Years ago, in the course of doing some research on another topic, I ran across the following result relating the expected values of the order statistics from a discrete and a continuous distribution. I found it rather surprising.

*Theorem*: Fix *n*, and let . Let be the order statistics from a random sample of size *i* from the continuous uniform distribution. Let be the order statistics from a random sample of size *i*, chosen without replacement, from the discrete uniform distribution. Then, for each *j*, , .

Why would the expected values of the order statistics from a discrete distribution and a continuous distribution with different ranges match up exactly? Particularly when the values from the discrete distribution are chosen without replacement? It’s not too hard to prove, using basic order statistic properties, that and that as well. I didn’t find that very satisfying, though. It took me a little while, but eventually I found a proof that uses a transformation from one sample to the other. Here it is.

First, though, I need a lemma (which is fairly intuitive and which I won’t prove):

*Lemma*: Let be the order statistics from a random sample of size *n* from a distribution *F* (continuous or discrete). Let be a random permutation of the values , where is independent of the values of . Then the values are a random sample of size *i* from distribution *F*.

Now the proof.

*Proof*: Select a random sample of *i* values from the continuous uniform distribution in the following manner: Randomly select *n* values from and order them . Then randomly select *i* of these *n* values independently of the values of the ‘s. By the lemma, this produces a random sample of *i* values. In addition, the previous step is equivalent to randomly selecting *i* of the *n* indices; i.e., selecting *i* values without replacement from the discrete uniform distribution. Thus we have, for each , . In addition, , since is the smallest value of a random sample of size *n* from the continuous uniform distribution. Therefore, by the law of total expectation,