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Uniform estimates for order statistics and Orlicz functions
Authors:Yehoram Gordon  Alexander E Litvak  Carsten Schütt  Elisabeth Werner
Institution:1. Department of Mathematics, Technion, 32000, Haifa, Israel
2. Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, AB, T6G 2G1, Canada
3. Mathematisches Seminar, Christian Albrechts Universit?t, 24098, Kiel, Germany
4. Department of Mathematics, Case Western Reserve University, Cleveland, OH, 44106, USA
5. Universit?? de Lille 1, UFR de Math??matique, 59655, Villeneuve d??Ascq, France
Abstract:We establish uniform estimates for order statistics: Given a sequence of independent identically distributed random variables ξ 1, … , ξ n and a vector of scalars x = (x 1, … , x n ), and 1 ≤ k ≤ n, we provide estimates for \mathbb E   k-min1 £ in |xixi|{\mathbb E \, \, k-{\rm min}_{1\leq i\leq n} |x_{i}\xi _{i}|} and \mathbb E k-max1 £ in|xixi|{\mathbb E\,k-{\rm max}_{1\leq i\leq n}|x_{i}\xi_{i}|} in terms of the values k and the Orlicz norm ||yx||M{\|y_x\|_M} of the vector y x  = (1/x 1, … , 1/x n ). Here M(t) is the appropriate Orlicz function associated with the distribution function of the random variable |ξ 1|, G(t) = \mathbb P ({ |x1| £ t}){G(t) =\mathbb P \left(\left\{ |\xi_1| \leq t\right\}\right)}. For example, if ξ 1 is the standard N(0, 1) Gaussian random variable, then G(t) = ?{\tfrac2p}ò0t e-\fracs22ds {G(t)= \sqrt{\tfrac{2}{\pi}}\int_{0}^t e^{-\frac{s^{2}}{2}}ds }  and M(s)=?{\tfrac2p}ò0se-\frac12t2dt{M(s)=\sqrt{\tfrac{2}{\pi}}\int_{0}^{s}e^{-\frac{1}{2t^{2}}}dt}. We would like to emphasize that our estimates do not depend on the length n of the sequence.
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