Is the expected value of the sum of two greatest values in an uniform distribution in [0,1] of n random variables (x1,x2,x3,x4,...,xn) equal to E(max(x^n))+E(max(x^(n-1)))?
2026-03-27 21:18:59.1774646339
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Expected value of the sum of the two largest values from a Uniform parent
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Let $X \sim \text{Uniform}(0,1)$ with pdf $f(x)$:
Let $X_n$ and $X_{n-1}$ denote the largest and second largest order statistics in a sample of size $n$. Then, the joint pdf of $(X_{n-1},X_n)$, say $g(x_{n-1},x_n)$, is:
where I am using the OrderStat function from the mathStatica package for Mathematica to automate, or do it manually following: Wiki -- Joint Order Stats
We desire $E_g[X_{n-1} + X_n]$ which is:
All done. As disclosure, I should perhaps add that I am one of the authors of the software used above.



The probability that $n-1$ of them are less than $x$ is $nx^{n-1}(1-x)+x^n$, so the PDF of the second-highest is the derivative of that.
If the second-highest is $x$, then the expected value of the sum of the top one is $(1+x)/2$, and the sum of the top two is $(1+3x)/2$.
Integrate the PDF of the second-highest, multiplied by $(1+3x)/2$.