Spacings Around An Order Statistic

Abstract

We determine the joint limiting distribution of adjacent spacings around a central, intermediate, or an extreme order statistic $X_{k:n}$ of a random sample of size $n$ from a continuous distribution $F$. For central and intermediate cases, normalized spacings in the left and right neighborhoods are asymptotically i.i.d. exponential random variables. The associated independent Poisson arrival processes are independent of $X_{k:n}$. For an extreme $X_{k:n}$, the asymptotic independence property of spacings fails for $F$ in the domain of attraction of Fréchet and Weibull ($\alpha \ne 1$) distributions. This work also provides additional insight into the limiting distribution for the number of observations around $X_{k:n}$ for all three cases.