Sum of identically distributed but not independent Bernoulli's is non-uniform

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Let $X_1,X_2,dots$ denote a sequence of identically distributed, exchangeable, but not independent, Bernoulli$(p)$ random variables. If there exists $n>0$ such that



$$
sum_i=1^nX_i
$$



is not uniformly distributed on $0,1,dots,n$, how can we show that this implies



$$
sum_i=1^nX_i + X_n+1
$$



is not uniformly distributed on $0,1,dots,n+1$? If $p ne 1/2$ then the claim follows by expectations, so we can consider $p=1/2$.










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up vote
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Let $X_1,X_2,dots$ denote a sequence of identically distributed, exchangeable, but not independent, Bernoulli$(p)$ random variables. If there exists $n>0$ such that



$$
sum_i=1^nX_i
$$



is not uniformly distributed on $0,1,dots,n$, how can we show that this implies



$$
sum_i=1^nX_i + X_n+1
$$



is not uniformly distributed on $0,1,dots,n+1$? If $p ne 1/2$ then the claim follows by expectations, so we can consider $p=1/2$.










share|cite|improve this question























  • What is the source for this exercise?
    – Did
    1 hour ago












up vote
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down vote

favorite
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up vote
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down vote

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Let $X_1,X_2,dots$ denote a sequence of identically distributed, exchangeable, but not independent, Bernoulli$(p)$ random variables. If there exists $n>0$ such that



$$
sum_i=1^nX_i
$$



is not uniformly distributed on $0,1,dots,n$, how can we show that this implies



$$
sum_i=1^nX_i + X_n+1
$$



is not uniformly distributed on $0,1,dots,n+1$? If $p ne 1/2$ then the claim follows by expectations, so we can consider $p=1/2$.










share|cite|improve this question















Let $X_1,X_2,dots$ denote a sequence of identically distributed, exchangeable, but not independent, Bernoulli$(p)$ random variables. If there exists $n>0$ such that



$$
sum_i=1^nX_i
$$



is not uniformly distributed on $0,1,dots,n$, how can we show that this implies



$$
sum_i=1^nX_i + X_n+1
$$



is not uniformly distributed on $0,1,dots,n+1$? If $p ne 1/2$ then the claim follows by expectations, so we can consider $p=1/2$.







probability sequences-and-series probability-theory random-variables






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jesterII

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  • What is the source for this exercise?
    – Did
    1 hour ago
















  • What is the source for this exercise?
    – Did
    1 hour ago















What is the source for this exercise?
– Did
1 hour ago




What is the source for this exercise?
– Did
1 hour ago










2 Answers
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First, some notations: for every $n$, let $X_1:n=(X_1,X_2,ldots,X_n)$, and, for every word $w=(w_1,w_2,ldots,w_n)$ in $0,1^n$, let $|w|=w_1+w_2+cdots+w_n$. Now, to the proof, which uses crucially the exchangeability hypothesis.



Assume that, for some $ngeqslant1$, $|X_1:n+1|$ is uniformly distributed on $0,1,ldots,n+1$.



Then, by exchangeability, for every word $w$ in $0,1^n+1$, $P(X_1:n+1=w)$ depends only on $|w|$. For each $k$ in $0,1,ldots,n+1$, there are $n+1choose k$ words $w$ in $0,1^n+1$ such that $|w|=k$, hence, for every word $w$ in $0,1^n+1$ such that $|w|=k$, $$P(X_1:n+1=w)=n+1choose k^-1P(|X_1:n+1|=k)=(n+2)^-1n+1choose k^-1$$
For every word $v$ in $0,1^n$, the event $[X_1:n=v]$ is the disjoint union of the events $[X_1:n=v,X_n+1=0]$ and $[X_1:n=v,X_n+1=1]$.
If $|v|=k$ for some $k$ in $0,1,ldots,n$, then $|v0|=k$ and $|v1|=k+1$, hence $$P(X_1:n=v)=(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1$$
Now, it happens that $$(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1=(n+1)^-1nchoose k^-1tag$ast$$$ hence $$P(X_1:n=v)=(n+1)^-1nchoose k^-1$$ Summing these over the $nchoose k$ words $v$ in $0,1^n$ such that $|v|=k$, one gets, for every $k$ in $0,1,ldots,n$, $$P(|X_1:n|=k)=(n+1)^-1$$
Thus, if $|X_1:n+1|=X_1+X_2+cdots+X_n+1$ is uniformly distributed on $0,1,ldots,n+1$, then $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$.



By contraposition, this proves the desired statement -- and also that, as soon as $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$ for some $ngeqslant1$, then $|X_1:1|=X_1$ is uniformly distributed on $0,1$, and, again by exchangeability, every $X_n$ is uniformly distributed on $0,1$, that is, necessarily, $p=frac12$.



Exercise: Prove $(ast)$.






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    up vote
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    Here is a large hint/outline.



    A good method is to prove the contrapositive. Letting $S_n=sum_i=1^n X_i$, assume that $S_n+1$ is uniformly distributed over $0,1,dots,n+1$, and prove that $S_n$ is uniform as well.



    To prove this, use the decomposition
    $$
    P(S_n=k) = P(S_n=kcap X_n+1=0)+P(S_n=kcap X_n+1=1)tag*
    $$

    We need to somehow relate the events on the RHS to events of the form $S_n+1=h$, whose probabilities are known to be $frac1n+2$.



    If we consider our sample space to be the set of sequences of $n+1$ zeroes and ones, then $S_n=kcap X_n+1=0$ consists of all $binomnk$ sequences ending in a $0$ and consisting of $k$ ones. By exchangeability, these events are all equally likely. In particular, letting $E$ be the event that $X_i=1$ for $i=1,2,dots,k$ and $X_i=0$ for $i=k+1,k+2,dots,n+1$ (the string $11dots100dots0$), then
    $$
    P(S_n=kcap X_n+1=0) = binomnkcdot P(E)
    $$

    On the other hand, $E$ is a subset of the event $S_n+1=k$, which consists of $binomn+1k$ equally likely sequences, so we also have
    $$
    frac1n+2=P(S_n+1=k)=binomn+1kcdot P(E)
    $$

    The last two equations allow you to eliminate $P(S_n=kcap X_n+1=0)$ in $(*)$. You can do something similar to eliminate $P(S_n=kcap X_n+1=1)$.






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      2 Answers
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      2 Answers
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      First, some notations: for every $n$, let $X_1:n=(X_1,X_2,ldots,X_n)$, and, for every word $w=(w_1,w_2,ldots,w_n)$ in $0,1^n$, let $|w|=w_1+w_2+cdots+w_n$. Now, to the proof, which uses crucially the exchangeability hypothesis.



      Assume that, for some $ngeqslant1$, $|X_1:n+1|$ is uniformly distributed on $0,1,ldots,n+1$.



      Then, by exchangeability, for every word $w$ in $0,1^n+1$, $P(X_1:n+1=w)$ depends only on $|w|$. For each $k$ in $0,1,ldots,n+1$, there are $n+1choose k$ words $w$ in $0,1^n+1$ such that $|w|=k$, hence, for every word $w$ in $0,1^n+1$ such that $|w|=k$, $$P(X_1:n+1=w)=n+1choose k^-1P(|X_1:n+1|=k)=(n+2)^-1n+1choose k^-1$$
      For every word $v$ in $0,1^n$, the event $[X_1:n=v]$ is the disjoint union of the events $[X_1:n=v,X_n+1=0]$ and $[X_1:n=v,X_n+1=1]$.
      If $|v|=k$ for some $k$ in $0,1,ldots,n$, then $|v0|=k$ and $|v1|=k+1$, hence $$P(X_1:n=v)=(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1$$
      Now, it happens that $$(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1=(n+1)^-1nchoose k^-1tag$ast$$$ hence $$P(X_1:n=v)=(n+1)^-1nchoose k^-1$$ Summing these over the $nchoose k$ words $v$ in $0,1^n$ such that $|v|=k$, one gets, for every $k$ in $0,1,ldots,n$, $$P(|X_1:n|=k)=(n+1)^-1$$
      Thus, if $|X_1:n+1|=X_1+X_2+cdots+X_n+1$ is uniformly distributed on $0,1,ldots,n+1$, then $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$.



      By contraposition, this proves the desired statement -- and also that, as soon as $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$ for some $ngeqslant1$, then $|X_1:1|=X_1$ is uniformly distributed on $0,1$, and, again by exchangeability, every $X_n$ is uniformly distributed on $0,1$, that is, necessarily, $p=frac12$.



      Exercise: Prove $(ast)$.






      share|cite|improve this answer


























        up vote
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        First, some notations: for every $n$, let $X_1:n=(X_1,X_2,ldots,X_n)$, and, for every word $w=(w_1,w_2,ldots,w_n)$ in $0,1^n$, let $|w|=w_1+w_2+cdots+w_n$. Now, to the proof, which uses crucially the exchangeability hypothesis.



        Assume that, for some $ngeqslant1$, $|X_1:n+1|$ is uniformly distributed on $0,1,ldots,n+1$.



        Then, by exchangeability, for every word $w$ in $0,1^n+1$, $P(X_1:n+1=w)$ depends only on $|w|$. For each $k$ in $0,1,ldots,n+1$, there are $n+1choose k$ words $w$ in $0,1^n+1$ such that $|w|=k$, hence, for every word $w$ in $0,1^n+1$ such that $|w|=k$, $$P(X_1:n+1=w)=n+1choose k^-1P(|X_1:n+1|=k)=(n+2)^-1n+1choose k^-1$$
        For every word $v$ in $0,1^n$, the event $[X_1:n=v]$ is the disjoint union of the events $[X_1:n=v,X_n+1=0]$ and $[X_1:n=v,X_n+1=1]$.
        If $|v|=k$ for some $k$ in $0,1,ldots,n$, then $|v0|=k$ and $|v1|=k+1$, hence $$P(X_1:n=v)=(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1$$
        Now, it happens that $$(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1=(n+1)^-1nchoose k^-1tag$ast$$$ hence $$P(X_1:n=v)=(n+1)^-1nchoose k^-1$$ Summing these over the $nchoose k$ words $v$ in $0,1^n$ such that $|v|=k$, one gets, for every $k$ in $0,1,ldots,n$, $$P(|X_1:n|=k)=(n+1)^-1$$
        Thus, if $|X_1:n+1|=X_1+X_2+cdots+X_n+1$ is uniformly distributed on $0,1,ldots,n+1$, then $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$.



        By contraposition, this proves the desired statement -- and also that, as soon as $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$ for some $ngeqslant1$, then $|X_1:1|=X_1$ is uniformly distributed on $0,1$, and, again by exchangeability, every $X_n$ is uniformly distributed on $0,1$, that is, necessarily, $p=frac12$.



        Exercise: Prove $(ast)$.






        share|cite|improve this answer
























          up vote
          3
          down vote










          up vote
          3
          down vote









          First, some notations: for every $n$, let $X_1:n=(X_1,X_2,ldots,X_n)$, and, for every word $w=(w_1,w_2,ldots,w_n)$ in $0,1^n$, let $|w|=w_1+w_2+cdots+w_n$. Now, to the proof, which uses crucially the exchangeability hypothesis.



          Assume that, for some $ngeqslant1$, $|X_1:n+1|$ is uniformly distributed on $0,1,ldots,n+1$.



          Then, by exchangeability, for every word $w$ in $0,1^n+1$, $P(X_1:n+1=w)$ depends only on $|w|$. For each $k$ in $0,1,ldots,n+1$, there are $n+1choose k$ words $w$ in $0,1^n+1$ such that $|w|=k$, hence, for every word $w$ in $0,1^n+1$ such that $|w|=k$, $$P(X_1:n+1=w)=n+1choose k^-1P(|X_1:n+1|=k)=(n+2)^-1n+1choose k^-1$$
          For every word $v$ in $0,1^n$, the event $[X_1:n=v]$ is the disjoint union of the events $[X_1:n=v,X_n+1=0]$ and $[X_1:n=v,X_n+1=1]$.
          If $|v|=k$ for some $k$ in $0,1,ldots,n$, then $|v0|=k$ and $|v1|=k+1$, hence $$P(X_1:n=v)=(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1$$
          Now, it happens that $$(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1=(n+1)^-1nchoose k^-1tag$ast$$$ hence $$P(X_1:n=v)=(n+1)^-1nchoose k^-1$$ Summing these over the $nchoose k$ words $v$ in $0,1^n$ such that $|v|=k$, one gets, for every $k$ in $0,1,ldots,n$, $$P(|X_1:n|=k)=(n+1)^-1$$
          Thus, if $|X_1:n+1|=X_1+X_2+cdots+X_n+1$ is uniformly distributed on $0,1,ldots,n+1$, then $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$.



          By contraposition, this proves the desired statement -- and also that, as soon as $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$ for some $ngeqslant1$, then $|X_1:1|=X_1$ is uniformly distributed on $0,1$, and, again by exchangeability, every $X_n$ is uniformly distributed on $0,1$, that is, necessarily, $p=frac12$.



          Exercise: Prove $(ast)$.






          share|cite|improve this answer














          First, some notations: for every $n$, let $X_1:n=(X_1,X_2,ldots,X_n)$, and, for every word $w=(w_1,w_2,ldots,w_n)$ in $0,1^n$, let $|w|=w_1+w_2+cdots+w_n$. Now, to the proof, which uses crucially the exchangeability hypothesis.



          Assume that, for some $ngeqslant1$, $|X_1:n+1|$ is uniformly distributed on $0,1,ldots,n+1$.



          Then, by exchangeability, for every word $w$ in $0,1^n+1$, $P(X_1:n+1=w)$ depends only on $|w|$. For each $k$ in $0,1,ldots,n+1$, there are $n+1choose k$ words $w$ in $0,1^n+1$ such that $|w|=k$, hence, for every word $w$ in $0,1^n+1$ such that $|w|=k$, $$P(X_1:n+1=w)=n+1choose k^-1P(|X_1:n+1|=k)=(n+2)^-1n+1choose k^-1$$
          For every word $v$ in $0,1^n$, the event $[X_1:n=v]$ is the disjoint union of the events $[X_1:n=v,X_n+1=0]$ and $[X_1:n=v,X_n+1=1]$.
          If $|v|=k$ for some $k$ in $0,1,ldots,n$, then $|v0|=k$ and $|v1|=k+1$, hence $$P(X_1:n=v)=(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1$$
          Now, it happens that $$(n+2)^-1n+1choose k^-1+(n+2)^-1n+1choose k+1^-1=(n+1)^-1nchoose k^-1tag$ast$$$ hence $$P(X_1:n=v)=(n+1)^-1nchoose k^-1$$ Summing these over the $nchoose k$ words $v$ in $0,1^n$ such that $|v|=k$, one gets, for every $k$ in $0,1,ldots,n$, $$P(|X_1:n|=k)=(n+1)^-1$$
          Thus, if $|X_1:n+1|=X_1+X_2+cdots+X_n+1$ is uniformly distributed on $0,1,ldots,n+1$, then $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$.



          By contraposition, this proves the desired statement -- and also that, as soon as $|X_1:n|=X_1+X_2+cdots+X_n$ is uniformly distributed on $0,1,ldots,n$ for some $ngeqslant1$, then $|X_1:1|=X_1$ is uniformly distributed on $0,1$, and, again by exchangeability, every $X_n$ is uniformly distributed on $0,1$, that is, necessarily, $p=frac12$.



          Exercise: Prove $(ast)$.







          share|cite|improve this answer














          share|cite|improve this answer



          share|cite|improve this answer








          edited 1 hour ago

























          answered 2 hours ago









          Did

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          243k23209445




















              up vote
              1
              down vote













              Here is a large hint/outline.



              A good method is to prove the contrapositive. Letting $S_n=sum_i=1^n X_i$, assume that $S_n+1$ is uniformly distributed over $0,1,dots,n+1$, and prove that $S_n$ is uniform as well.



              To prove this, use the decomposition
              $$
              P(S_n=k) = P(S_n=kcap X_n+1=0)+P(S_n=kcap X_n+1=1)tag*
              $$

              We need to somehow relate the events on the RHS to events of the form $S_n+1=h$, whose probabilities are known to be $frac1n+2$.



              If we consider our sample space to be the set of sequences of $n+1$ zeroes and ones, then $S_n=kcap X_n+1=0$ consists of all $binomnk$ sequences ending in a $0$ and consisting of $k$ ones. By exchangeability, these events are all equally likely. In particular, letting $E$ be the event that $X_i=1$ for $i=1,2,dots,k$ and $X_i=0$ for $i=k+1,k+2,dots,n+1$ (the string $11dots100dots0$), then
              $$
              P(S_n=kcap X_n+1=0) = binomnkcdot P(E)
              $$

              On the other hand, $E$ is a subset of the event $S_n+1=k$, which consists of $binomn+1k$ equally likely sequences, so we also have
              $$
              frac1n+2=P(S_n+1=k)=binomn+1kcdot P(E)
              $$

              The last two equations allow you to eliminate $P(S_n=kcap X_n+1=0)$ in $(*)$. You can do something similar to eliminate $P(S_n=kcap X_n+1=1)$.






              share|cite|improve this answer
























                up vote
                1
                down vote













                Here is a large hint/outline.



                A good method is to prove the contrapositive. Letting $S_n=sum_i=1^n X_i$, assume that $S_n+1$ is uniformly distributed over $0,1,dots,n+1$, and prove that $S_n$ is uniform as well.



                To prove this, use the decomposition
                $$
                P(S_n=k) = P(S_n=kcap X_n+1=0)+P(S_n=kcap X_n+1=1)tag*
                $$

                We need to somehow relate the events on the RHS to events of the form $S_n+1=h$, whose probabilities are known to be $frac1n+2$.



                If we consider our sample space to be the set of sequences of $n+1$ zeroes and ones, then $S_n=kcap X_n+1=0$ consists of all $binomnk$ sequences ending in a $0$ and consisting of $k$ ones. By exchangeability, these events are all equally likely. In particular, letting $E$ be the event that $X_i=1$ for $i=1,2,dots,k$ and $X_i=0$ for $i=k+1,k+2,dots,n+1$ (the string $11dots100dots0$), then
                $$
                P(S_n=kcap X_n+1=0) = binomnkcdot P(E)
                $$

                On the other hand, $E$ is a subset of the event $S_n+1=k$, which consists of $binomn+1k$ equally likely sequences, so we also have
                $$
                frac1n+2=P(S_n+1=k)=binomn+1kcdot P(E)
                $$

                The last two equations allow you to eliminate $P(S_n=kcap X_n+1=0)$ in $(*)$. You can do something similar to eliminate $P(S_n=kcap X_n+1=1)$.






                share|cite|improve this answer






















                  up vote
                  1
                  down vote










                  up vote
                  1
                  down vote









                  Here is a large hint/outline.



                  A good method is to prove the contrapositive. Letting $S_n=sum_i=1^n X_i$, assume that $S_n+1$ is uniformly distributed over $0,1,dots,n+1$, and prove that $S_n$ is uniform as well.



                  To prove this, use the decomposition
                  $$
                  P(S_n=k) = P(S_n=kcap X_n+1=0)+P(S_n=kcap X_n+1=1)tag*
                  $$

                  We need to somehow relate the events on the RHS to events of the form $S_n+1=h$, whose probabilities are known to be $frac1n+2$.



                  If we consider our sample space to be the set of sequences of $n+1$ zeroes and ones, then $S_n=kcap X_n+1=0$ consists of all $binomnk$ sequences ending in a $0$ and consisting of $k$ ones. By exchangeability, these events are all equally likely. In particular, letting $E$ be the event that $X_i=1$ for $i=1,2,dots,k$ and $X_i=0$ for $i=k+1,k+2,dots,n+1$ (the string $11dots100dots0$), then
                  $$
                  P(S_n=kcap X_n+1=0) = binomnkcdot P(E)
                  $$

                  On the other hand, $E$ is a subset of the event $S_n+1=k$, which consists of $binomn+1k$ equally likely sequences, so we also have
                  $$
                  frac1n+2=P(S_n+1=k)=binomn+1kcdot P(E)
                  $$

                  The last two equations allow you to eliminate $P(S_n=kcap X_n+1=0)$ in $(*)$. You can do something similar to eliminate $P(S_n=kcap X_n+1=1)$.






                  share|cite|improve this answer












                  Here is a large hint/outline.



                  A good method is to prove the contrapositive. Letting $S_n=sum_i=1^n X_i$, assume that $S_n+1$ is uniformly distributed over $0,1,dots,n+1$, and prove that $S_n$ is uniform as well.



                  To prove this, use the decomposition
                  $$
                  P(S_n=k) = P(S_n=kcap X_n+1=0)+P(S_n=kcap X_n+1=1)tag*
                  $$

                  We need to somehow relate the events on the RHS to events of the form $S_n+1=h$, whose probabilities are known to be $frac1n+2$.



                  If we consider our sample space to be the set of sequences of $n+1$ zeroes and ones, then $S_n=kcap X_n+1=0$ consists of all $binomnk$ sequences ending in a $0$ and consisting of $k$ ones. By exchangeability, these events are all equally likely. In particular, letting $E$ be the event that $X_i=1$ for $i=1,2,dots,k$ and $X_i=0$ for $i=k+1,k+2,dots,n+1$ (the string $11dots100dots0$), then
                  $$
                  P(S_n=kcap X_n+1=0) = binomnkcdot P(E)
                  $$

                  On the other hand, $E$ is a subset of the event $S_n+1=k$, which consists of $binomn+1k$ equally likely sequences, so we also have
                  $$
                  frac1n+2=P(S_n+1=k)=binomn+1kcdot P(E)
                  $$

                  The last two equations allow you to eliminate $P(S_n=kcap X_n+1=0)$ in $(*)$. You can do something similar to eliminate $P(S_n=kcap X_n+1=1)$.







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                  answered 2 hours ago









                  Mike Earnest

                  18.7k11950




                  18.7k11950



























                       

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