Order statistics from overlapping samples: bivariate densities and regression properties

Abstract

ABSTRACTIn this paper, we are interested in the joint distribution of two order statistics from overlapping samples. We give an explicit formula for the distribution of such a pair of random variables under the assumption that the parent distribution is absolutely continuous. We are also interested in the question to what extent conditional expectation of one of such order statistic given another determines the parent distribution. In particular, we provide a new characterization by linearity of regression of an order statistic from the extended sample given the one from the original sample, special case of which solves a problem explicitly stated in the literature. It appears that to describe the correct parent distribution it is convenient to use quantile density functions. In several other cases of regressions of order statistics we provide new results regarding uniqueness of the distribution in the sample.