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I want to find the p.d.f of the n-th order statistics from a set of independent, but NOT identically distributed random variables $X_1, \dots, X_n$ (the p.d.f. of the $X_i$'s is at hand)

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It is Bapat-Beg theorem: http://en.wikipedia.org/wiki/Bapat%E2%80%93Beg_theorem Not suprissingly, the permanent shows up. This is why I know it.

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  • $\begingroup$ Hmmm. In what way is this Bapat-Beg paper (1989) differ to the result of Vaughan and Venables (1972)? Vaughan and Venables (1972), Permanent expressions for order statistics densities, JRSS - Series B, 308-310. $\endgroup$ – wolfies Oct 24 '13 at 7:21

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