1
= X
1
/S
n
,V
2
= (X
1
+X
2
)/S
n
. Then F E() if and only
if (V
1
,V
2
) (U
1,n1
,U
2,n1
), where U
i,n1
, i = 1, 2 are order statistics from
U (0, 1).
Bell and Sarma (1980), presented a characterization of the exponential dis-
tribution based on the properties of linear transformations of order statistics and
mentioned some statistical applications of their result, (see Theorems 5.2.14 and
5.2.15 below).
Let Y
1
,Y
2
, . . . ,Y
n
be i.i.d. with common exponential distribution E()
and let Y
1,n
,Y
2,n
, . . .,Y
n,n
be the associated order statistics, and YYY
=
(Y
1,n
,Y
2,n
, . . .,Y
n,n
). Let A denote the (nn) matrix with elements
s
i j
=
_
_
(n j +1) for i = j 1, i > 1,
(n j +1) for i = j, i = 1, 2, . . ., n,
0 otherwise.
Finally, P is called an elementary matrix if it is obtained by interchanging some
rows of the identity matrix.
Theorem 5.2.14. Let XXX =MYYY
= (X
1
, X
2
, . . ., X
n
)
where M = ((m
i, j
)) is an
(nn) nonsingular matrix. Then X
i
s are i.i.d. with common distribution as Y
1
if and only if M = PA for some elementary matrix P.
Theorem 5.2.15. Let Z
1
, Z
2
, . . . , Z
n
be non-negative i.i.d. with cd f F. Let
F (z) be continuous and strictly increasing. Let XXX = AZZZ
= (X
1
, X
2
, . . . , X
n
)
.
Then X
i
s are i.i.d. with common cd f F for all n > 1 if and only if
F(x) =
_
1e
x
for x 0,
0 for x < 0
for some constant > 0.
Using failure rates, Ahsanullah (1981) presented the following two charac-
terizations of exponential distribution.
Theorem 5.2.16. Let F be absolutely continuous, F (0) = 0 and strictly
increasing on (0, ). Let the failure rates r
X
1
and r
D
r,n
of X
1
and D
r,n
, respec-
tively, be continuous from the right at zero. Moreover, assume that r
X
1
attains
its maximum or minimum at zero. Then F E() if and only if there exists a
pair (r, n), 2 r n, such that r
D
r,n
(0+) = r
X
1
(0+).
Theorem 5.2.17. Let F be absolutely continuous, supp(F) = (0, ), and
IFR or DFR. Moreover, let E [X
1
] <. Then F E() if and only if there exists
a pair (r, n), 2 r n, such that E [D
r,n
] = E[D
r1,n
] .
Galambos and Kotz (1983) pointed out that Theorem 5.2.1 is related to an
assertion for the integer part of a random variable as follows.
Theorem 5.2.18. Let F
1
(0+) 0, X
(t)
i
= [X
i
/t] +1, t > 0, i = 1, 2, where
[x] denotes the integer part of x R. If the distribution of
min
_
X
(t)
1
, X
(t)
2
_
|X
(t)
1
+X
(t)
2
= 2m+1
is uniformon 1, 2, . . ., m for every m N, then F E() for some > 0.
For certain characterizations of exponential distribution by the properties
of order statistics associated with non-linear statistics, we refer the reader to
Chapter 3.1 of the book by Kakosyan et al. (1984). Here is one of their results.
i
)
iN
be a sequence of i.i.d. random variables with
cd f F, X
1
> 0, F continuous for x 0, and let lim
x0
F (x)/x exist and be -
nite. Moreover, let N 2 be an integer-valued random variable independent of
(X
i
)
iN
. Then F E() for some > 0 if and only if NX
1,N
X
1
.
The following characterization is based on a moment equation reported by
Iwi nska (1986).
Theorem 5.2.20. Let F be absolutely continuous, F
1
(0+) = 0, strictly
increasing on (0, ) and NBU or NWU. Then F E () if and only if there
exists a triple (r, s, n), 1 r < s n, with
E[X
s,n
] E [X
r,n
] = E[X
sr,nr
] .
Remark 5.2.21. It is worth mentioning that without additional assumption,
the moment equation given in the above theorem with s = r +1 for one pair
(r, n), 1 r n 1, does not characterize exponential distribution. For every
choice of r and n there is a distribution different from exponential which pos-
sesses the above property (see, Kamps, 1991 and 1992a). For an example, the
cd f given by
F(x) =
_
1+e
cd
x
d
_
1
, c > 0, d =
n
n1
and x > 0
satises the moment relation for r = 2.
We would like to mention that under conditions of Theorem 5.2.20 and
based on stronger condition X
s,n
X
r,n
X
sr,nr
, Iwi nska (1985) characterized
exponential distribution. Ahsanullah (1984) proved result similar to Theorem
5.2.20 using stronger condition which we will mention in more detail later on
in this section (see Remarks 5.2.28).
The following characterization is due to Ahsanullah (1987) which is based
on the distributions of random sums.
Theorem 5.2.22. Let F be absolutely continuous with pd f f , strictly in-
creasing on (0, ) and let f be continuous fromthe right at zero. Then F E()
if and only if there exists a pair (r, n), 2 r n1, such that
r
i=1
D
i,n

r
j=1
Y
j
with Y
1
,Y
2
, . . .,Y
r
i.i.d. F.
The following result which is in the spirit (and somewhat stronger than) of
that of Ahsanullah (1984) and of Iwinska (1985) is due to Gather (1988).
Theorem 5.2.23. Let F be continuous and strictly increasing on (0, ).
Then F E() if and only if there exists a quadruple (r, s
1
, s
2
, n), 1 r < s
1
<
s
2
n, such that
X
s
i
,n
X
r,n
X
s
i
r,ns
i
for i = 1, 2.
Gather (1988) pointed out that the above result was already stated in Ahsan-
ullah (1975). However, in the proof the NBU/NWUproperty of F was implicitly
used.
Kakosyan et al. (1984) stated the following conjecture: The distributional
identity
(1p)
N
i=1
X
i
nX
1,n
for some xed n N where N has a geometric distribution with parameter p,
characterizes exponential distribution. Ahsanullah (1988a) discussed this con-
jecture and pointed out that under additional assumption that F is IFR or DFR,
nX
1,n
can be replaced by NX
1,N
, see the next theorem.
i
)
iN
cd f F, F
1
(0+) 0, F (x) < 1 for all x > 0, F IFR or DFR, E [X
1
] < , and
0 < lim
x0+
F(x)/x = < . Moreover, let N be a geometrically distributed
random variable independent of (X
i
)
iN
. Then F E() if and only if
(1p)
N
i=1
X
i
NX
1,N
.
The following more general result (with respect to r ) is given in Ahsanullah
(1988b).
Theorem 5.2.25. Under the assumptions of Theorem 5.2.24, F E() if
and only if there exists a pair (r, n), 1 r n, such that
(1p)
N
i=1
X
i
NX
1,N
.
Gajek and Gather (1989) improved Theorem 5.2.9 in the sense of not using
D
r,n
D
s,n
as a distributional identity, but only required the equality of the
corresponding pd f
s or the failure rates at zero. Here is their result.

Theorem 5.2.26. Let F be absolutely continuous, F
1
(0+) = 0, strictly
increasing on (0, ), and IFR or DFR. Moreover, the pd f

s, f
D
r,n
and f
D
s,n
of
D
r,n
and D
s
,
n
are assumed continuous from the right at zero. Then F E()
if and only if there exists a triple (r, s, n), 1 r < s n, such that f
D
r,n
(0) =
f
D
s,n
(0).
In Theorem 5.2.16, the equation r
D
r,n
(x) = r
X
1
(x) is required for all x 0,
whereas the validity for x = 0 is sufcient, see Gajek and Gather (1989). Gajek
and Gather (1989) also presented characterizations of the exponential distribu-
tion based on identical distributions of D
r,n
and D
s,n
as well as weaker conditions
for some integers r and s with 1 r < s n. These results were later improved
by Kamps and Gather (1997) which we will discuss in more details later in this
section. Gajek and Gather (1989) presented another result using expectations of
D
r,n
and D
s,n
which extended Ahsanullahs result (Theorem 5.2.17).
Gather (1989) established the following characterization of the exponential
distribution extending the results reported by Rossberg (1972) and Ahsanullah
(1984).
Theorem 5.2.27. Let F be a continuous cd f and let F (x) be strictly in-
creasing for all x > 0. Then F is exponential if and only if
X
j,n
X
i,n
X
ji,ni
, 1 i < j n,
holds true for a sample from F with two distinct values j
1
and j
2
of j and some
i, n, 1 i < j
1
< j
2
n, n 3.
Remarks 5.2.28. (a) If X
i+1,n
X
i,n
X
1,ni
for some 1 i n, n 2, this
characterizes the exponential distribution in the class of all continuous distri-
butions without further assumptions (Rossberg, 1972). (b) If for one arbitrary
j, i, n, 1i < j n, X
j,n
X
i,n
X
ji,ni
, this together with F being continuous
and IRF is a characteristic property of the exponential distribution(Ahsanullah,
1984). (c) Gather mentions that she has not been able to drop the condition
IRF in (b) and no counterexamples,as far as she had gathered, are known. (d)
Similar characterization results based on the property given in Theorem 5.2.10
are discussed in Iwi nska (1986), Gather (1988) and Gajek and Gather (1989).
As pointed out by Gather et al. (1998), for specic distributions it may
be difcult to verify the assumption concerning the Laplace transformation of
Theorem 5.2.4. For this reason, in Pudeg (1990) it is replaced by an aging
property as follows.
Theorem 5.2.29. Let F be IFR (or DFR) and let (F) =
inf {x : F (x) > 0} > . Then D
r,n
E() for a pair (r, n), 2 r n, if and
only if X
1
(F) E() for some > 0.
F is called decreasing (increasing) mean residual life DMRL (IMRL) if
1
F (x)

x
F (y)dy decreases (increases) with respect to x on supp(F).
Clearly, the assumption F is IFRor DFR can be replaced by 1
_
F
_
nr+1
is IFR or DFR. Pudeg (1990) pointed out that this condition in Theorem 5.2.29
can be weakened to 1 (F)
nr+1
is DMRL or IMRL. She also showed that
Rossbergs (1972) example still serves as a counterexample. F
R
does not have
DMRL or IMRL property and hence is neither IFR nor DFR.
Riedel and Rossberg (1994) studied characterization of exponential distribu-
tion via distributional property of a contrast X
r+s,n
X
r,n
. Their main assumption
is the asymmetric behavior of the survival function of the contrast. Here is their
result.
Theorem 5.2.30. Let F be absolutely continuous with a continuous and
bounded pd f f on [0, ), and let > 0. Then F E() if one of the following
conditions is satised.
a) There exists a triple (r, s, n), 1 s nr, such that
P(X
r+s,n
X
r,n
x) e
(nr)x
= o(x
s
), x 0,
and
_
f (x)/F (x)
_
does not change its sign for any x 0.
b) There exists a quadruple (r, s
1
, s
2
, n), 1 s
1
< s
2
nr, such that
P(X
r+s
i
,n
X
r,n
x) e
(nr)x
= o(x
s
i
), x 0, for i = 1, 2.
The following result is due to Rao and Shanbhag (1994) based on strong
memoryless property characterization of exponential and geometric distribu-
tions, which is an extended version of Ferguson-Crawford result which is
stated as: If X and Y are independent nondegenerate random variables, then
min{X,Y} is independent of X Y if and only if for some >0 and R, we
have (X ) and (Y ) to be either both exponential or both geometric (in
usual sense).
Theorem 5.2.31. Let X and Y be as in Ferguson-Crawford result and y
0
be a point such that there are at least two support points of the distribution of
min{X,Y} in (, y
0
] . Let be a real-valued Borel measurable function on
R such that its restriction to (, y
0
] is nonvanishing and strictly monotonic.
Then X Y and (min{X,Y})I
{min{X,Y }y
0
}
are independent if and only if for
some (0, ) and R, (X ) and (Y ) are both exponential, or
geometric on N, in which case X Y and min{X,Y} are independent.
Rao and Shanbhag (1994), gave the following two corollaries of Theorem
5.2.31.
Corollary 5.2.32. If in Theorem 5.2.31, X and Y are additionally assumed
to be i.d., then the assertion of the theorem holds with |X Y| in place of X Y.
Corollary 5.2.33. Let X and Y be two i.i.d. nondegenerate positive random
variables and y
0
be as dened in Theorem 5.2.31. Then min{X,Y}/max{X,Y}
and min{X,Y}I
{min(X,Y )y
0
}
are independent if and only if for some > 0 and
R, (lnX ) is either exponential or geometric.
The following interesting remarks are given in Rao and Shanbhag (1998)
concerning Theorem 5.2.31 and Corollaries 5.2.32 and 5.2.33, which are copied
here from theirs.
Remarks 5.2.34. (i) If we replace in Corollary 5.2.33, the condition on the
existence of y
0
by that there exists a point y
0
such that there are at least two
support points of the distributionof max {X,Y} in
_
y
0
,
_
, then the assertion of
corollary with min {X,Y}I
{min{X,Y}y
0
}
replaced by max{X,Y}I
{
max{X,Y }y
0
}
and lnX replaced by lnX holds. This follows because min
_
X
1
,Y
1
_
=
(max{X,Y})
1
and max
_
X
1
,Y
1
_
= (min{X,Y})
1
. The result that is ob-
served here is indeed a direct extension of Fiszs (1958) result, and it is yet
another result mentioned in Rao and Shanbhag (1994). (Fisz characterizes
the distribution in question via independence of max {X,Y}/min{X,Y} and
max{X,Y}.)
(ii) Under the assumptions in Theorem 5.2.31, the condition that X Y and
(min{X,Y})I
{min{X,Y}y
0
}
be independent is clearly equivalent to that for each
y (, y
0
] , X Y be independent of I
{min{X,Y }y}
. (The remark with X Y
replaced by |X Y| applies to Corollary 5.2.32, i.e. when we have the assump-
tions as in the corollary.)
(iii) Theorem 5.2.31 remains valid if the independence condition appear-
ing in the assertion is replaced by that conditional upon min {X,Y} (, y
0
],
X Y and min{X,Y} are independent. (The corresponding remark in the case
of Corollary 5.2.32 is now obvious.)
(iv) If the assumptions in Theorem 5.2.31 are not met with P{X Y} > 0,
then on modifying slightly, the Rao-Shanbhag argument that we have referred
to in the proof of the theorem proves that conditionally upon min {X,Y}
(, y
0
] ,
_
I
{X=Y}
, (X Y)
+
_
and min{X,Y} are independent only if l
(, y
0
), the conditional distribution of X l given that X l is exponential
if the conditional distribution of Y l given that Y y
0
is nonarithmetic, and
that
_
Xl
given that X l is geometric on {0, , 2, . . .} if the conditional

distribution of Y l given that Y y
0
is arithmetic with span , where l is the
left extremity of the distribution of Y and [] denotes the integral part.
(v) The version of Theorem 5.2.31 with min{X,Y} in place of
(min{X,Y}) holds if in place of two support points we take two nonzero
support points or in place of there are . . . in (, y
0
] we take the left ex-
tremity of the distribution of min {X,Y} is nonzero and is less than y
0
. The
result in (iii) above and that mentioned here are essentially variations of Theo-
rem 8.2.1 of Rao and Shanbhag (1994). (Incidentally, the cited result of Rao
and Shanbhag requires a minor notational alteration such as the one where
(1, min{X,Y})I
{min{X,Y }y
0
}
appears in place of min{X,Y}I
{min{X,Y }y
0
}
.)
The following theorem is due to Rao and Shanbhag (1994) and extends a
result of Shimizu. It is pointed out in Rao and Shanbhag (1998) that Theorem
5.2.35 below is an obvious consequence of their Theorem 2, (1998).
1
, X
2
, . . ., X
n
, n 2, be i.i.d. positive random vari-
ables and a
1
, a
2
, . . ., a
n
be positive real numbers not equal to 1, such that the
smallest closed subgroup of R containing lna
1
, lna
2
, . . . , lna
n
equals R itself.
Then, in obvious notation, for some m 1
min{X
1
a
1
, X
2
a
2
, . . . , X
n
a
n
} X
1,m
if and only if the survivor function of X
1
is of the form
F (x) = exp{
1
x
2
x
2
}, x R
+
,
with
1
,
2
0,
1
+
2
> 0 and
r
(r = 1, 2) as positive numbers such that
n
i=1
a
i
i
= m. (If
1
=
2
, the distribution on the above line is Weibull. )
Remark 5.2.36. Franco and Ruiz (1995) dened the order mean function
between the adjacent order statistics X
k,n
and X
k+1,n
by
(x) = E[h(X
k,n
)|X
k+1,n
= x] =
1
(F (x))
k
h(y)d (F(y))
k
,
whose domain of denition is the set (, ), where may be , h is a given
real, continuous and strictly monotone function and F F , the set of contin-
uous distributions for which the integral on the RHS of the above equation is
nite for all x R. They used this concept to characterize certain continuous
distributions of which, in the special case of h(x) = x and (x) = x +b ( (x)
corresponds to F(x) in the above equation) is the exponential distribution.
Set X
0,n
= 0 and dene
S
i,n
=
i
j=1
(n j +1)(X
j,n
X
j1,n
), i = 1, 2, . . ., n,
W
r,n
= (S
1,n
/S
r,n
, S
2,n
/S
r,n
, . . ., S
r1,n
/S
r,n
).
A conjecture stated by Dufour (1982) is that if W
r,n
U
()
(r 1) =
(U
1,r1
,U
2,r1
, . . . ,U
r1,r1
), where U
i,r1
, i =1, 2, . . ., r 1 are the order statis-
tics of r 1 i.i.d. random variables with a uniformdistributionon (0, 1), then X
1
has an exponential distribution. This result, if true, is a characteristic property
of the exponential distribution.
Rao and Shanbhag (1995b), dealt, among other things, with Dufours con-
jecture, mentioned above, in the following theorem. As pointed out by Rao and
Shanbhag (1995b) below, a special case of their result was established earlier
by Leslie and van Eeden (1993).
Theorem 5.2.37. Let r an n be positive integers greater than or equal to 3
such that either r, n {3, 4} with r =n, or r, n 5. Also let X
1
, X
2
, . . . , X
n
be i.i.d.
positive random variables. If W
r,n
U
()
(r 1), then X
1
has an exponential
distribution.
Rao and Shanbhag (1998) pointed out that they proved the above theorem
when r, n 5 in their (1995b) paper and the result for r = n = 3, 4 follows from
certain uniqueness theorem on the problem, established in their (1995b) paper.
They also mentioned that Theorem 5.2.37 for r, n 5 was proved independently
via a different argument by Xu and Young (1995). This will be pointed out
below.
Following Xu and Yang (1995)s Introduction, the characterization problem
for the case r = n, has been studied by Seshardi et al. (1969) and Dufour et
al. (1984). Dufours conjecture has been partially answered by Leslie and van
Eeden (1993), who showed that the conjecture is true for (2/3)n+1 r n1,
but the case r < (2/3)n = 1 has not been determined as of 1995. Xu and Yang
(1995) showed that the conjecture is true when r 5 indicating that their lower
bound is independent of the sample size n, whereas in Leslie and van Eeden
(1993) the lower bound increases with n. The cases r = 2, 3 and 4 are, as of
1995, still not determined. Menon and Seshardi (1975) have shown that for
r = n = 2 the conjecture is false. So, it is assumed that n 3. If, however, cd f
of X
1
belongs either to the class of NBU or NWU distributions, then Dufours
conjecture is true for r 2.
It seems that Xu and Young were not aware of Rao and Shanbhag (1995b)
paper which has dealt with the case r = n =3, 4. Here is Xu and Youngs result.
Theorem 5.2.38. Suppose that n r 5. Then X
1
has an exponential dis-
tribution if and only if W
r,n
U
()
(r 1).
Remark 5.2.39. Xu and Yang (1995) mentioned an alternative statement
for Theorem 5.2.38: If n 5, X
1
has an exponential distribution if and only if
W
5,n
U
()
(4). Then the general case follows immediately. This alternative
statement indicates that a sample size of 5 is large enough to characterize the
exponential distribution.
Employing the concepts of NBU and NWU, Xu and Yang presented the
following characterization of the exponential distribution.
Theorem 5.2.40. Suppose that cd f F of X
1
is either NBU or NWU and that
{F
1
(u) : 0 < u < 1} = (0, ). Let r for 2 r n, n 3, be xed. Then X
1
is
exponentially distributed if and only if W
r,n
U
()
(r 1).
L opez-Bl aquez and Moreno-Rebollo (1997) start their Introduction section
by stating that Ferguson (1967) characterized distributions for which the regres-
sion of an order statistic on an adjacent one is linear. Ferguson pointed out that
it is not known which distributions would be characterized if non-adjacent or-
der statistics are considered. Nagaraja (1988) afrms that the problem remained
unsolved. Similar reference to this problem was given by Arnold et al. (1992).
L opez-Bl aquez and Moreno-Rebollo (1997) established the following two char-
acterizations of the distributions when the regression of two order statistics, not
necessarily adjacent, is linear.
1
have a cd f which is k times differentiable in D
F
=
{x R: 0 < F (x) < 1}, such that
E[X
i+k,n
|X
i,n
] = bX
i,n
+a.
Then, except for location and scale parameters,
F(x) = 1|x|
, for x [1, 0] , if 0 < b < 1,

F(x) = 1exp(x), for x [0, ), if b = 1,
F(x) = 1x
, for x [1, ), if b > 1,

where, = (r (ni))
1
and r is the unique real root greater than k 1 of the
polynomial equation
P
k
(x) =
1
b
P
k
(ni).
1
have a cd f F which is k times differentiable in D
F
,
such that
E[X
i,n
|X
i+k,n
] = cX
i+k,n
+d,
then, except for location and scale parameters,
F(x) = x
, for x [0, 1], if 0 < c < 1,

F(x) = exp(x), for x (, 0] , if c = 1,
F(x) =|x|
, for x (, 1] , if c > 1,
where, = (r (i +k 1))
1
and r is the unique real root greater than k 1 of
the polynomial equation
P
k
(x) =
1
c
P
k
(i +k 1) .
Remark 5.2.43. Most of the characterizations mentioned so far have al-
ready appeared in two excellent survey papers by Gather et al. (1998) and by
Rao and Shanbhag (1998). The latter contains new characterizations which had
not appear prior to 1998 of which some have been mentioned in this section
already and some will be given below.
Rao and Shanbhag (1998) pointed out that: There is an interesting variant
of Theorem 5.2.31; Rossberg (1972), Ramachandran (1980), Rao (1983), Lau
and Ramachandran (1991), and Rao and Shanbhag (1994) among others have
produced versions of Theorem 5.2.31. A special case of this result for n =2 was
given in a somewhat restricted form by Puri and Rubin (1970). Then Rao and
Shanbhag gave their variant (below) and showed that it is also linked with the
strong memoryless property characterization of the exponential and geometric
distributions.
Theorem 5.2.44. Let n 2 and X
1
, X
2
, . . . , X
n
be i.i.d. random variables
with cd f F that is not concentrated on {0}. Then, for some 1 i < n,
X
i+1,n
X
i,n
X
1,ni
,
where X
1,ni
= min{X
1
, X
2
, . . . , X
ni
}, if and only if one of the following two
conditions holds:
(i) F is exponential.
(ii) F is concentrated on some semilattice of the form {0, , 2, . . .} with
F (0) = and F ( j) F(( j 1)) = (1)(1)
j1
for j = 1, 2, . . . for
some
_
0,
_
n
i
_
1/i
_
and [0, 1) such that P{X
i+1,n
> X
i,n
} = (1)
ni
(which holds with =
_
n
i
_
1/i
or = 0 if and only if F (0) F(0) =
_
n
i
_
1/i
and F ()F () =1
_
n
i
_
1/i
for some >0). (The existence of cases >0
can easily be veried.)
The following two remarks ( Remarks 2 & 3, p. 240, 1998) are taken from
Rao and Shanbhag (1995a) which explain respectively as how the existence
of > 0 in Theorem 5.2.44 follows and how the result of Stadje (1994) is a
corollary to this theorem.
Remarks 5.2.45. (a) Suppose we consider a family of distributions of the
form in (ii) (of Theorem 5.2.44), but not necessarily satisfying the condition
that P{X
i+1,n
> X
i,n
} = (1)
ni
. Then, if we take a xed (0, 1) and al-
low to vary, we get for a sufciently small , P{X
i+1,n
> X
i,n
} < (1)
ni
,
and for =
_
n
i
_
1/i
, we get P{X
i+1,n
> X
i,n
} > (1)
ni
; since we have
P{X
i+1,n
> X
i,n
} to be a continuous function of , we have the existence of an
value such that P{X
i+1,n
> X
i,n
} = (1)
ni
. This proves the last statement
(in the parentheses) of Theorem 5.2.44.
(b) If n = 2 and i = 1, we get
_
n
i
_
1/i
= 1/2. In this case, if nei-
ther = 1/2 nor = 0, we get P{X
i+1,n
> X
i,n
} = 1 P{X
1
= X
2
} =
{2(1)(+)}/(1+) ; consequently we have here P{X
i+1,n
> X
i,n
} =
(1)
ni
, i.e. the probability to be equal to 1 , if and only if = 1 2.
One can hence see as to how Stadjes result follows as a corollary to Theorem
5.2.44.
The following theorem is due to Rao and Shanbhag (1998) special versions
of which have been dealt with by Arnold and Ghosh (1976) and Arnold (1980).
Zijlstra (1983) and Fosam et al. (1993) have reported further specialized ver-
sions of Theorem 5.2.44.
Theorem 5.2.46. Let n 2 and X
1,
X
2
, . . . , X
n
be nondegenerate i.i.d. ran-
dom variables with cd f F. Then, for some i 1, the conditional distribution of
X
i+1,n
X
i,n
given that X
i+1,n
X
i,n
> 0 is the same as the distribution of X
1,ni
,
where X
1,ni
is as dened in Theorem 5.2.44, if and only if F is either exponen-
tial, for some > 0, or geometric on {, 2, . . .}.
The following characterization of exponential distributionis due to Rao and
Shanbhag (1998) which is in terms of certain function of spacings.
1
, X
2
, . . ., X
n
(n 2) be i.i.d.with a continuous cd f F.
Further, let i be a xed positive integer less than n and be a nonarithmetic (or
nonlattice) real monotonic function on R
+
such that E [|(X
i+1,n
X
i,n
)|] < .
Then, for some constant c =(0+), E [(X
i+1,n
X
i,n
)|X
i,n
] =c a.s. if and only
if F is exponential, within a shift.
The following characterization of the exponential distribution in terms of
the independence of spacing X
n,n
X
n1,n
and order statistic X
n1,n
is due to
Lee et al. (2002).
Theorem 5.2.48. X
n,n
X
n1,n
and X
n1,n
are independent if and only if F
is exponential.
Remark 5.2.49. Bairamov et al. (2002) showed that each of the following
two conditions is a characteristic property of the exponential distribution:
P(X
n,n
>t +x|X
1,n
>t) = P(X
n,n
> x)
and
E[X
n,n
t|X
1,n
>t] = E[X
n,n
] .
Bairamov and

Ozkal (2007) presented characterizations of certain distribu-
tions based on the conditional expectations of order statistics. One of the distri-
butions considered is Weibull. We shall state their result for the special case of
Weibull, namely exponential.
Proposition 5.2.50. The absolutely continuous non-negative random vari-
able X with strictly increasing cd f F has exponential distribution with parame-
ter > 0, if and only if, the representation
1
k
k
p=1
E
_
X
j,n
|X
jp,n
= x, X
j+k+1p,n
= y
=
exp(x)(x+1) exp(y)(y+1)
exp(x) exp(y)
,
holds for all 0 x < y <. Here k +1 j nk.
Hamedani et al. (2008) characterized various distributions based on trun-
cated moment of the rst order statistic, one of which is Weibull. Here we state
the result for the special case of exponential distribution.
Proposition 5.2.51. Let X be a non-negative continuous random variable
with cd f F such that lim
x
x(1F (x))
n
= 0. Then X has an exponential dis-
tribution with parameter > 0 if and only if
E [X
1,n
|X
1,n
>t] =
nt +1
n
, t > 0.
5.3. Characterizations Based on Generalized Order
Statistics
In this section we review characterizations of exponential distribution based on
generalized order statistics. Kamps (1995), introduced a concept of generalized
order statistics as a unied approach to order statistics and record values. Kamps
dened generalized order statistics as follows.
Let, for simplicity, F denote an absolutely continuous cd f with pd f f . The
random variables X (1, n, m, k), X (2, n, m, k), . . . , X (n, n, m, k) are called gener-
alized order statistics based on F, if their joint pd f is given by
f
X(1,n,m,k),X(2,n,m,k),...,X(n,n,m,k)
(x
1
, x
2
, . . . , x
n
)
= k
_
n1
j=1
j
__
n1
i=1
_
F (x
i
)
_
m
f (x
i
)
_
_
F (x
n
)
_
k1
f (x
n
),
F
1
(0+) < x
1
x
2
x
n
< F
1
(1),
with n N, k >0, mRsuch that
j
=k+(n j)(m+1) >0 for all 1 j n.
As pointed out by Kamps, in the case m = 0 and k = 1 this model reduces
to the joint pd f of ordinary order statistics, and in the case m = 1 and k N
we obtain the joint pd f of the rst n k
th
record values based on a sequence
X
1
, X
2
, . . . of i.i.d. rv
s with cd f F. The marginal pd f of the r

th
generalized
order statistic is given by
f
X(r,n,m,k)
(x) =
c
r1
(r 1)!
_
F(x)
_
r
1
f (x)g
r1
m
(F(x)),
(see Kamps 1995, p. 64) and the pd f of the spacings
W
r1,r,n
= X (r, n, m, k)X (r 1, n, m, k), 2 r n,
has the following representation:
f
W
r 1 , r , n
(y) =
c
r1
(r 2)!
_
F (x)
_
m
f (x)g
r2
m
(F(x))
_
F (x+y)
_
r
1
f (x+y) dx
with (see Kamps 1995, p. 69)
c
r1
=
r
j=1
j
, 1 r < n,
h
m
(x) =
(1x)
m
dx =
_
1
m+1
(1x)
m+1
, m = 1,
ln
_
1
1x
_
, m = 1,
g
m
(x) = h
m
(x) h
m
(0), x [0, 1).
Kamps (1995, p. 81) generalized Sukhatmes result that the normalized
spacings
D(1, n, m, k) =
1
X (1, n, m, k),
D(r, n, m, k) =
r
(X (r, n, m, k)X (r 1, n, m, k)), 2 r n,
based on exponential distribution with parameter are i.i.d. E ().
Again following Kamps (1995), W
r1,r,n
and X (1, nr +1, m, k) are i.d.,
since
W
r1,r,n
1
X (1, n, m, k) = Z
and
f
Z
(z) =

r
1
f
X(1,n,m,k)
_
1
z
_
=
r
_
F
_
1
z
__
1
1
f
_
1
z
_
=
r
exp{
r
z} = f
X(1,nr+1,m,k)
(z).
Hence, it remains to be seen that the above properties will indeed characterize
exponential distribution uniquely.
In the following theorem, Kamps and Gather (1997) show that, under cer-
tain regularity conditions, a weaker assumption than D(r, n, m, k) D(s, n, m, k)
is sufcient to characterize exponential distribution within the class of distribu-
tions with IFR or DFR property. A special case of this result is that of Gajek
and Gather (1989) established for ordinary order statistics.
As in Kamps and Gather (1997), let r
Y
(x) = g(x)/G(x) denote the failure
rate of a random variable Y with cd f G and pd f g. The failure rates as well
as the pd f f in Theorem 5.3.1 and Remark 5.3.2 below ( both due to Kamps
and Gather, 1997) are assumed to be continuous from the right. If r
Y
is mono-
tone, then the limit r
Y
(0) = lim
x0
r
Y
(x) is assumed to be nite (cf. Gajek and
Gather, 1989).
Theorem 5.3.1. Let F be absolutely continuous with pd f f , F(0) = 0, and
suppose that F is strictly increasing on (0, ), and either IFR or DFR. Then
F E () for some > 0 if and only if there exist integers r, s and n, 1 r <
s n, such that r
D(r,n,m,k)
(0) = r
D(s,n,m,k)
(0).
Remark 5.3.2. Again, Kamps and Gather (1997) pointed out that it is easily
seen that the property r
D(s,n,m,k)
(0) = r (0)(r is failure rate of F) for some 2
s n is also a characteristic property of exponential distribution. This assertion
corresponds to Remark 2.1 in Gajek and Gather (1989) and generalizes Theorem
2.2 in Ahsanullah (1981b) for ordinary order statistics. As in the case r = 1 in
Theorem 5.3.1, it is obvious that the IFR or DFR assumption can be replaced
by the condition that zero is an extremal point of the failure rate of F.
Kamps and Gather (1997) presented the following theorem generalizing
Theorem 2.1 of Ahsanullah (1981b), which in the case of ordinary order statis-
tics, characterizes exponential distribution based on the equality of the expecta-
tions of successive (normalized) spacings.
Theorem 5.3.3. Let F be absolutely continuous with pd f f , F(0) =
0, F(x) < 1 for all x > 0, and suppose that F is IFR or DFR. Moreover, let
m 1. Then F E() for some > 0 if and only if there exist integers r and
n, 1 r n1, such that E [D(r, n, m, k)] = E[D(r +1, n, m, k)] .
In the following theorem, Kamps and Gather, (1997) show that under an
NBU or NWU assumption, characterizations of exponential distribution based
on the equality of the expectations of X
s,n
X
r,n
and X
sr,nr
established by
Iwi nska (1986) and Gajek and Gather (1989), can also be extended to general-
ized order statistics in the special case of s = r +1.
Theorem 5.3.4. Let F be absolutely continuous with pd f f , F(0) = 0,
and suppose that F is strictly increasing on (0, ), and either NBU or NWU.
Moreover, let the expected values involved be nite. Then F E () for some
> 0 if and only if there exist integers r and n , 1 r n 1, such that
E[X (r +1, n, m, k)] E [X (r, n, m, k)] = E[X (1, nr, m, k)] .
The following remark is also due to Kamps and Gather (1997) involving a
counterexample of Kamps (1995, p. 128).
Remark 5.3.5. Without any further assumption, the equation
E[X (r +1, n, m, k)] E[X (r, n, m, k)] = E[X (1, nr, m, k)]
for just one pair (r, n), 1 r n1, does not characterize exponential distribu-
tion. For every choice of r, n and m = 1 there are distributions different from
exponential with the above property. For example, the distributions given by
F (x) = 1
_
1+cx
d
_
1/(m+1)
_
c > 0, x (0, ), m > 1,
c < 0, x
_
0, (1/c)
1/d
_
, m <1,
with
d =
k +(n1)(m+1)
k +(n2)(m+1)
_
=

1
2
_
satisfying the moment condition for r = 1.
The denition of the generalized order statistics given by Kamps in (1995)
and in Kamps and Gather (1997) (also given before in this section) involved
a single real number m. Kamps and Cramer (1999) extended this denition
slightly by replacing m with a vector m = (m
1
, m
2
, . . . , m
n1
) in R
n1
as given
below. Then a characterization of exponential distribution based on this ex-
tended version of the generalized order statistics was presented by Kamps and
Cramer, which is given in Theorem 5.3.6 below.
Again let, for simplicity, F denote an absolutely contin-
uous cd f with corresponding pd f f . The random variables
X (1, n, m, k), X(2, n, m, k), . . ., X (n, n, m, k) are called generalized order
statistics based on F, if their joint pd f is given by
f
X(1,n, m,k),X(2,n, m,k),...,X(n,n, m,k)
(x
1
, x
2
, . . . , x
n
)
= k
_
n1
j=1
j
__
n1
i=1
_
F(x
i
)
_
m
i
f (x
i
)
_
_
F (x
n
)
_
k1
f (x
n
),
on the cone F
1
(0) < x
1
x
2
x
n
< F
1
(1) of R, with parameters
n N, n 2, k > 0, m = (m
1
, m
2
, . . ., m
n1
) R
n1
, M
r
=

n1
j=r
m
j
, such that
r
= k +n r +M
r
> 0 for all r {1, 2, . . ., m
n1
} (cf. Kamps, 1995, 1998a).
Moreover, let c
r1
=
r
j=1
j
, r = 1, 2, . . ., n1, and
n
= k.
Kamps and Cramer (1999) pointed out that in the context of ordinary or-
der statistics X
1,n
, X
2,n
, . . ., X
n,n
based on F it is well-known (cf. Ahsanullah
1984; Iwi nska 1986; Gajek and Gather 1989; Gather et al. 1998, p. 266/7,
Kamps 1998a; see also Gather 1988) that, under NBU or NWU assumption
X
s,n
X
r,n
X
sr,nr
, r <s as well as the equality E[X
s,n
] E [X
r,n
] =E[X
sr,nr
]
are characteristic properties of exponential distribution. We would like to men-
tion that except Kamps (1998a) result, the rest of the results mentioned in the
parentheses above have already been mentioned in this chapter. In what follows
(Theorem 5.3.6), Kamps and Cramer (1999) extend the above mentioned re-
sults to generalized order statistics restricting on pairwise different parameters
1
,
2
, . . . ,
n
. For the case m
1
= m
2
= = m
n1
see Theorems 5.3.1, 5.3.3 and
5.3.4 above and for more details see Kamps (1998b).
Theorem 5.3.6. Let the appearing generalized order statistics be well-
dened and be based on an absolutely continuous cd f F. Let F be strictly in-
creasing on (0, ) with F (0) = 0, and let F be NBU or NWB. Then F E()
for some > 0 if and only if there exist integers r, s and n, 1 r < s n, such
that
i) X (s, n, m, k) X (r, n, m, k) X (s r, nr, , k),
or
ii) E[X (s, n, m, k)] E[X (r, n, m, k)] = E[X (s r, nr, , k)] ,
assuming that the expected values are nite,
where = (
1
,
2
, . . . ,
nr1
) = (m
r+1
, m
r+2
, . . . , m
n1
).
Keseling (1999) considered, among other things, X (i, n, 0, 1), 1 i n,
based on a continuous cd f F and presented the following characterization of
the exponential distribution.
Theorem 5.3.7. F E(1) if and only if
E[X (r +1, n, 0, 1)|X (r, n, 0, 1) = x] = x+b a.s.
Remark 5.3.8. As we mentioned in Section 5.2, Rao and Shanbhag (1994)
proved that exponential distributionis the only continuous distributionwith con-
stant regression E [(X
r+1,n
X
r,n
)|X
r,n
= x] with nonarithmetic and mono-
tonic and E[|(X
r+1,n
X
r,n
)|] < . Rao and Shanbhag (1986) presented simi-
lar result for record values. In the following corollary, Keseling (1999) showed
the same result for gos.
Corollary 5.3.9. Let X (1, n, m, k), . . . , X(n, n, m, k) be a sequence of
gos based on a continuous cd f F. Further, let r {1, 2, . . ., n1} be
xed and a nonarithmetic real monotonic function on R
+
such that
E[|(X (r +1, n, m, k)X (r, n, m, k))|] is nite. Then, for some constant c =
(0
+
),
E [(X (r +1, n, m, k) X (r, n, m, k))|X(r, n, m, k) = x] = c a.s.
if and only if there exists >0 and R with F (x) =1exp((x)), x
.
Remark 5.3.10. It is known that within a suitable class of continuous
distributions, the exponential distribution is the only distribution for which
Var [X
i+1,n
|X
i,n
= x] is constant. For gos Keseling (1999) presented the follow-
ing corollary.
Corollary 5.3.11. Let X (1, n, m, k), . . . , X(n, n, m), n 2, be a sequence
of gos
s based on the differentiable cd f F with supp(F) = (0, ), F
> 0 on
supp(F) and for some r {1, 2, . . ., n1}, E
_
X
2
< for a rv X 1
(1F)
r+1
/(nr)
. Then
Var [X (r +1, n, m, k)|X (r, n, m, k) = x] = c > 0 a.s.
if and only if there exists > 0 with F (x) = 1exp(x) , x 0.
Remark 5.3.12. In view of the results reported in this section, the similari-
ties in some characterization results based on order statistics and based on record
values (which will be discussed in details in Chapter 6) are no longer astonish-
ing. It clearly shows that the concept of generalized order statistics presents a
unied approach to characterizations of distributions and well-known charac-
terization results based on order statistics and record values can be deduced as
special cases of gos.
Bieniek and Szynal (2003) presented various characterizations of distribu-
tions via linearity of regression of gos extending results of Dembi nska and
Wesolowski (1998, 2000). We state here their characterization of the expo-
nential distribution. We need to dene l
F
= inf {x R : F (x) > 0} and r
F
=
sup{x R : F (x) < 1} for the following theorem.
Theorem 5.3.13. Let X (i, n, m, k), 1 i n, be gos based on an absolutely
continuous distribution function F, and let
i
=
j
, for all i = j, 1 i, j n.
Suppose that E[|X (r +l, n, m, k)|] < , where r +l n. If the following
linearity of regression holds
E [X (r +l, n, m, k)|X(r, n, m, k) = x] = x+b, x (l
F
, r
F
),
for some b R, then F E(, ), where R and > 0 is determined by
=
1
b
r+l
i=r+1
.
For further studies regarding the characterizations of distributions (in par-
ticular the exponential distribution) via linear regression of gos
s, we refer the
interested reader to an excellent paper by Cramer, Kamps and Keseling (2004).
Ahsanullah (2006) presented the following characterization of exponential
distribution based on the generalized order statistics, in different direction than
the ones mentioned earlier.
Theorem 5.3.14. Let X be a non-negative random variable having an abso-
lutely continuous (with respect to Lebesgue measure) cd f F with F (0) = 0 and
0 < F (x) < 1 for all x > 0. Then the following properties are equivalent:
a) X has an exponential distribution with pd f , f (x) =
1
e
1
x
;
b) X (r +1, n, m, d) X (r, n, m, k)+
W
r+1
, r > 1, where W E
_
1
_
is in-
dependent of X (r +1, n, m, k) and X (r, n, m, k) and m 1.
For k = 1 and m = 0, a characterization of exponential distribution via rela-
tion X
r+1,n
X
r,n
+
W
nr
is obtained.
We will now present some new characterizations of the exponential distri-
bution based on generalized order statistics.
Theorem 5.3.15. Let X be a non-negative rv with an absolutely continuous
(with respect to Lebesgue measure) and strictly increasing cd f F with F (0) = 0
and F (x) < 1 for all x > 0. Then the following properties are equivalent:
(a) X E();
(b) For 1 < r n, the rv
s (X (r, n, m, k)(X (r 1, n, m, k))) and

X (r 1, n, m, k) are independent.
Proof. Let U = X (r 1, n, m, k) and V = (X (r, n, m, k)X (r 1, n, m, k)). We
derive the joint pd f of U and V as
f
U,V
(u, v) =
_
_
c
r2
(r2)!
(1F (u))
m
g
r2
m
(F(u))
[1F (u+v)]
r
1
f (u) f (u+v) , 0 < u, v < ,
0, otherwise.
(5.3.1)
If X E(), then 1F (x) = exp(x) and
g
m
(F (x)) =
_
1
m+1
_
1e
(m+1)x
_
, for m = 1,
x, for m = 1.
Upon simplication, we arrive at
f
U,V
(u, v) =

2
c
r2
(r 2)!
g
r2
m
_
1e
u
_
e
r1
u
e
r
v
(5.3.2)
Thus U and V are independent.
Now, let f
U
(u) be the pd f of U, then
f
U
(u) =
c
r2
(r 2)!
(1F (u))
1+
r1
g
r2
m
(F (u)) f (u). (5.3.3)
Using (5.3.2), (5.3.3) and the relation
r1
=
r
+m+1, we obtain the condi-
tional pd f of V given U = u as
f
V|U
(v|u) =
_
F (u+v)
_
F(u)
_
1
_
r
1
f (u+v)
_
F(u)
_
1
, (5.3.4)
for all v, 0 < v < and all u.
Integrating the expression in (5.3.4) with respect to v from v
1
to , we
obtain
F
V|U
(v
1
|U = u) =
_
F (u+v
1
)
_
F(u)
_
1
_
r
, (5.3.5)
for all v
1
and u, 0 < u, v
1
< .
Since U and V are independent, we obtain from (5.3.5) for all u and v
_
F (u+v)
_
F (u)
_
1
_
r
= G(v),
where G(v) is clearly a function of v only. Now, upon taking limit as u 0, we
arrive at G(v) =
_
F(v)
_
r
. Hence for all u and v, 0 <u, v < and a xed
r
, we
have
F (u+v) = F (u)F (v). (5.3.6)
The solution of (5.3.6) is (see Acz el (1966)) F (x) = e
x
, where is arbitrary.
Since F (x) = 1 F(x) is a cd f , must be positive, which complete the proof
of the theorem.
Remarks 5.3.16. (i) If k = 1 and m = 0, then from Theorem 5.3.15 we ob-
tain the result of Rossberg (1972). If k = 1 and m = 1, then we obtain, from
Theorem 5.3.15, the characterization of the exponential distributionof Ahsanul-
lah (1978) based on the independence of
_
X
U(n)
X
U(n1)
_
and X
U(n1)
, where
X
U(k)
is dened in Chapter 3.
(ii) It is clear that for exponential distribution E(),
E[X ( j +1, n, m, k)|X( j, n, n, k) = x] is a linear function of x. It can be
shown that this property characterizes the exponential distribution.
Proof of the following theorem is similar to that of Theorem 5.3.15 and
hence will be omitted.
Theorem 5.3.17. Let X be as in Theorem 5.3.15. Then the following prop-
erties are equivalent.
(a) X E().
(b) For 1 < j n, the rv
s
j
(X( j, n, m, k) X ( j 1, n, m, k)) and
1
X (1, n, m, k) are identically distributed.
Remarks 5.3.18. (i) For k = 1, m = 0, Theorem 5.3.17 gives a charac-
terization of the exponential distribution based on the identical distribution of
(n j +1)(X
j,n
X
j1,n
) and nX
1,n
(Ahsanullah, 1977). (ii) For k = 1, m =
1, Theorem 5.3.17 gives a characterization of the exponential distribution
based on the identical distributionof X
U( j)
X
U( j1)
and X (Ahsanullah, 1978).
(iii) For k = 1, m = 0, Theorem 5.3.17 gives a characterization of the exponen-
tial distribution based on the identical distribution of (n j)(X
j+1,n
X
j,n
) and
X.
The following two theorems are based on the monotonicity of the hazard
rate.
Theorem 5.3.19. Let X be a non-negative rv with an absolutely continuous
(with respect to Lebesgue measure) and strictly increasing cd f F for all x > 0
and F (x) < 1 for all x > 0. Then the following properties are equivalent.
(a) X E ().
(b) X has a monotone hazard rate and for one n , one j (1 < j n), one m
and one k, the rv
s {k+(n j)(m+1)}(X ( j, n, m, k)X ( j 1, n, m, k)) and X

are identically distributed.
Proof of this theorem is based on the following lemma.
Lemma 5.3.20. Let X be as in Theorem 5.3.19 with corresponding pd f f .
If the hazard rate is monotone and if

0
c
j2
( j 2)!
_
F (u)
_
1+
j1
g
j2
m
(F (u))H(u, v)du = 0,
for all v, one j, one m, and one
j1
,
where
H(u, v) = F (v)
_
_
F
_
u+
v
j
_
F(u)
_
_
j
,
then H(0, v) = 0 for all v > 0.
Proof. We have H(u, 0) = 0 = H (u, ) and
H(u, v)
u
= q(u, v)
_
r
_
u+
v
j
_
r (u)
_
,
where r (u) is the hazard rate and q(u, v) =
_
F
u+
v
F(u)
_
j
.
(i) If r (x) = constant for all x, then
H(u,v)
u
= 0, for all u and v.
(ii) If r (x) is strictly monotone increasing in x, then H(u, v) is strictly in-
creasing in u for any xed v. Thus for all v, if H(u, v) is not identically zero,
then it must be negative in an interval containing zero. Let H(u, v) < 0 for
u I = [0, b] , where b is a real number. Then for u I,
H(u, v)
v
=f (v) +
_
_
F
_
u+
v
j
_
F (u)
_
_
j
r
_
u+
v
j
_
> f (v) +F (v)r
_
u+
v
j
_
, for u I, since H(u, v) < 0,
> F(v)
_
r
_
u+
v
j
_
r (v)
_
< 0, for all u I and all v >

j
j
1
u.
Thus for all u I, H (u, v) decreases to 0 as v . But for all u I, H(u, 0) =
0, H(u, v) < 0 and H(u, v) decreases to 0 as v . Therefore, by continuity of
H(u, v) we must have H(u, v) =0 for all v >0 and all u I. Hence H(0, v) =0
for all v > 0.
(iii) If r (x) is strictly monotone decreasing in x, similar argument can be
used.
Proof of Theorem 5.3.19 can now easily be completed, which we omit it.
Remarks 5.3.21. (i) The condition of monotonicity of hazard rate in The-
orem 5.3.19 can be replaced by NBU/NWU property. (ii) Kamps and Gather
(1997) presented a proof of Theorem 5.3.19 under the equality of the expecta-
tions instead of identical distribution.
The proof of the following theorem is similar to that of Theorem 5.3.19 and
hence will be omitted.
Theorem 5.3.22. Let X be as in Theorem 5.3.19. Then the following are
equivalent.
(a) X E().
(b) X has a monotone hazard rate and for one n , one
j (1 < j n), one m and one k (k 1, m is a real number) the
rv
s {k +(n j)(m+1)}(X ( j, n, m, k) X ( j 1, n, m, k)) and

{k +(n j 1) (m+1)}(X ( j +1, n, m, k) X ( j, n, m, k)) are identically
distributed.
Chapter 6
Characterizations of
Exponential Distribution II
6.1. Characterizations Based on Record Values
The problem of characterizing exponential distribution based on record values,
as far as we have gathered, started in late sixties by Tata (1969) and followed in
seventies by Nagaraja (1977), Sirvastava (1978) and Ahsanullah (1978, 1979).
The goal of this chapter is to review characterization results related to the ex-
ponential distribution based on record values. As in Chapter 5, we will discuss
these results in the chronological order rather than their importance. We will be
using the same notation employed in Chapter 5 throughout this chapter when-
ever needed. We apologize if we missed to report some pertinent results.
To refresh the readers memory we recall the denition of record val-
ues from Chapter 3. Let X
1
, X
2
, . . . be a sequence of i.i.d. random vari-
ables with cd f F and corresponding pd f f . Set Y
n
= max{X
1
, X
2
, . . ., X
n
}, for
n 1. We say that X
j
is an upper record value of (X
n
)
n1
if X
j
> X
j1
.
Lower record value is similarly dened. In what follows, unless otherwise
stated, by record values we mean upper record values. By denition X
1
is a record value. The indices at which the record values occur are given
by the record value times {U (n), n 0}, where U (0) = 1, and U (n) =
min
_
j| j >U(n1), X
j
> X
U(n1)
_
. We will denote R(x) = ln
_
F (x)
_
and
r (x) = f (x)
_
F (x)
_
1
, for F (x) >0. r (x) is called the hazard rate. We say that
F belongs to the class H
if r (x) is either monotone increasing or decreasing.

Tata (1969) presented a characterization of the exponential distribution
based on the independence of the random variables X
U(0)
and X
U(1)
X
U(0)
as
follows .
Theorem 6.1.1. If F is absolutely continuous, then F is exponential if and
only if X
U(0)
and X
U(1)
X
U(0)
are independent.
Gupta (1984) pointed out that the following characterizations have appeared
in literature for the i.i.d. case.
(1). The independence of X
U( j+1)
X
U( j)
and X
U( j)
characterizes the expo-
nential distribution, Sirvastava (1978), Ahsanullah (1979) and Pfeifer (1982).
(2). E
__
X
U( j+1)
X
U( j)
_
|X
U( j)
is independent of X
U( j)
characterizes the
exponential distribution, Sirvastava (1978), Ahsanullah (1978) and Nagaraja
(1977).
(3). Var
_
(X
U(j+1)
X
U( j)
)|X
U(j)
is independent of X
U( j)
characterizes the
exponential distribution, Ahsanullah (1981).
We will get back to Gupta (1984), but for now we would like to mention
that Ahsanullah (1979) presented two characterizations of exponential distri-
bution based on record values generalizing Tatas (1969) result as well as other
characterizations reported in this direction. Here are Ahsanullahs (1979) results
stated in Theorems 6.1.2 and 6.1.4 below.
Theorem6.1.2. Let (X
n
)
n1
be a sequence of i.i.d. randomvariables having
an absolutely continuous (with respect to Lebesgue measure) cd f F such that
=inf{x|F(x) >0} = 0 and f (x) >0 for = 0 <x <. Then for X
n
E(),
it is necessary and sufcient that X
U(n1)
and X
U(n)
X
U(n1)
are independent.
Remark 6.1.3. For n = 1, the above theorem reduces to Theorem 6.1.1.
Theorem 6.1.4. Under the assumptions of Theorem 6.1.2, the followingtwo
statements are equivalent:
(a) X
1
E().
(b) for 0 m < n 1, the conditional distributions of
_
X
U(n)
X
U(n1)
_
given X
U(m)
and
_
X
U(m+1)
X
U(m)
_
given X
U(m)
are i.d. and X
1
H
.
Characterizations of Exponential Distribution II 101
Nayak (1981) also presented a generalization of Tatas result by showing
that for an absolutely continuous distribution the independence of X
U(r)
and
X
U(n)
X
U(s)
for some 0 r < s < n is already sufcient to characterize the ex-
ponential distribution. This result was independently proved by Dallas (1981)
whose method of proof can be used to characterize other distributions. Ah-
sanullah (1981), which was referred to in (3) above, as well as Pfeifer (1982)
employed the independence of certain functions of record values (or record in-
crements) to established further characterizations of the exponential distribu-
tion.
The similarity between characterizations of exponential distribution based
on order statistics and based on record values motivated Gupta (1984) to in-
vestigate the relationship between record values and order statistics. The same
problem was taken up by Deheuvels (1984) independently. Gupta showed that
the conditional distributions of X
i+1,i+1
X
i,i+1
given X
i,i+1
and X
U(i+1)
X
U(i)
given X
U(i)
are the same. Gupta also investigated a relation between conditional
distributions of X
j+1,n
given X
j,n
and X
U( j)
given X
U( j1)
. For different set of
conditions see Deheuvels (1984). The following two results are due to Gupta
(1984). He proved a general theorem from which all the results mentioned in
(1)(3) above follow as special cases.
Theorem 6.1.5. E
__
X
U( j+1)
X
U( j)
_
r
|X
U(j)
= y
=c (independent of y) for
xed j, r 1 if and only if F is exponential.
Remarks 6.1.6. (a) Gupta (1984) pointed out that the proof of Theo-
rem 6.1.5 requires only the continuity of F. (b) Theorem 6.1.5 was extended
by Rao and Shanbhag (1986), where they obtained the same characteriza-
tion if, in Guptas condition, the expression
_
X
U( j+1)
X
U( j)
_
r
is replaced by
G
_
X
U( j+1)
X
U( j)
_
, where G is a monotone function satisfying certain condi-
tions.
Theorem 6.1.7. E
_
X
U( j+1)
X
U( j)
=E [X
1
] , for one xed j, characterizes
the exponential distribution in the class of NBU or NWU distributions.
Remark 6.1.8. Gupta (1984) pointed out that the assertion given in the
above theorem cannot be replaced by E
_
X
U( j+1)
X
U( j)
for a xed j deter-

mines the distribution. He provided a counter-example in his Remark 2 of the
paper.
Deheuvels (1984) pointed out, as did Gupta (1984), that a great deal of what
has been achieved in the characterization of exponential distribution based on
order statistics can be expressed equivalently based on record values and vice
versa. Then he presented the following result, Theorem 6.1.9 below.
For a xed j 1, Deheuvels (1984) denes the j
th
record times by
n
( j)
1
= j, n
(j)
k
= min
_
m > n
( j)
k1
|X
mj+1,m
> X
n
( j)
k1
j+1,n
( j)
k1
_
, k = 2, 3, . . .,
and the j
th
record values by
R
(j)
k
= X
n
( j)
k
j+1,n
( j)
k
.
n
)
n1
a continuous cd f F. For a xed j 1, let R
( j)
1
, R
(j)
2
, . . . be the corresponding
sequence of j
th
record values dened above. Then, if k 1 is a given integer, R
( j)
k
and R
( j)
k+1
R
( j)
k
are independent if and only if F (x) =1exp{b(xB)}, x
B, for some nite constants b(b > 0) and B.
Remark 6.1.10. As pointed out by Deheuvels (1984), the preceding result
gives a simple proof of a theorem given in Ahsanullah (1978) for the case j = 1.
Another extension, again due to Deheuvels (1984), is the following theorem.
Theorem 6.1.11. With the assumptions of Theorem 6.1.9, if it is assumed
further that F (x) is absolutely continuous with respect to Lebesgue measure
and that g (x, y) > 0 is a Borel-measurable function such that
g(x, y)dF (x)dF (y) <,

then, if for some j and k 1, R
(j)
k
and g
_
R
( j)
k
, R
(j)
k+1
_
are independent, there
exists a constant c such that, for all z ,

z
g(z, x)dF (x) = cF (z).
Iwi nska (1985) presented a characterization of the exponential distribution
by a distributional property of the difference of two arbitrary record values. She
also characterized the exponential distributionbased on the conditional distribu-
tions of the difference of two, not necessarily consecutive, record values. Then
in 1986, Iwi nska established a characterization of the exponential distribution
based on the expectation of spacings between two, not necessarily consecutive,
record values.
Nagaraja (1988) lets
_
Y
j
, j 1
_
be the sequence of (upper)
record values from a sequence of i.i.d. random variables (X
j
)
j1
having a continuous cd f F, for which E[Y
m+1
] is nite. He
pointed out that this (expectation) condition holds if E[X
1
] and
E
_
X
+
1
_
ln
_
X
+
1
__
m
are nite (see, Nagaraja, 1978). Nagaraja then estab-

lished the following result.
Theorem 6.1.12. E[Y
m+1
|Y
m
] and E [Y
m
|Y
m+1
] are both linear in the con-
ditioning random variable for some m if and only if F is an exponential (type)
cd f . (A dual result holds for lower record values ).
Using concepts of NBU (NWU) and IHR (DHR) Ahsanullah presented cer-
tain characterizations of the exponential distributionbased on the record values,
see Theorems 6.1.13, 6.1.15 and 6.1.16 below.
j
)
j1
be a sequence of i.i.d. non-negative random
variables with an absolutely continuous (with respect to Lebesgue measure)
cd f F and corresponding pd f f . If F is in the class of NBU or NWU and for
some m, m 2, X
U(m)
X
U(m1)
+U, where U is independent of X
U(m)
and
X
U(m1)
and U X
1
, then X E(), for some > 0.
Remarks 6.1.14. (a) Theorem 6.1.12 can be used to obtain the follow-
ing known results pertinent to two parameter exponential distribution ( F (x) =
e
(x)
)
E
_
X
U(m)
= +m
1
,
Var
_
X
U(m)
= m
2
,
and
Cov
_
X
U(m)
, X
U(n)
= m
2
, m < n.
(b) Using Theorem 6.1.13, it can be shown that for the exponential distribu-
tion
X
U(m)
U
1
+U
2
+ +U
m
,
where U
1
,U
2
, . . . are i.i.d. exponential. This property is also a characteristic
property of the exponential distribution.
The following theorem is a generalization of Ahsanullahs (1987) result.
j
)
j1
variables with absolutely continuous (with respect to Lebesgue measure) cd f F
and the corresponding pd f f . If F is in the class of IHR or DHR, and for some
m, n with 1 m<n, E[X
U(n)
X
U(m)
] =E
_
X
U(nm)
, then X
1
E (), for some
> 0.
j
)
j1
variables with an absolutely continuous (with respect to Lebesgue measure)
cd f F and corresponding pd f f . Let m be a geometric random variable with
parameter p, independent of X
j
s . Then the following two properties are equiv-
alent:
(i) X
j
s are exponentially distributed.
(ii) p
m
j=1
X
j
X
U(n)
X
U(n1)
, for some xed n, n 1, F is in the class of
NBU or NWU and E [X
1
] < .
Haung and Li (1993) investigated some extensions of various results given
in Ahsanullah (1978,1979), Dallas (1981), Gupta (1984) characterizing the ex-
ponential distribution based on record values. The following three theorems are
due to Haung and Li (1993).
Theorem 6.1.17. Assume F has pd f f . Let G be a non-decreasing function
such that for every x > 0, G has a point of increase in (0, x). Assume for some
xed integer j 1,
E
_
G
_
X
U( j)
X
U( j1)
_
|X
U(j)
= x
= E
_
G
_
X
U(0)
_
|X
U( j)
= x
, for all x > 0.

Then X
1
has an exponential distribution.
In the following theorem, Haung and Li (1993) dene X
U(1)
= 0 for con-
venience.
Theorem 6.1.18. Let F and G be as in Theorem 6.1.17. Also, assume f is
continuous, F (x) > 0 and G(0) = 0. If for some xed integers 1 i j,
E
_
G
_
X
U(i)
X
U(i1)
_
|X
U(j)
= x
= E
_
G
_
X
U(i1)
X
U(i2)
_
|X
U(j)
= x
, for all x > 0,

then X
1
The following theorem is a generalization of Guptas (1984) and Rao and
Shanbhags (1986) results where Haung and Li (1993) will consider the differ-
ence of any two adjacent record values after X
U( j)
instead of the difference of
X
U( j+1)
and X
U( j)
.
Theorem 6.1.19. Assume that F has pd f f and F (x) >0 for x >0. Let Gbe
a non-decreasing function having non-lattice support on x > 0 with G(0) = 0
and E [G(X
1
)] < . If, for some xed non-negative integers j and k,
E
_
G
_
X
U( j+k+1)
X
U( j+k)
_
|X
U(j)
= x
= c,
for every x > 0, where c > 0 is a constant, and if for some > 0,
c <

0
e
x
dG(x) <,
then c = E[G(X
1
)] and X
1
is exponentially distributed.
Remark 6.1.20. Considering a sequence of populations and sequences of
random variables
_
X
(n)
i
_
i1
(stemming from the n
th
population), Witte (1990,
1993) characterized the exponential distribution based on the equidistribution
of X
U(n)
X
U(n1)
and X
(m)
1
. Their results are very interesting, but they are not
in the same directions as the ones reported in this section so far.
Franco and Ruiz (1996) studied characterization of continuous distributions
by conditional expectation of record values including exponential distribution.
Grudzie n and Szynal (1996) characterized the exponential distribution in
terms of record statistics with random index. In their (1997) paper, they men-
tioned that Lin and Too (1989) characterized the exponential distribution via
moments of record values. From Lin and Toos result it follows that the expo-
nential distribution can be characterized by an equality involving two moments
of record values. Grudzie n and Szynal (1997) characterized the exponential
distributionby moments of the k
th
record values extending the above mentioned
result due to Lin and Too.
Grudzie n and Szynal (1997), for a xed integer k 1, dene the sequence
_
Y
(k)
n
_
n1
of the k
th
record values as follows:
Y
(k)
n
= X
U
k
(n),L
k
(n)+k1
, n = 1, 2, . . .,
where the sequence (U
k
(n))
n1
of the k
th
record times is given by
U
k
(1) = 1,
U
k
(n+1) = min
_
j| j >U
k
(n), X
j, j+k1
> X
U
k
(n),L
k
(n)+k1
_
, n = 1, 2, . . .
Note that for k = 1 the sequence
_
Y
(1)
n
_
n1
is the sequence
_
X
U(n)
_
n1
of
record values dened in the beginning of this chapter. Here are their results
stated in Theorems 6.1.21 and 6.1.22 below.
Theorem 6.1.21. Assume E
_
|min{X
1
, X
2
, . . . , X
k
}|
2p
_
< for a xed inte-
ger k 1 and some p > 1. Suppose that N is a positive integer-valued random
variable independent of (X
n
)
n1
. Then F E(1) if and only if
E
_
_
Y
(k)
N
_
2
_
2k
1
E
_
NY
(k)
N+1
_
+k
2
E[N(N+1)] = 0,
provided that E
_
N
2
< .
Theorem 6.1.22. Assume E
_
|min{X
1
, X
2
, . . . , X
k
}|
2p
_
< for a xed inte-
ger k 1 and some p > 1. Then F E(1) if and only if
E
_
_
Y
(k)
1
_
2
_
2
k
E
_
Y
(k)
2
_
+
2
k
2
= 0,
proving that each set
_
E
_
_
Y
(k)
1
_
2
_
, E
_
Y
(k)
2
_
_
, k 1, characterizes the expo-
nential distribution.
For k = 1, Theorem 6.1.22 reduces to the following corollary.
Corollary 6.1.23. Assume E
_
|X
1
|
2p
_
< for some p > 1. Then F E(1)
if and only if
E
_
_
X
L(n)
_
2
_
2n
(n1)!
E
_
X
L(n+1)
+n(n+1) = 0.
Remark 6.1.24. Theorems 6.1.21 and 6.1.22 as well as Corollary 6.1.23 are
special cases of the characterization results for more general distributions than
exponential distribution. We reduced the original theorems to the exponential
case to be consistent with the theme of this chapter and the book as a whole. The
interested readers can see the general results in Grudzie n and Szynal (1997).
L opez-Bl aquez and Moreno-Rebollo (1997) presented certain characteriza-
tions of distributions based on linear regression of record values. One of these
distributions is exponential distribution given in Theorem 6.25 below. Their
result on exponential distribution extends Nagarajas (1988) result in this direc-
tion.
Theorem 6.1.25. If F is k times differentiable, and for certain non-negative
integer, i, the conditional expectations E
_
X
U(i+k)
|X
U(i)
and E
_
X
U(i)
|X
U(i+k)
are both linear, then, except for location and scale parameters, F is the cd f of
an exponential distribution.
The following results (Theorems 6.1.26, 6.1.27 and 6.1.30 and Corollary
6.1.29) due to Rao and Shanbhag (1998), extend the results in Dallas (1981),
Gupta (1984), Rao and Shanbahg (1986, 1994), Witte (1988) and Huang and Li
(1993) all of which, except Rao and Shanbhag (1994), were mentioned before
in this chapter.
Theorem 6.1.26. For some k 1, X
U(k+1)
X
U(k)
X
1
if and only if X
1
has
an exponential distribution.
As a corollary (see Corollary 6.1.29 below) to their following theorem, Rao
and Shanbhag (1998) establish a characterization of the exponential distribution.
Theorem 6.1.27. Let k be a positive integer and be a nonconstant real
monotonic left continuous function on R
+
such that E
_
_
X
U(k+1)
X
U(k)
_
<
and
F
k
(x+) = F
k
((y+)) a.e. [|(+) (0+)|]
whenever 0 < F
k
(x) = F
k
(y) < F
k
(y),
where F
k
is the cd f of X
U(k)
. Then, for some c =(0+),
E
_
_
X
U(k+1)
X
U(k)
_
|X
U(k)
= c a.s.
if and only if the left extremity, l
k
, of F
k
is nite, and either is nonarithmetic
and conditional distribution of X
1
l
k
given that X
1
> l
k
is exponential, or for
some > 0, is arithmetic with span and for some (0, 1)
P{X
1
l
k
x+n} =
n
P{X
1
l
k
x}, x > 0; n = 0, 1, . . .,
where X
1
is a random variable with cd f F.
Remark 6.1.28. When F is continuous, Theorem 6.1.27 holds without the
left continuity assumption of .
Corollary 6.1.29 (Rao and Shanbhag, 1998). Let the assumptions in Theo-
rem 6.1.27 be met. Then the following assertion holds:
If F is continuous or has its left extremity as one of its continuity points and
is nonarithmetic, then, for some c =(0+), E
_
_
X
U(k+1)
X
U(k)
_
|X
U(k)
=c
a.s. holds if and only if F is exponential, with a shift.
Theorem 6.1.30. Let F be continuous and k
2
> k
1
1 be xed integers.
Then, on some interval of the type (, a), with a > the left extremity of
the distribution of X
U(k
1
)
, the conditional distribution of X
U(k
2
)
X
U(k
1
)
given
X
U(k
1
)
= x is independent of x for almost all x if and only if F is exponential,
with a shift.
For the next characterization of exponential distributionwe need a couple of
new notation. Dene two sequences of random variables (
n
)
n1
and (
n
)
n1
by
n
=
_
1 if X
n+1
<
n
i=1
X
i
, n = 1, 2, . . .,
0 otherwise
and
n
=
_
1 if X
L(n)+1
< X
L(n)
,
0 if X
L(n)+1
X
L(n)
,
n = 1, 2, . . . .
The following two Theorems are due to Bairamov (2000).
1
be a non-negative random variable having contin-
uous cd f F satisfying inf {x|F(x) > 0} = 0. Then the following statements are
equivalent:
(a) X
1
(b) For some n > 1
E[
n
] = E[
n
]
and F is either NBU or NWU.
Theorem 6.1.32. Let F be absolutely continuous satisfying
inf {x|F (x) > 0} = 0. Then the following properties are equivalent:
(a) X
1
(b) For some n > 1
n
i=1
X
i
X
L(n)
,
and F is either NBU or NWU.
The following two characterizations of the exponential distribution, due to
Lee (2001), are given in terms of conditional expectations of record values im-
proving similar characterizations mentioned before.
Theorem 6.1.33. If F is absolutely continuous with F (x) < 1 for all x, then
E
_
X
U(n+1)
X
U(n)
|X
U(m)
= y
= c, c > 0, n m+1,
if and only if F is exponential.
Theorem 6.1.34. If F is absolutely continuous with F (x) <1 for all x, Then
E
_
X
U(n+2)
X
U(n)
|X
U(m)
= y
= 2c, c > 0, n m+1,

Lee et al. (2002) reported two more characterizations of the exponential
distribution similar to Theorems 6.1.33 and 6.1.34. The new theorems and the
above two theorems can be combined in the following differently worded state-
ment.
Theorem 6.1.35. Let F be an absolutely continuous cd f with F (x) < 1 for
all x. Then F is exponential if and only if for some n and m, mn1 and some
integer i, 1 i 4
E
_
X
U(n+i)
X
U(n)
|X
U(m)
= y
= ic, c > 0.
The following eight characterizations of the exponential distribution have
appeared in Ahsanullahs book Record values-Theory and Applications ; Uni-
versity Press of America Inc. (2004). We present them here for the sake of
completeness. The rst theorem below is a generalization of Theorem 6.1.2.
n
)
n1
be i.i.d. rv
s with an absolutely continuous

cd f F with F (0) = 0 and F (x) < 1 for all x > 0. Then for X
1
E (), it is nec-
essary and sufcient that X
U(n)
X
U(m)
(0 < m < n) and X
U(m)
are independent.
Proof. The necessary condition is easy to establish. To prove the sufciency
condition, we need the following lemma.
Lemma 6.1.37. Let F be an absolutely continuous cd f and F (x) > 0,
for all x > 0. Suppose that F (u+v)
_
F (v)
_
1
= exp{q(u, v)} and h(u, v) =
{q(u, v)}
r
exp{q(u, v)}

u
q(u, v), for r 0, h(u, v) = 0,

u
q(u, v) = 0 for
any positive u and v. If h(u, v) is independent of v, then q(u, v) is a function of u
only.
Proof of Lemma. Let
g(u) = h(u, v) = (q(u, v))
r
exp{q(u, v)}

u
q(u, v)
=
j=0
(1)
j
( j +1)
{q(u, v)}
r+1

u
q(u, v)
=
j=0
(1)
j
( j +1)
1
(r + j +1)
u
q(u, v).
Hence
j=0
(1)
j
( j +1)
{q(u, v)}
r+j+1
1
(r + j +1)
= c+
g(u)du =: g
1
(u), say.
(6.1.1)
Here g
1
(u) is a function of u only and c is independent of u but may depend on
v.
Now, letting u 0
+
, we see that q(u, v) 0 and hence from (6.1.1), we
have c as independent of v.
Therefore,
0 =

v
g
1
(v) =
j=0
(1)
j
( j +1)
{q(u, v)}
r+j

u
q(u, v)
= g(u)

v
q(u, v)
_

u
q(u, v)
_
1
.
Now, we have g(u) = h(u, v) = 0 and

u
q(u, v) = 0, then we must have
v
q(u, v)=0.
Now, we prove the sufciency condition of Theorem 6.1.36. The joint pd f
of Z
n,m
= X
U(n)
X
U(m)
and X
U(m)
is
f (z, u) =
R
m1
(x)r (x)
(m)(nm)
{R(z +x) R(x)}
nm1
f (z +x),
for 0 < z < , 0 < x <,
where R(x), r (x) and f (x) are ln
_
F (x)
_
, f (x)/F(x) and pd f corresponding
to cd f F, respectively.
The conditional pd f of Z
n,m
given X
U(m)
= x is
f
_
z|X
U(m)
= x
_
=
1
(nm)
{R(z +x) R(x)}
nm1
f (z +x)
F(x)
,
for 0 < z <, 0 < x < . (6.1.2)
Since Z
n,m
and X
U(m)
are independent, we will have for all z > 0,
{R(z +x) R(x)}
nm1
f (z +x)
F (x)
, (6.1.3)
as independent of x.
Now, let R(z +x) R(x) = ln
F(z+x)
F(x)
= q(z, x), say. Writing (6.1.3) in
terms of q(z, x), we get
{q(z, x)}
nm1
exp{q(z, x)}

z
q(z, x), (6.1.4)
as independent of x. Hence, by Lemma 6.1.37, we have
ln
_
F(z +x)
_
F(x)
__
1
= q(z +x) = c(z), (6.1.5)
where c(z) is a function of z only. Thus
F (z +x)
_
F (x)
_
1
= c
1
(z), (6.1.6)
where c
1
(z) is a function of z only.
The relation (6.1.6) is true for all z 0 and any arbitrary xed positive num-
ber x. The continuous solution of (6.1.6) with the boundary condition F(0) = 1
and F () = 0 is
F (x) = exp{x},
for x 0 and any arbitrary positive real number .
Remark 6.1.38. The assumption of absolute continuity of cd f F in The-
orem 6.1.36 can be replaced by continuity of cd f F.
We have seen that if the sequence (X
n
)
n1
of i.i.d.rv
s are from E(), then

X
U(n)
d
=
n
j=1
Z
j
,
where Z
j
s are i.i.d. E ().
The following theorem gives a characterization of the exponential distribu-
tion using the above property.
n
)
n1
s with an absolutely
continuous cd f F and corresponding pd f f and F (0) = 0, F (x) < 1, for all
x >0. If F NBUor NWUand Z
n+1,n
_
= X
U(n+1)
X
U(n)
_
X
1
, then X
1
E().
Proof. The pd f g
n
of Z
n+1,n
can be written as
g
n
(z) =
_
0
(R(u))
n1
(n)
r (u) f (u+z)du, z 0,
0, otherwise.
(6.1.7)
Since Z
n+1,n
X
1
, we must have

0
(R(u))
n1
r (u)
(n)
f (u+z)du = f (z), for all z > 0. (6.1.8)
Substituting

0
(R(u))
n1
f (u)du =(n), (6.1.9)
we have

0
(R(u))
n1
r (u) f (u+z)du
= f (z)

0
(R(u))
n1
f (u)du, for all z > 0. (6.1.10)
Thus

0
(R(u))
n1
f (u)
_
f (u+z)
_
F (u)
_
1
f (z)
_
du = 0, for all z > 0.
(6.1.11)
Integrating (6.1.11) with respect to z from z
1
to , we arrive at

0
(R(u))
n1
f (u)
_
F (u+z
1
)
_
F (u)
_
1
F (z
1
)
_
du = 0, for all z
1
>0.
(6.1.12)
If F is NBU, then (6.1.12) is true if
F(u+z
1
)
_
F (u)
_
1
= F (z
1
), for all z
1
> 0. (6.1.13)
The only continuous solution of (6.1.13) with boundary conditions F (0) = 1
and F () = 0, is F (x) = exp(x), where is an arbitrary real positive num-
ber.
Similarly, if F is NWU then (6.1.12) is true if (6.1.13) is satised and hence
X
1
E().
The following theorem is proved under the assumption of monotone hazard
rate.
n
)
n1
continuous cd f F with corresponding pd f f and F (0) = 0. If Z
n+1,n
and Z
n,n1
are i.d. and F belong to H
, then X
1
E().
Proof. We have
P(Z
n+1,n
> z) =
_

0
(R(u))
n1
r(u)
(n)
F (u+z) du, for all z > 0,
0, otherwise.
Since Z
n+1,n
and Z
n,n1
are i.d., using the above equation we have

0
(R(u))
n
r (u)F (u+z)du
= n

0
(R(u))
n1
r (u)F(u+z)du, for all z > 0. (6.1.14)
Substituting the identity
n

0
(R(u))
n1
r (u)F (u+z)du =

0
(R(u))
n
f (u+z)du
in (6.1.14), we get, on simplication, that

0
(R(u))
n1
r (u)F(u+z)
_
1
r (u+z)
r (u)
_
du = 0, for all z > 0. (6.1.15)
Thus if F H
, then (6.1.15) is true if for almost all u and any z > 0,

r (u+z) = r (u). (6.1.16)
That is the constant hazard rate. The relation (6.1.16) is a well-known charac-
teristic property of the exponential distribution. Hence we have X
1
E().
n
)
n1
be a sequence of non-negative i.i.d. rv
s with
an absolutely continuous cd f F with the corresponding pd f f . If F H
and
for some xed n, m, 1 m<n <, Z
n,m
_
= X
U(n)
X
U(m)
_
X
U(nm)
, then X
1
E().
Proof. The pd f
s f
1
of X
U(nm)
and f
2
of Z
n,m
can be written as
f
1
(x) =
1
(nm)
(R(x))
nm1
f (x), for 0 < x < , (6.1.17)
and
f
2
(x) =

0
(R(u))
m1
[R(x+u) R(x)]
nm1
(n)(nm)
r (u) f (x+u) du (6.1.18)
for 0 < x <.
Integrating (6.1.17) and (6.1.18) with respect to x from 0 to x
0
, we get
F
1
(x
0
) = 1g
1
(x
0
), (6.1.19)
where
g
1
(x
0
) =
nm
j=1
(R(x
0
))
j1
( j)
e
R(x
0
)
,
and
F
2
(x
0
) = 1g
2
(x
0
, u), (6.1.20)
where
g
2
(x
0
, u) =
nm
j=1
[R(x
0
+u) R(u)]
j1
( j)
exp{R(x
0
+u) R(u)}.
Now equating (6.1.19) and (6.1.20), we get

0
(R(u))
m1
(m)
f (u)[g
2
(x
0
, u)g
1
(x
0
)] du = 0, for all x
0
0. (6.1.21)
Thus, if F H
, then (6.1.21) is true if

r (x
0
+u) = r (u), for almost all u and any xed x
0
0. (6.1.22)
Hence X
1
E(), where is an arbitrary positive number.
The following theorem uses the property of homocedasticity but not IFR,
DFR, NBU or NWU property.
n
)
n1
continuous cd f F such that inf{x|F (x) > 0} = 0 and E
_
X
2
n
<. Then X
1
has
exponential distributionif and only if Var
_
Z
n+1,n
|X
U(n)
= x
=b for all x, where

b is a positive constant independent of x.
Proof. We only need to prove the only if condition. Note that
E
_
Z
2
n+1,n
|X
U(n)
= x

0
z
2
_
F (x)
_
1
dF(z +x)
= 2

0
z
_
F (x)
_
1
dF (z +x) dz, (6.1.23)
and
E
_
Z
n+1,n
|X
U(n)
= x

0
z
_
F (x)
_
1
dF (z +x)
=

0
_
F(x)
_
F (z +x) dz. (6.1.24)
Substituting G(x) =

0
zF(z +x)dz and denoting G
(r)
(x) as the r
th
derivative
of G(x) , we have on simplication
G
(1)
(x) =

0
F(z +x)dz, G
(2)
(x) = F(x) and G
(3)
(x) =f (x),
where f is pd f corresponding to F. Expressing (6.1.23) and (6.1.24) in terms
of G
(r)
(x), we have
Var
_
Z
n+1,n
|X
U(n)
= x
= 2G(x)
_
G
(2)
(x)
_
1
_
G
(1)
(x)
_
G
(2)
(x)
_
1
_
2
= b, for all x > 0.
(6.1.25)
Differentiating (6.1.25) with respect to x and simplifying, we obtain
2G
(3)
(x)
_
G
(2)
(x)
_
3
_
_
G
(1)
(x)
_
2
G(x)G
(2)
(x)
_
= 0. (6.1.26)
Since G
(3)
(x) = 0 for all x > 0, we must have
_
G
(1)
(x)
_
2
G(x)G
(2)
(x) = 0, (6.1.27)
i.e.
d
dx
_
G(x)
_
G
(1)
(x)
_
1
_
= 0, for all x > 0. (6.1.28)
The solution of (6.1.28) is
G(x) = ae
cx
, x > 0, (6.1.29)
where a and c are arbitrary constants. Hence
F(x) = G
(2)
(x) = ac
2
e
cx
, x > 0.
Since F is a cd f with F (0) = 0, it follows that
F(x) = e
x
, x > 0 and > 0 is an arbitrary constant.
The following theorem gives a characterization of the exponential distribu-
tion using the hazard rate.
n
)
n1
s with an abso-
lutely continuous cd f F and corresponding pd f f such that inf {x|F(x) = 0} =
0, F(x) < 1 for all x > 0 and F H
. Then X
1
E() if and only if for some
xed n, n 1, the hazard rates r
1
of Z
n+1,n
and r of X
1
are equal.
Proof. We only need to prove the only if condition. Suppose r
1
=r. The joint
pd f of X
U(n+1)
and X
U(n)
is given by
f
n+1,n
(x, y) =
_
1
(n)
(R(x))
n1
r (x) f (y), 0 < x < y < ,
0, otherwise.
Substituting Z
n+1,n
= X
U(n+1)
X
U(n)
and V
n
= X
U(n)
, we have the joint pd f of
Z
n+1,n
and V
n
as
f
1
(z, v) =
_
1
(n)
(R(v))
n1
r (v) f (z +v) , for 0 < z, v <,
0, otherwise.
(6.1.30)
By (6.1.30), we can write
r
1
(z) =
0
(R(v))
n1
r (v) f (z +v)dv

0
(R(v))
n1
r (v)F (z +v)dv
, for all z 0. (6.1.31)
Since r
1
(z) = r (z) for all z, the RHS of (6.1.31) must be equal to
f (z)
F(z)
for all
z 0, from which, after simplication, we obtain

0
(R(v))
n1
r (v)F (z)F (z +v) [r (z +v) r (z)] dv = 0, for all z 0.
(6.1.32)
Since F H
, for (6.1.32) to be true, we must have

r (z +v) = r (v), for all z 0 and almost all v, v 0. (6.1.33)
Hence, X
1
E().
The following theorem is due to Basak (1996), which is based on lower
krecords. This result generalizes the work of Ahsanullah and Kirmani (1991).
n
)
n1
s with cd f F
such that F (0) = 0 and lim
x0
+
F(x)
x
=, > 0. If (L(n, k) k +1) X
L(n,k)
and
X
1,n
, k 1, are identically distributed, then X E ().
The following theorem, due to Ahsanullah (2004), replaces the equality of
the distributions in Theorem 6.1.44 with the equality of the expectations. For
this we need to dene a special class of distributions. We say that a cd f F of
a rv X with F (0) = 0 and E[X] < , belongs to harmonic new better (worse)
than used in expectation ,HNBUE (HNWUE), if for t > 0,

t
F(x)dx ()e
.
n
)
n1
s with a cd f F with
F (0) = 0. If F is HNBUE or HNWUE, then
E
_
(U(n, k)k +1)X
U(n,k)
= E[X
1,k
]
Iwi nska (2005) presented characterizations of the exponential distribution
based on the distributional properties and the expected values of the record val-
ues. It is assumed throughout the paper that the random variables are contin-
uous and non-negative and their cd f F has the property that lim
x0
+ F(x)/x
exists and is nite. It is also assumed that the index of the record values has a
geometric distribution.
Bairamov et al. (2005) characterized the exponential distributionin terms of
the regression of a function of a record value with its adjacent record values as
covariate. Some of the characterizations mentioned before in this chapter are of
similar nature. Yanev et al. (2007) extended Bairamov et al.s (2005) results to
truncated exponential distributions with support (l
F
, ) where, as in Chapter 5,
l
F
= inf{x|F(x) > 0}. Clearly, in case l
F
= 0, their results reduce to Bairamov
et al.s (2005) for the exponential distribution. For more details of truncated
exponential distributions we refer the reader to Yanev et al. (2007).
6.2. Characterizations Based on Generalized Order
Statistics
So far, in Section 6.1, we have been considering characterizations of the ex-
ponential distribution based on record values. As we mentioned in Chapter 5,
the concept of generalized order statistics was introduced by Kamps (1995) as
a unied approach to order statistics and record values. We presented vari-
ous characterizations of the exponential distribution based on generalized order
statistics in Section 5.3. These characterizations can be included in this section
as well, however we will not repeat them here and instead refer the reader to
Section 5.3 one more time, for a review of the characterizations of the exponen-
tial distribution in terms of generalized order statistics.
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Index
B
Best Linear Invariant Estimator, 45, 60
C
Cauchy Functional Equation, 134
Characterization, 121, 122, 124, 125,
126, 128, 131, 132, 133, 135, 136,
139, 141, 142
Conditional Distribution, 133
D
Discrete, 128, 141
E
Exponential Distribution, 65, 67, 69, 71,
73, 75, 77, 79, 81, 83, 85, 87, 89, 91,
93, 95, 97, 99, 101, 103, 105, 107,
109, 111, 113, 115, 117, 119, 121,
122, 124, 126, 130, 135, 136, 142
Extreme Value Distribution, 138
G
Generalized Order Statistics, 51, 52, 53,
55, 57, 59, 61, 63, 125, 133
Geometric, 136, 137, 140, 142
H
Hazard Rate, 131
L
Limiting Distribution, 27, 48
M
Minimum Variance Linear Unbiased
Predictor, 24
Moments, 9, 38, 124, 125, 134, 137,
139, 140
144 Index
O
Order Statistics, 11, 13, 15, 17, 18, 19,
21, 23, 25, 27, 29, 66, 124, 126, 127,
128, 129, 133, 134, 136, 137, 138,
139, 140
P
Prediction, 46, 61, 122, 127
R
Record Times, 31, 126, 129, 131, 137,
140, 142
Record Values, 31, 33, 35, 37, 38, 39,
41, 43, 45, 46, 47, 48, 49, 99, 121,
122, 123, 124, 125, 126, 127, 128,
131, 132, 134, 135, 136, 137, 138,
139, 140, 141, 142
Recurrence Relations, 137

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MATHEMATICS RESEARCH DEVELOPMENTS

. The rst, second and fourth quartiles are

is used for natural logarithm. For X E(), M

(ln f (x)) f (x)dx =

s of single order statistics, but the technique, which we used to arrive at

is a matrix with elements v

s F and G are said to be mutually symmetric if F (x) =

s are symmetric about

s of the lower record values.

s with the standard

+(nm), n > m. (3.3.9)

s with common cd f E (, ). Let Y

(n)/(n). To see this we ob-

X(s, n, m, k) X(s, n, m, k)] = (

X (s, n, m, k)] =Var[

X(s, n, m, k)] +(bias)

s will be dened in the next paragraph). Rossberg (1972)

. If F does not degenerate at the origin and if (i) nX

. If F does not degenerate at the origin, and if there exists

s or the failure rates at zero. Here is their result.

given that X l is geometric on {0, , 2, . . .} if the conditional

, for x [1, 0] , if 0 < b < 1,

, for x [1, ), if b > 1,

, for x [0, 1], if 0 < c < 1,

s with cd f F. The marginal pd f of the r

s based on the differentiable cd f F with supp(F) = (0, ), F

s (X (r, n, m, k)(X (r 1, n, m, k))) and

s {k+(n j)(m+1)}(X ( j, n, m, k)X ( j 1, n, m, k)) and X

s {k +(n j)(m+1)}(X ( j, n, m, k) X ( j 1, n, m, k)) and

if r (x) is either monotone increasing or decreasing.

for a xed j deter-

g(x, y)dF (x)dF (y) <,

are nite (see, Nagaraja, 1978). Nagaraja then estab-

, for all x > 0.

, for all x > 0,

= 2c, c > 0, n m+1,

s with an absolutely continuous

s are from E(), then

, then (6.1.15) is true if for almost all u and any z > 0,

, then (6.1.21) is true if

=b for all x, where

, for (6.1.32) to be true, we must have

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