# What is the probability distribution of the $k$th largest coordinate chosen over a simplex?

Suppose we're selecting points uniformly at random from the $$N$$-simplex

$$S_N = \{x \in \mathbb R^{N+1}:$$ all $$x_i \ge 0$$ and $$x_1 + \ldots x_N = 1\}$$.

One way to do this in practice is choose $$N-1$$ points $$a_1, \ldots , a_{N-1}$$ uniformly and independently from the unit interval $$[0,1]$$. Then for $$a_0=0$$ and $$a_1=1$$ construct the point $$x \in S_N$$ with each $$x_i = a_i - a_{i-1}$$.

One would expect for large $$N$$ the points $$a_i$$ to be evenly spaced across the interval, and so the the average point looks of $$S_n$$ looks pretty much like the constant $$1/N$$ vector. That is to say it's unlikely for any collection of entries to be small. Is anything known about the exact distribution of such collections?

Formally put suppose $$X: \Omega \to S_N$$ is a uniformly distributed random variable from some probability space onto the $$N$$-simplex. Define each $$X_k : \Omega \to [0,1]$$ by $$X_k(x) =$$ the $$k$$th largest coordinate of $$X(x)$$.

I've drawn some samples for $$k = n/2$$ which is the case I'm mostly interested in. It seems that, after you normalise the variable by multiplying by $$N$$, the mean tends to about $$0.7$$ (marked with a vertical line) from above. The distributions are also increasingly tighter bell-curves. The below is with 100,000 samples per curve.

Is there anything like a closed form known for the distribution of $$X_k$$? If not are there any useful bounds for probabilities like $$P(X_k > 1/N \pm \epsilon)$$ or $$P(X_k < 1/N \pm \epsilon)$$ that give answers similar to the behaviour above?

I am also interested in the variables $$Y_k = X_1 + \ldots X_k$$ if they are any easier to understand analytically, again primarily in the case $$k = n/2$$. Again the plots look like ever tighter bells and the mean tends to $$0.15$$ (the black line) from above.

Not sure if this is exactly what you need, but the following gives something that is close to the closed formula for distribution of $$X_k$$.

As noted by Mark Meckes, the random point $$x$$ from the simplex has the same distribution as $$\left( \dfrac{b_1}{b_1 + \ldots + b_n}, \dfrac{b_2}{b_1 + \ldots + b_n}, \ldots, \dfrac{b_n}{b_1 + \ldots + b_n} \right )$$, where $$b_i$$ are independent exponential random variables with expectation $$1$$.

Now, we want to know the distribution of $$X_k$$, the $$k$$-th largest coordinate of $$x$$. Another well known result is that vector $$(B_n, B_{n - 1}, \ldots B_1)$$, where $$B_k$$ is the $$k$$-th largest coordinate of $$(b_1, b_2, \ldots b_n)$$ (recall that $$b_i$$ are independent exponential variables with expectation $$1$$) has the same distribution as $$\left( \dfrac{\xi_n}{n}, \dfrac{\xi_n}{n} + \dfrac{\xi_{n - 1}}{n - 1}, \ldots, \dfrac{\xi_n}{n} + \dfrac{\xi_{n-1}}{n-1} + \ldots + \dfrac{\xi_1}{1} \right )$$, where $$\xi_1, \xi_2, \ldots, \xi_n$$ are independent exponential random variables with expectation $$1$$. (You can find the proof here, for example).

It follows that $$X_k$$ has the distribution $$\dfrac{\xi_n / n + \xi_{n-1} / (n-1) + \ldots + \xi_k / k}{\xi_n + \xi_{n - 1} + \ldots + \xi_1}$$. This expression is still not pretty, but it allows us to find, for example, $$\mathbb{E} X_k$$. To find $$\mathbb{E} X_k$$, notice that independence of $$\xi_i$$ implies that all random variables of form $$\dfrac{\xi_{p_n} / n + \xi_{p_{n-1}} / (n-1) + \ldots + \xi_{p_k} / k}{\xi_n + \xi_{n - 1} + \ldots + \xi_1}$$, where $$p$$ is a permutation of integers from $$1$$ to $$n$$, have the same expectation. Therefore, $$\mathbb{E} X_k = \mathbb{E} \dfrac{\xi_n / n + \xi_{n-1} / (n-1) + \ldots + \xi_k / k}{\xi_n + \xi_{n - 1} + \ldots + \xi_1} = \dfrac{1}{n!} \times\sum\limits_{p \in S_n} \mathbb{E} \dfrac{\xi_{p_n} / n + \xi_{p_{n-1}} / (n-1) + \ldots + \xi_{p_k} / k}{\xi_n + \xi_{n - 1} + \ldots + \xi_1} = \dfrac{1}{n} \left( \dfrac{1}{n} + \ldots + \dfrac{1}{k} \right) \dfrac{\xi_1 + \xi_2 + \ldots + \xi_n}{\xi_1 + \xi_2 + \ldots + \xi_n} = \frac{1}{n} (H_n - H_{k - 1}),$$ where $$H_m := 1 + \frac{1}{2} + \ldots + \frac{1}{m}$$. Here we used averaging over all permutations to make coefficients before each $$\xi_i$$ equal to each other.

So, $$\lim\limits_{n \to +\infty} \mathbb{E} \frac{X_{n}}{2n} = \lim\limits_{n \to +\infty} (H_{2n} - H_{n - 1}) = \lim \limits_{n \to +\infty} (\ln (2n) - \ln (n - 1)) = \ln 2 \approx 0.7$$, which explains the first phenomena you observed. Writing down $$\mathbb{E} \frac{Y_n}{2n}$$ in the same way should explain the second phenomena you observed.

Now, I am not sure how good is the representation above for your purposes, but studying them already can give some interesting results about distributions of $$X_k$$.

• Gosh that's pretty slick -- and much better than anything I'd have come up with! – Daron Oct 13 '18 at 13:23
• I've been trying to get some bounds for $X_k$ and hit the stage where I'm trying to show something like $5 a_1+ 4 a_2 + 3a_3 > a_4 + a_5$ with high probability, where $a_i$ are iid exponentials with mean $1$. As usual the PDF of the LHS is horrendous -- are there any good tricks to replace the LHS with something smaller and easier to work with? Maybe something like $12a$ for $a$ some exponential with mean $1$? – Daron Oct 13 '18 at 13:25
• @Daron: I am not sure, because I am not an expert in this field. If I were you, I would ask a separate question about existence of tricks like that. – Kaban-5 Oct 13 '18 at 21:56
• If you only need some bound (possibly quite loose) on the probability of stuff like $a_4 + a_5 > 5a_1 + 4a_2 + 3a_3$ happening, you may try calculating exponential moments. For example, let $t \in (0, 1)$ be some real number, then $\mathbb{P} (a_4 + a_5 > 5a_1 + 4a_2 + 3a_3) \le \mathbb{E} e^{t (a_4 + a_5 - 5a_1 - 4a_2 - 3a_3)} = \frac{1}{(1-t)^2 (1+3t)(1+4t)(1+5t)}$ and the last expression can be made less than $0.16$ by choosing $t$ carefully. But there are 2 problems with this approach: 1) bounds are quite crude 2) obtaining said bounds for all $n$ and $k$ at the time may be impossible. – Kaban-5 Oct 13 '18 at 22:06

A little too long for a comment, but I don't have time right now to turn this observation into a proper answer:

Another way to generate a uniform random point in the simplex is to let $$b_1, \ldots, b_n$$ be independent exponential random variables, and let $$x_i = \frac{b_i}{b_1 + \cdots + b_n}.$$ It then turns out that the point $$(x_1, \ldots, x_n)$$ in the simplex is independent of the Gamma-distributed random variable $$z_n = b_1 + \cdots + b_n$$, and of course if you define $$B_k$$ to be the $$k$$th largest $$b_i$$, then $$X_k = B_k/Z_n$$.

As proposed before, we can write $$x_i$$ as $$x_i=\frac{b_i}{b_1+\cdots+b_n}$$ where $$b_i$$ are independent exponential variable with parameter one.

Let $$y_i=e^{-b_i}$$ then $$y_i$$ are iid uniform random variable on $$[0,1]$$. Then the law of the $$k$$th larger $$y_i$$ follow beta law $$B(n-k+1,k)$$ https://en.wikipedia.org/wiki/Beta_distribution#Order_statistics. (Indeed, because there are $$k-1$$ elements in $$[y,1]$$ and $$n-k$$ elements in $$[0,y]$$ the density is proportionnal to $$y^{n-k-1}(1-y)^{k}$$ )

For large $$n$$ as $$\frac{1}{n}\sum b_i\rightarrow 1$$ in probability then the law of $$n x_i$$ converge to $$-\log (y_i)$$. And for example $$X_{\frac{n}{2}}$$ has mean $$\log(2)$$ has $$Y_{\frac{n}{2}}\rightarrow \frac{1}{2}$$.

And then you can use all the results from beta distribution. (I think it is the best for your "anything like a closed form")

For your last question, once you fixe $$Y_k$$, all the $$(Y_i)_{i> k}$$ are uniform on $$[0,Y_k]$$. And then the mean should be $$\sum_{i=1}^k X_i=-\sum_{i=1}^k \log(Y_i) \sim -k$$ $$\int_0^{Y_k} \log(x)dx$$. The integral gives for $$\frac{1-\log(2)}{2}\approx 0.153$$ for $$k=\frac{n}{2}$$.