Final minimum of a decreasing run of uniforms
Question
Draw i.i.d. values one after another, and let be the first index at which is not the smallest value seen so far. Thus and is the minimum of the first draws. The expectation equals for integers , where is Euler's number. Find .
Short answer
(since ). Let be the expected final minimum when the current minimum is . Conditioning on the next draw (above stops, below continues from a uniform point) and differentiating yields with , whose solution is ; then .
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Open the worked solutionLessons behind this question
- Conditional Expectation and Variance Revisited
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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