Selecting the last consecutive record in a record process

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Suppose that I1, I2, ⋯ is a sequence of independent Bernoulli random variables with E(In) = λ/(λ + n - 1), n = 1, 2, ⋯. If λ is a positive integer k, {In}n≥1 can be interpreted as a k-record process of a sequence of independent and identically distributed random variables with a common continuous distribution. When In-1I n = 1, we say that a consecutive k-record occurs at time n. It is known that the total number of consecutive k-records is Poisson distributed with mean k. In fact, for general λ > 0, ∑ n=2 In-1In is Poisson distributed with mean λ. In this paper, we want to find an optimal stopping time τλ which maximizes the probability of stopping at the last n such that I n-1In = 1. We prove that τλ is of threshold type, i.e. there exists a τλ ε ℕ such that τλ = min{n

Original languageEnglish
Pages (from-to)739-760
Number of pages22
JournalAdvances in Applied Probability
Volume42
Issue number3
DOIs
Publication statusPublished - 2010 Sep 1

Fingerprint

Random variables
Consecutive
Siméon Denis Poisson
Optimal Stopping Time
Bernoulli Random Variables
Continuous Distributions
K-means
Independent Random Variables
Identically distributed
Random variable
Maximise
Integer

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Applied Mathematics

Cite this

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Selecting the last consecutive record in a record process. / Hsiau, Shoou Ren.

In: Advances in Applied Probability, Vol. 42, No. 3, 01.09.2010, p. 739-760.

Research output: Contribution to journalArticle

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