I want to find the p.d.f of the nth 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)
1 Answer
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It is BapatBeg theorem: http://en.wikipedia.org/wiki/Bapat%E2%80%93Beg_theorem Not suprissingly, the permanent shows up. This is why I know it.

$\begingroup$ Hmmm. In what way is this BapatBeg paper (1989) differ to the result of Vaughan and Venables (1972)? Vaughan and Venables (1972), Permanent expressions for order statistics densities, JRSS  Series B, 308310. $\endgroup$– wolfiesCommented Oct 24, 2013 at 7:21