Problem 3 i.e. Let W, be a negative-binomial variable with parameter p € (0,1), P{W, = k} = p' (1-p-r ifk = r,r+1,..., else. Let furthermore (Eilien be a sequence of independent Bernoulli variables with parameter p. Re- call that W, has the same distribution as X, := min {k € N₁: 4₁=r}, i.e. the number of independent Bernoulli trials with parameter p that we have to observe until we see the rth success. Define the random variables Yo, Y₁,...,Y, by for i 0

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Problem 3
i.e.
Let W, be a negative-binomial variable with parameter p € (0,1),
P{W, = k} =
p' (1-p)-rifk = r,r+1,...,
else.
Let furthermore (ilieN be a sequence of independent Bernoulli variables with parameter p. Re-
call that W, has the same distribution as
Y₁ =
k
X, := min {k € N₁: [{i=r},
i=1
i.e. the number of independent Bernoulli trials with parameter p that we have to observe until
we see the rth success.
Define the random variables Yo, Y₁,..., Y, by
0
min {k EN: EY+-+Y₁-1+k=1}
for i = 0,
for i = 1,...,r.
(a) Compute P{Y;=k | Y₁ = ₁,...,Y₁-1 = li-1} for positive integers k, l,...,li-1.
(b) It is possible to show that Y₁, Y2,... are independent. Give a heuristic explanation for this
fact.
(c) Show by induction over rEN, that X, Y₁ +...+Yr.
=
Transcribed Image Text:Problem 3 i.e. Let W, be a negative-binomial variable with parameter p € (0,1), P{W, = k} = p' (1-p)-rifk = r,r+1,..., else. Let furthermore (ilieN be a sequence of independent Bernoulli variables with parameter p. Re- call that W, has the same distribution as Y₁ = k X, := min {k € N₁: [{i=r}, i=1 i.e. the number of independent Bernoulli trials with parameter p that we have to observe until we see the rth success. Define the random variables Yo, Y₁,..., Y, by 0 min {k EN: EY+-+Y₁-1+k=1} for i = 0, for i = 1,...,r. (a) Compute P{Y;=k | Y₁ = ₁,...,Y₁-1 = li-1} for positive integers k, l,...,li-1. (b) It is possible to show that Y₁, Y2,... are independent. Give a heuristic explanation for this fact. (c) Show by induction over rEN, that X, Y₁ +...+Yr. =
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