Expected minimum absolute difference to a given point correctly computed?











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I am trying to compute the expected absolute difference between $n$ iid uniformly between $[- epsilon, epsilon]$ sampled points to a given point $- epsilon< c < epsilon$:



$$
mathrm{E}(mathrm{min}(|x_1-c|,|x_2-c|,...,|x_n-c|))
$$



I know, that the expected minimum of n iid uniformly between $[0, epsilon]$ sampled points is $frac{epsilon}{n+1}$.



Can I simply put my coordinate systems origin onto c and say I have an expected minimum value of $frac{epsilon - c}{n+1}$ on the right, and $frac{epsilon + c}{n+1}$ on the left, and for the overall distribution I have an weighted average (wheigted with the width, so $epsilon-c$ and $epsilon+c$ respectively) of $frac{1}{2 epsilon} cdotfrac{(epsilon-c)^2 + (epsilon+c)^2}{n+1}$?



If not, how would I go about this problem?










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    I am trying to compute the expected absolute difference between $n$ iid uniformly between $[- epsilon, epsilon]$ sampled points to a given point $- epsilon< c < epsilon$:



    $$
    mathrm{E}(mathrm{min}(|x_1-c|,|x_2-c|,...,|x_n-c|))
    $$



    I know, that the expected minimum of n iid uniformly between $[0, epsilon]$ sampled points is $frac{epsilon}{n+1}$.



    Can I simply put my coordinate systems origin onto c and say I have an expected minimum value of $frac{epsilon - c}{n+1}$ on the right, and $frac{epsilon + c}{n+1}$ on the left, and for the overall distribution I have an weighted average (wheigted with the width, so $epsilon-c$ and $epsilon+c$ respectively) of $frac{1}{2 epsilon} cdotfrac{(epsilon-c)^2 + (epsilon+c)^2}{n+1}$?



    If not, how would I go about this problem?










    share|cite|improve this question
























      up vote
      0
      down vote

      favorite









      up vote
      0
      down vote

      favorite











      I am trying to compute the expected absolute difference between $n$ iid uniformly between $[- epsilon, epsilon]$ sampled points to a given point $- epsilon< c < epsilon$:



      $$
      mathrm{E}(mathrm{min}(|x_1-c|,|x_2-c|,...,|x_n-c|))
      $$



      I know, that the expected minimum of n iid uniformly between $[0, epsilon]$ sampled points is $frac{epsilon}{n+1}$.



      Can I simply put my coordinate systems origin onto c and say I have an expected minimum value of $frac{epsilon - c}{n+1}$ on the right, and $frac{epsilon + c}{n+1}$ on the left, and for the overall distribution I have an weighted average (wheigted with the width, so $epsilon-c$ and $epsilon+c$ respectively) of $frac{1}{2 epsilon} cdotfrac{(epsilon-c)^2 + (epsilon+c)^2}{n+1}$?



      If not, how would I go about this problem?










      share|cite|improve this question













      I am trying to compute the expected absolute difference between $n$ iid uniformly between $[- epsilon, epsilon]$ sampled points to a given point $- epsilon< c < epsilon$:



      $$
      mathrm{E}(mathrm{min}(|x_1-c|,|x_2-c|,...,|x_n-c|))
      $$



      I know, that the expected minimum of n iid uniformly between $[0, epsilon]$ sampled points is $frac{epsilon}{n+1}$.



      Can I simply put my coordinate systems origin onto c and say I have an expected minimum value of $frac{epsilon - c}{n+1}$ on the right, and $frac{epsilon + c}{n+1}$ on the left, and for the overall distribution I have an weighted average (wheigted with the width, so $epsilon-c$ and $epsilon+c$ respectively) of $frac{1}{2 epsilon} cdotfrac{(epsilon-c)^2 + (epsilon+c)^2}{n+1}$?



      If not, how would I go about this problem?







      probability probability-theory probability-distributions






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      asked Nov 16 at 0:04









      Luca Thiede

      1486




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          1 Answer
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          Since $min|X_i - c|$ is non-negative and you want to compute its expectation, we can compute its survival function first. Consider the survival function of individual $|X_i - c|$:



          $$ begin{align}
          S(x)&=Pr{|X_i - c| > x} \
          &= Pr{X_i > c + x} + Pr{X_i < c - x} \
          &= begin{cases}
          1 & text {if} & x leq 0 \
          displaystyle 1 - frac {x} {epsilon} & text{if} & 0 < x leq epsilon - |c|\
          displaystyle frac {epsilon + |c| - x} {2epsilon} & text {if} & epsilon - |c| < x < epsilon + |c| \
          0 & text{if} & x geq epsilon + |c|
          end{cases}
          end{align}$$



          Then the survival function of $min |X_i - c|$ will be $S(x)^n$ and thus
          $$ begin{align}
          E[min|X_i - c|]
          &= int_0^{+infty}S(x)^ndx \
          &= int_0^{epsilon - |c|} left(1 - frac {x} {epsilon} right)^n dx
          + int_{epsilon - |c|}^{epsilon + |c|} left(frac {epsilon + |c| - x} {2epsilon} right)^n dx \
          &= left. frac {-epsilon} {n+1}left(1 - frac {x} {epsilon} right)^{n+1} right|_0^{epsilon - |c|} + left.frac {-2epsilon} {n+1} left(frac {epsilon + |c| - x} {2epsilon} right)^{n+1} right|_{epsilon - |c|}^{epsilon + |c|} \
          &= frac {epsilon} {n+1}left(1 - frac {|c|^{n+1}} {epsilon^{n+1}} + 2frac {|c|^{n+1}} {epsilon^{n+1}}right) \
          &= frac {epsilon} {n+1}left(1 + frac {|c|^{n+1}} {epsilon^{n+1}} right)
          end{align}$$



          As you see, the answer is minimized when $c = 0$ and it reduced back to the previous solution.






          share|cite|improve this answer





















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            1 Answer
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            active

            oldest

            votes








            1 Answer
            1






            active

            oldest

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            active

            oldest

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            active

            oldest

            votes








            up vote
            1
            down vote



            accepted










            Since $min|X_i - c|$ is non-negative and you want to compute its expectation, we can compute its survival function first. Consider the survival function of individual $|X_i - c|$:



            $$ begin{align}
            S(x)&=Pr{|X_i - c| > x} \
            &= Pr{X_i > c + x} + Pr{X_i < c - x} \
            &= begin{cases}
            1 & text {if} & x leq 0 \
            displaystyle 1 - frac {x} {epsilon} & text{if} & 0 < x leq epsilon - |c|\
            displaystyle frac {epsilon + |c| - x} {2epsilon} & text {if} & epsilon - |c| < x < epsilon + |c| \
            0 & text{if} & x geq epsilon + |c|
            end{cases}
            end{align}$$



            Then the survival function of $min |X_i - c|$ will be $S(x)^n$ and thus
            $$ begin{align}
            E[min|X_i - c|]
            &= int_0^{+infty}S(x)^ndx \
            &= int_0^{epsilon - |c|} left(1 - frac {x} {epsilon} right)^n dx
            + int_{epsilon - |c|}^{epsilon + |c|} left(frac {epsilon + |c| - x} {2epsilon} right)^n dx \
            &= left. frac {-epsilon} {n+1}left(1 - frac {x} {epsilon} right)^{n+1} right|_0^{epsilon - |c|} + left.frac {-2epsilon} {n+1} left(frac {epsilon + |c| - x} {2epsilon} right)^{n+1} right|_{epsilon - |c|}^{epsilon + |c|} \
            &= frac {epsilon} {n+1}left(1 - frac {|c|^{n+1}} {epsilon^{n+1}} + 2frac {|c|^{n+1}} {epsilon^{n+1}}right) \
            &= frac {epsilon} {n+1}left(1 + frac {|c|^{n+1}} {epsilon^{n+1}} right)
            end{align}$$



            As you see, the answer is minimized when $c = 0$ and it reduced back to the previous solution.






            share|cite|improve this answer

























              up vote
              1
              down vote



              accepted










              Since $min|X_i - c|$ is non-negative and you want to compute its expectation, we can compute its survival function first. Consider the survival function of individual $|X_i - c|$:



              $$ begin{align}
              S(x)&=Pr{|X_i - c| > x} \
              &= Pr{X_i > c + x} + Pr{X_i < c - x} \
              &= begin{cases}
              1 & text {if} & x leq 0 \
              displaystyle 1 - frac {x} {epsilon} & text{if} & 0 < x leq epsilon - |c|\
              displaystyle frac {epsilon + |c| - x} {2epsilon} & text {if} & epsilon - |c| < x < epsilon + |c| \
              0 & text{if} & x geq epsilon + |c|
              end{cases}
              end{align}$$



              Then the survival function of $min |X_i - c|$ will be $S(x)^n$ and thus
              $$ begin{align}
              E[min|X_i - c|]
              &= int_0^{+infty}S(x)^ndx \
              &= int_0^{epsilon - |c|} left(1 - frac {x} {epsilon} right)^n dx
              + int_{epsilon - |c|}^{epsilon + |c|} left(frac {epsilon + |c| - x} {2epsilon} right)^n dx \
              &= left. frac {-epsilon} {n+1}left(1 - frac {x} {epsilon} right)^{n+1} right|_0^{epsilon - |c|} + left.frac {-2epsilon} {n+1} left(frac {epsilon + |c| - x} {2epsilon} right)^{n+1} right|_{epsilon - |c|}^{epsilon + |c|} \
              &= frac {epsilon} {n+1}left(1 - frac {|c|^{n+1}} {epsilon^{n+1}} + 2frac {|c|^{n+1}} {epsilon^{n+1}}right) \
              &= frac {epsilon} {n+1}left(1 + frac {|c|^{n+1}} {epsilon^{n+1}} right)
              end{align}$$



              As you see, the answer is minimized when $c = 0$ and it reduced back to the previous solution.






              share|cite|improve this answer























                up vote
                1
                down vote



                accepted







                up vote
                1
                down vote



                accepted






                Since $min|X_i - c|$ is non-negative and you want to compute its expectation, we can compute its survival function first. Consider the survival function of individual $|X_i - c|$:



                $$ begin{align}
                S(x)&=Pr{|X_i - c| > x} \
                &= Pr{X_i > c + x} + Pr{X_i < c - x} \
                &= begin{cases}
                1 & text {if} & x leq 0 \
                displaystyle 1 - frac {x} {epsilon} & text{if} & 0 < x leq epsilon - |c|\
                displaystyle frac {epsilon + |c| - x} {2epsilon} & text {if} & epsilon - |c| < x < epsilon + |c| \
                0 & text{if} & x geq epsilon + |c|
                end{cases}
                end{align}$$



                Then the survival function of $min |X_i - c|$ will be $S(x)^n$ and thus
                $$ begin{align}
                E[min|X_i - c|]
                &= int_0^{+infty}S(x)^ndx \
                &= int_0^{epsilon - |c|} left(1 - frac {x} {epsilon} right)^n dx
                + int_{epsilon - |c|}^{epsilon + |c|} left(frac {epsilon + |c| - x} {2epsilon} right)^n dx \
                &= left. frac {-epsilon} {n+1}left(1 - frac {x} {epsilon} right)^{n+1} right|_0^{epsilon - |c|} + left.frac {-2epsilon} {n+1} left(frac {epsilon + |c| - x} {2epsilon} right)^{n+1} right|_{epsilon - |c|}^{epsilon + |c|} \
                &= frac {epsilon} {n+1}left(1 - frac {|c|^{n+1}} {epsilon^{n+1}} + 2frac {|c|^{n+1}} {epsilon^{n+1}}right) \
                &= frac {epsilon} {n+1}left(1 + frac {|c|^{n+1}} {epsilon^{n+1}} right)
                end{align}$$



                As you see, the answer is minimized when $c = 0$ and it reduced back to the previous solution.






                share|cite|improve this answer












                Since $min|X_i - c|$ is non-negative and you want to compute its expectation, we can compute its survival function first. Consider the survival function of individual $|X_i - c|$:



                $$ begin{align}
                S(x)&=Pr{|X_i - c| > x} \
                &= Pr{X_i > c + x} + Pr{X_i < c - x} \
                &= begin{cases}
                1 & text {if} & x leq 0 \
                displaystyle 1 - frac {x} {epsilon} & text{if} & 0 < x leq epsilon - |c|\
                displaystyle frac {epsilon + |c| - x} {2epsilon} & text {if} & epsilon - |c| < x < epsilon + |c| \
                0 & text{if} & x geq epsilon + |c|
                end{cases}
                end{align}$$



                Then the survival function of $min |X_i - c|$ will be $S(x)^n$ and thus
                $$ begin{align}
                E[min|X_i - c|]
                &= int_0^{+infty}S(x)^ndx \
                &= int_0^{epsilon - |c|} left(1 - frac {x} {epsilon} right)^n dx
                + int_{epsilon - |c|}^{epsilon + |c|} left(frac {epsilon + |c| - x} {2epsilon} right)^n dx \
                &= left. frac {-epsilon} {n+1}left(1 - frac {x} {epsilon} right)^{n+1} right|_0^{epsilon - |c|} + left.frac {-2epsilon} {n+1} left(frac {epsilon + |c| - x} {2epsilon} right)^{n+1} right|_{epsilon - |c|}^{epsilon + |c|} \
                &= frac {epsilon} {n+1}left(1 - frac {|c|^{n+1}} {epsilon^{n+1}} + 2frac {|c|^{n+1}} {epsilon^{n+1}}right) \
                &= frac {epsilon} {n+1}left(1 + frac {|c|^{n+1}} {epsilon^{n+1}} right)
                end{align}$$



                As you see, the answer is minimized when $c = 0$ and it reduced back to the previous solution.







                share|cite|improve this answer












                share|cite|improve this answer



                share|cite|improve this answer










                answered Nov 16 at 9:22









                BGM

                3,715148




                3,715148






























                     

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