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Thread: Expected value of second highest draw

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    Expected value of second highest draw




    Hello all,

    Suppose I take two draws from a uniform distribution on [0,1]. I know that the value of the highest draw is equal to x. What then is the expected value of the second highest draw conditional on the highest draw being x? What is the distribution of the second highest draw (conditional on the knowledge our highest draw is x)?

    Thank you kindly for your help,

    Nick

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    Re: Expected value of second highest draw


    Let U_1, U_2 \sim {\rm Uniform}(0,1) be the random sample

    Let X = U_{(2)} \geq U_{(1)} = Y be the ordered sample

    Then \forall x \in (0, 1), \forall y \in (0, x],

    F_{Y|X = x}(y|x) = \Pr\{Y \leq y|X = x\}

    = \Pr\{Y \leq y|Y \leq x\}

    = \frac {\Pr\{Y \leq y, Y \leq x\}} {\Pr\{Y \leq x\}}

    = \frac {\Pr\{Y \leq y\}} {\Pr\{Y \leq x\}}

    = \frac {y} {x}

    \Rightarrow Y|X = x \sim {\rm Uniform}(0, x)

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