Skip to content

Length giving one increasing run of six on average

Question

Let X1,…,XnX_1,\dots,X_n be i.i.d. uniform on (0,1)(0,1). Call position ii the start of an increasing 66-chain if Xi<Xi+1<⋯<Xi+5X_i<X_{i+1}<\dots<X_{i+5}. For which nn is the expected number of positions starting such a chain equal to 11?

Short answer

n=725n=725. A chain can start at positions 1,…,n−51,\dots,n-5, and six i.i.d. continuous values are in increasing order with probability 16!=1720\tfrac1{6!}=\tfrac1{720}. By linearity the expected count is n−5720\tfrac{n-5}{720}, which equals 1 when n=725n=725.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

See the hint and the full worked solution in the question bank (free account).

Open the worked solution

Lessons behind this question

Start with a free lesson: Expectation, Variance and Covariance is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.

Read it free