Waiting to beat a random Beta threshold
Question
Let be i.i.d. random variables, and let be the first index with . What is ? Answer if it is infinite.
Short answer
(the mean is infinite). Given , is geometric with success probability , so . Since is uniform on for any continuous distribution, this is .
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Open the worked solutionLessons behind this question
- Expectation, Mean, and Variance
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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