Let's consider $Y_n$ the max of $n$ iid samples $X_i$ of the same distribution:
$Y_n = max(X_1, X_2, …, X_n)$
Do we know some common distributions for $X$ such that $Y$ is uniformly distributed $U(a,b)$?
I guess we can always "construct a distribution" $X$ to enforce this condition for $Y$ but I was just wondering if a famous distribution satisfies this condition.
Best Answer
Let $F$ be the CDF of $X_i$. We know that the CDF of $Y$ is $$G(y) = P(Yleq y)= P(textrm{all } X_ileq y)= prod_i P(X_ileq y) = F(y)^n$$
Now, it's no loss of generality to take $a=0$, $b=1$, since we can just shift and scale the distribution of $X$ to $[0,,1]$ and then unshift and unscale the distribution of $Y$.
So what does $F$ have to be to get $G(y) =y$? We need $F(x)= x^{1/n}I_{[0,1]}$, so $f(x)=frac{1}{n}x^{1/n-1}I_{[0,1]}$, which is a Beta(1/n,1) density.
Let's check
> r<-replicate(100000, max(rbeta(4,1/4,1))) > hist(r) 
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