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5987概率困难essaymedium

When the Stopping Rule Looks at the Last Draw

题目

Draw i.i.d. values X1,X2,X_1,X_2,\dots uniform on {1,2,3}\{1,2,3\} (so E[Xi]=2E[X_i]=2). Define NN as follows: keep drawing and stop the first time you draw a 33; let NN be the number of draws. Let SN=i=1NXiS_N=\sum_{i=1}^N X_i. A candidate computes E[N]E[X1]=32=6E[N]E[X_1]=3\cdot 2=6 and claims E[SN]=6E[S_N]=6. Compute the correct value of E[SN]E[S_N] and explain in one sentence why E[N]E[X1]E[N]E[X_1] is the wrong formula here.

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