Order Statistics · Interview Question
For two independent Uniform(0,1) draws, what are E[max] and E[min], and what is the general result for n draws?
How to answer
E[max] = 2/3 and E[min] = 1/3 for two draws. By symmetry E[min] + E[max] = E[X] + E[Y] = 1, and each is equidistant from the center, so E[min] = 1/3, E[max] = 2/3. Generally, for n iid U(0,1), E[max] = n/(n+1) and E[min] = 1/(n+1) — the order statistics divide [0,1] into n+1 equal expected gaps.
Key idea: n+1 expected equal gaps; max sits at n/(n+1).
More: Quant interview prep · Quant salary
Related Order Statistics questions
- A coin is flipped until the first tail; you win $2^n where n = heads before that tail. Fair price?
- A disease has 1% prevalence. A test is 99% sensitive and 99% specific. You test positive — probability you have it?
- A fair die pays you its face value in dollars. What is the fair price to play, and what is the variance of the payout?
- A unit stick is broken at two independent uniform points into three pieces. Probability they form a triangle?