Scaling of the minimum of iid random variables

Tareq Al-Naffouri*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

Several areas in signal processing and communications rely on various tools in order statistics. Studying the scaling of the extreme values of iid random variables is of particular interest as it is sometimes only possible to make meaningful statements in the large number of variables case. This paper develops a new approach to finding the scaling of the minimum of iid variables by studying the behavior of the CDF and its derivatives at one point, or equivalently by studying the behavior of the characteristic function. The theory developed is used to study the scaling of several types of random variables and is confirmed by simulations.

Original languageEnglish (US)
Pages (from-to)1830-1834
Number of pages5
JournalSignal Processing
Volume89
Issue number9
DOIs
StatePublished - Sep 1 2009

Keywords

  • Characteristic function
  • Extreme values
  • Initial value theorem
  • Order statistics
  • Scaling of random variables

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Software
  • Signal Processing
  • Computer Vision and Pattern Recognition

Fingerprint Dive into the research topics of 'Scaling of the minimum of iid random variables'. Together they form a unique fingerprint.

Cite this