Variance of the limit of randomly halved intervals
Question
Start from . Repeatedly replace the current interval by a random sub-interval of half its length whose left end is uniform over the allowed positions; for example the first step chooses with . The nested intervals shrink to a single point. What is that point's variance?
Short answer
. The limit point is the sum of independent left-end shifts , . So its variance is .
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Open the worked solutionLessons behind this question
- Continuous Random Variables and Probability Density Functions
- Covariance and Correlation
- Cumulative Distribution Functions
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