This link, may help to understand the proof for randomized quick select, http://pine.cs.yale.edu/pinewiki/QuickSelect,
Idea behind getting Kth order statistic is, select a pivot, and partition the data as suggested by quick sort and find out which partition the element being searched for lies in. Partitioning has the complexity of O(n). After partitioning, you need to pick, just one of resulting partition for further processing unlike quick sort, where you have to process both.
In the below description, I am not trying to prove, but wanted to give intuitive thoughts to understand the expected complexity,
For simplicity, let us assume, on every iteration, pivot splits the array in equal halves, then the complexity is clearly O(n), as
n + (n/2) + (n/4) ... <= c.n, O(n)
For intuitive understanding, getting a worst case partitioning, where you would have to process (n-1) elements in every iteration happens with the probability of just (1/n). So, the worst case complexity is anyway, O(n^2).
Anyways, if you want a rigorous proof for expected complexity, you can go through the link, provided.