Algorithms to Computer Order Statistic Distributions
Charles Boncelet · SIAM Journal on Scientific and Statistical Computing · 1987
We present a series of fast and easily implemented algorithms for the computation of single and multivariate distributions of the order statistics for sequences of random variables which may be either independent or Markov. We discuss the computation of moments of L-statistics, principally means and Variances, and present algorithms which do not require that the distributions first be “differenced” to yield densities.