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435概率困难derivationlong

Uniqueness of Geometric Memorylessness

题目

Part (a): Let NN be a positive-integer-valued random variable satisfying P(N>m+nN>m)=P(N>n)P(N > m + n \mid N > m) = P(N > n) for all m,nZ0m, n \in \mathbb{Z}_{\geq 0}. Prove that NN must follow a geometric distribution.

Part (b): For NGeom(p)N \sim \operatorname{Geom}(p), compute E[N2N>k]E[N^2 \mid N > k] using memorylessness and verify that Var(NN>k)=Var(N)\operatorname{Var}(N \mid N > k) = \operatorname{Var}(N).

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