First uniform draw that is not a running maximum
Question
Let be i.i.d. uniform on , and let be the smallest for which is not the largest of . Then with integers , where is Euler's number. Find .
Short answer
. means , which has probability (and is certain for ). By the tail-sum formula , so , .
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- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
- Continuous Random Variables and Probability Density Functions
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