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PhD in Physics here doing some theory that has to do with order statistics. I've never had a formal introduction to a lot of probability theory and think I would greatly benefit from it. Any good recommendations for someone looking for a formal introduction to order statistics of independent random variables?

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  • $\begingroup$ Look for books by N. Balakrishnan. $\endgroup$ – whuber Jul 26 '17 at 23:23
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    $\begingroup$ Do you have a favorite that also covers order stats? $\endgroup$ – cloudbox Jul 26 '17 at 23:48
  • $\begingroup$ You can also look at the book by H. A. David. $\endgroup$ – Michael R. Chernick Jul 27 '17 at 1:45
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I would maybe start with "A First Course in Order Statistics" by Arnold & Balakrishnan & Nagaraja, in the series Siam Classics in Applied Mathematics.

There is also from Wiley "Order Statistics" by David & Nagaraja, which have much of the same information.

Then there is a more advanced book with newer results, "Approximate Distributions of Order Statistics With Applications to Nonparametric Statistics" by R.-D. Reiss (Springer).

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