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Mean and variance of the wait for heads

Question

A fair coin is flipped until the first head shows up. Let NN count all flips including that head. Find E[N]\mathbb{E}[N] and Var⁡(N)\operatorname{Var}(N).

Short answer

Mean 22, variance 22. NN is geometric with p=12p=\tfrac12, so E[N]=1p=2\mathbb{E}[N]=\tfrac1p=2 and Var⁡(N)=1−pp2=2\operatorname{Var}(N)=\tfrac{1-p}{p^2}=2.

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.6, p.81; question and answer rewritten by SelfMadeQuant.com.

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