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Let

  • $(\Omega,\mathcal A,\operatorname P)$ be a probability space
  • $(E,\mathcal E)$ be a measurable space
  • $n\in\mathbb N$
  • $X_1,\ldots,X_n$ be $(E,\mathcal E)$-valued random variables on $(\Omega,\mathcal A,\operatorname P)$

I'm interested in the following question: Given a total$^1$ order $\le$ on $E$, I want to construct $(E,\mathcal E)$-valued random variables $X_{1:n},\ldots,X_{n:n}$ on $(\Omega,\mathcal A,\operatorname P)$ such that $X_{k:n}$ is the $k$th smallest element among $X_1,\ldots,X_n$ (where $X_i$ is considered as smaller than $X_j$ whenever $X_i=X_j$ and $i<j$).

I would like to define them by something like $X_{1:n}:=\min\left\{X_1,\ldots,X_n\right\}$ and $$X_{i:n}:=\min\left\{X_j:X_j>X_{i-1:n}\right\}\;\;\;\text{for }j\in\left\{2,\ldots,n\right\}\tag1,$$ but this won't be well-defined if not all $X_i$ are distinct and it won't be measurable in general. Equivalently, we may ask if there is a random permutation $\pi:\Omega\times\left\{1,\ldots,n\right\}\to\left\{1,\ldots,n\right\}$ such that $X_{\pi(1)}\le\cdots\le X_{\pi(n)}$ and each $X_{\pi(k)}$ is measurable.

The examples I've got in mind include $E=\mathbb R$ with the usual order or $E=\mathbb R^d$ and the order given by the smallest distance to a fixed element $x\in\mathbb R^d$.

Which conditions on the relation between $\mathcal E$ and $\le$ do we need to impose and how do we actually need to define $X_{k:n}$ (or $\pi$)?


$^1$ I've strengthen the assumption from "partial" order to total order, since at least the examples I've described are total orders. Actually, I think we need a total order, since otherwise we cannot use the fact that a finite set has a unique minimum. Please correct me if I'm wrong (I'm not familiar with general order theory) and feel free to weaken the assumption again, if your answer doesn't need the stronger assumption.

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  • $\begingroup$ A necessary and sufficient condition is $\mathbb P(X_i\le X_j \vee X_j\le X_i)=1 for each pair $i,j$. Then introduce an arbitrary order on the collection of permutations. The desired random variables can then be taken to be $X_{n,j}=X_{\pi(j)}$, where $\pi$ is the minimal element of $S_n$ (in the above order) such that $X_{\pi(1)}\le X_{\pi(2)}\le\ldots\le X_{\pi(n)}$. That such a $\pi$ exists follows from the (necessary and) sufficient condition. $\endgroup$ Commented May 18, 2019 at 1:02
  • $\begingroup$ @AnthonyQuas I've edited the question and assume now that $\le$ is a total order, since I think we need this assumption to identify a unique minimum. Or am I missing something? $\endgroup$
    – 0xbadf00d
    Commented May 18, 2019 at 5:03
  • $\begingroup$ A total order on the range of the random variables is basically necessary and sufficient $\endgroup$ Commented May 18, 2019 at 5:29
  • $\begingroup$ @AnthonyQuas Could you elaborate on how exactly it follows that $\pi$ exists? $\endgroup$
    – 0xbadf00d
    Commented May 18, 2019 at 6:05
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    $\begingroup$ OK. This really isn't a question about order theory, other than we need $\{\omega:X_i\le X_j\}$ to be measurable. Given this define $S_\pi=\{\omega\colon X_{\pi(i)}\le X_{\pi(j)}\text{ for all }i<j\}$. This is an intersection of the above, so measurable. Now number the permutations $\pi_1,\pi_2,\ldots,\pi_{n!}$ in some order. Set $A_i=\bigcup_{j\ge i}S_{\pi_j}$ and let $f=\sum_i \mathbf 1_{A_i}$, so that $f(\omega)$ is the first $i$ such that $\omega\in S_{\pi_i}$. That is, $\pi_{f(\omega)}$ is the first order in the list that the random variables satisfy. Does that do it for you? $\endgroup$ Commented May 19, 2019 at 13:19

1 Answer 1

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$\newcommand{\om}{\omega} \newcommand{\Om}{\Omega} \newcommand{\eq}{\,\overset\om\sim\,} \newcommand{\eqq}{\overset{\,\colon\om}\sim\,} \renewcommand{\eq}{\,\sim_\om\,} \newcommand{\K}{\mathcal K} $ If $E$ is a distributive lattice with measurable binary operations $E\times E\ni(x,y)\mapsto x\wedge y\in E$ and $E\times E\ni(x,y)\mapsto x\vee y\in E$, then the "order statistics'' $X_{n:j}$ can be defined by the formula \begin{equation}\label{eq:wedge-vee} X_{n:j}(\om):=\bigwedge\Big\{\bigvee_{i\in J}X_i(\om)\colon J\in\binom{[n]}j\Big\} =\bigvee\Big\{\bigwedge_{i\in J}X_i(\om)\colon J\in\binom{[n]}{n+1-j}\Big\} \end{equation} for $j\in[n]:=\{1,\dots,n\}$ and $\om\in\Om$, with $\binom{[n]}j$ denoting the set of all subsets $J$ of the set $[n]$ such that the cardinality of $J$ is $j$; cf. formulas (1.2)--(1.4).

As explained in that paper in the paragraph right after (1.4), if $E$ is not a distributive lattice, then the two dual to each other natural expressions for $X_{n:j}$ in the above display may differ from each other, and thus no reasonable definition of $X_{n:j}$ will seem possible.


I did not define a permulation $\pi$ in the above answer, which was given for your initial post with only a partial order, and in that general case such a permutation will not exist in general. However, after you added the total order assumption, a measurable random permutation $\pi$ that you want does exist and can be formally described as follows.

For each $\om\in\Om$, define the equivalence relations $\eq$ over the set $[n]$ by the formula \begin{equation} k\eq l\iff X_{n:k}(\om)=X_{n:l}(\om) \end{equation} for $k,l$ in $[n]$. Let then $\K(\om)$ be the set of all $\eq$-equivalence classes. For each $\om\in\Om$ and each $K\in\K(\om)$, let \begin{equation} I_K(\om):=\{i\in[n]\colon X_i(\om)=X_{n:k}(\om)\ \forall k\in K\} =\{i\in[n]\colon\exists k\in K\ X_i(\om)=X_{n:k}(\om)\}, \end{equation} so that the cardinality of the set $I_K(\om)$ equals that of $K$, and then define the bijection $\rho_K(\om)\colon K\to I_K(\om)$ by the formula
\begin{equation} K\ni k\mapsto\rho_K(\om)(k) :=\bigwedge\Big\{\bigvee_{i\in J}i\colon J\in\binom{I_K(\om)}{k-m_K+1}\Big\}\in I_K(\om), \end{equation} where $m_K:=\min K$. Finally, let \begin{equation} \pi(\om)(k):=\rho_K(\om)(k)\quad\text{if}\quad k\in K\in\K(\om). \end{equation} Then $\pi\colon\Om\to S_n$ (where $S_n$ is the set of all permutations of the set $[n]$) is a random permutation, which is measurable, because it is defined by composing the measurable random maps $X_{n:k}$ and $X_i$ with other measurable maps. We also have \begin{equation} X_{n:k}(\om)=X_{\pi(\om)(k)}(\om) \end{equation} for all $k\in[n]$ and all $\om\in\Om$. Finally, for all $j,k$ in $[n]$ and all $\om\in\Om$ we have the implication \begin{equation} (X_{n:j}(\om)=X_{n:k}(\om)\ \&\ j<k)\implies\pi(\om)(j)<\pi(\om)(k), \end{equation} as desired.


To illustrate the above description/construction of $\pi$, suppose that $n=6$ and $\om\in\Om$ is such that \begin{equation} (X_i(\om))_1^6=baacba:=(b,a,a,c,b,a) \end{equation} for some $a,b,c$ in $E$ such that $a<b<c$. Then \begin{equation} (X_{n:k}(\om))_1^6=aaabbc, \end{equation} \begin{equation} \K(\om)=\{\{1,2,3\},\{4,5\},\{6\}\}, \end{equation} \begin{equation} I_{\{1,2,3\}}(\om)=\{2,3,6\},\ I_{\{4,5\}}(\om)=\{1,5\},\ I_{\{6\}}(\om)=\{4\},\ \end{equation} $\rho_{\{1,2,3\}}(\om)=(236)$ (meaning \begin{equation} \rho_{\{1,2,3\}}(\om)(1)=2, \rho_{\{1,2,3\}}(\om)(2)=3, \rho_{\{1,2,3\}}(\om)(3)=6), \end{equation} \begin{equation} \rho_{\{4,5\}}(\om)=(15),\quad \rho_{\{6\}}(\om)=(4), \end{equation} and \begin{equation} \pi(\om)=(236154), \end{equation} meaning \begin{equation} (\pi(\om)(1),\dots,\pi(\om)(6))=(2,3,6,1,5,4). \end{equation}

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    $\begingroup$ In the case you describe, there is no reason to think that the random variables $X_{n,j}$ should be a permutation of the $(X_j)$. $\endgroup$ Commented May 18, 2019 at 0:55
  • $\begingroup$ @AnthonyQuas : I did not claim that $(X_{n:j})_1^n$ will be a permutation of $(X_i)_1^n$, or even a random permutation of $(X_i)_1^n$. Of course, in general that will not be the case. However, again in general, the construction given in my answer seems to be the only reasonable one. On the other hand, after the OP's editing the question to assume now that the order is total, of course $(X_{n:j})_1^n$ given by the same construction will indeed be a (clearly measurable) random permutation $\pi\colon\Omega\to S_n$ of $(X_i)_1^n$, where $S_n$ is the set of all permutations of the set $[n]$. $\endgroup$ Commented May 19, 2019 at 4:41
  • $\begingroup$ Previous comment continued: That is, we will have $X_{n:j}(\omega)=X_{\pi(\omega)(j)}(\omega)$ for all $j\in[n]$ and all $\omega\in\Omega$. So, the situation will be exactly of the same kind as for the usual order statistics (en.wikipedia.org/wiki/Order_statistic) of real-valued random variables. $\endgroup$ Commented May 19, 2019 at 4:42
  • $\begingroup$ Let me try to understand this: (a) I get that your definition of $X_{n:j}(\omega)$ yields the desired ordering. I guess the measurable dependence on $\omega$ follows from the observation that it is the finite composition of measurable functions, right? (b) As described in my comment below the question, it's clear to me that there is a $\pi:\Omega\to S_n$ such that $X_{\pi(\omega)(1)}(\omega)\le\cdots\le X_{\pi(\omega)(n)}(\omega)$ for all $\omega$. Now, as $X_{\pi(\omega)(j)}=X_{1:j}(\omega)$, this is measurable in $\omega$ by (a), right? But is $\pi$ itself measurable? $\endgroup$
    – 0xbadf00d
    Commented May 19, 2019 at 10:40
  • $\begingroup$ (assuming $[n]$ is equipped with the $\sigma$-algebra $2^{[n]}$) (c) Does your definition of $X_{n:j}$ satisfy the desired index condition (i.e. does it always yield the smallest index variable if two or more of them are equal)? That doesn't seem to be the case. $\endgroup$
    – 0xbadf00d
    Commented May 19, 2019 at 10:44

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