Skip to content

Waiting to beat a random Beta threshold

Question

Let T,X1,X2,…T, X_1, X_2, \dots be i.i.d. Beta(12,8)\text{Beta}(12,8) random variables, and let NN be the first index n≥1n\ge1 with Xn>TX_n>T. What is E[N]\mathbb{E}[N]? Answer −1-1 if it is infinite.

Short answer

−1-1 (the mean is infinite). Given T=tT=t, NN is geometric with success probability 1−F(t)1-F(t), so E[N]=E[11−F(T)]\mathbb{E}[N]=\mathbb{E}\left[\tfrac{1}{1-F(T)}\right]. Since F(T)F(T) is uniform on (0,1)(0,1) for any continuous distribution, this is ∫01du1−u=∞\int_0^1\tfrac{du}{1-u}=\infty.

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