Question relating to order statistics of normal random variables
- From: shrishri@xxxxxxxxx
- Date: 9 Aug 2006 09:52:23 -0700
Hi all,
I am looking for a solution / direction to solve the following problem.
Any pointers will be greatly appreciated!
The problem I am seeking a solution for is as follows.
Let X_1, X_2,... X_N be N i.i.d Gaussian random variables with unit
variance and zero mean.
Suppose we arrange the realizations in increasing values of their
absolute values
(similar to order statistics, except that we are using the absolute
values to sort them), and let the corresponding sequence of
random variables be Y_1, Y_2,...,Y_N.
I am looking for the expected value of sum of squares of the first K
terms of the sequence Y_i, in the asymptotic regime where
N tends to infinity, and K/N is a constant in the open interval (0,1).
If someone has a pointer to the literature, that would be great!
Thanks
-Shri.
.
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