Limiting distributions of two random sequences

beta distribution confluent hypergeometric function convexity differentiability moment generating function sequence of random intervals uniform random variable

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Asymptotic distribution theory in statistics (62E20)

Review text

Let p (0\(\leq p\leq 1)\) be fixed. We define a sequence of random intervals \(\{[L_ n,R_ n]\), \(n\geq 0\}\) and a sequence of random variables \(\{X_ n\), \(n\geq 1\}\), inductively, as follows: Firstly, let \([L_ 0,R_ 0]=[0,1]\). Secondly, let \([L_{n-1},R_{n-1}]\) be defined. Let \(X_ n\) be a uniform random variable over \([L_{n-1},R_{n-1}]\) and put with probability p \[ [L_ n,R_ n]= \begin{cases} [L_{n-1},X_ n]&\;if\;X_ n\geq frac{1}{2}(L_{n-1}+R_{n-1}), \\ [X_ n,R_{n-1}]&\;if\;X_ n<frac{1}{2}(L_{n-1}+R_{n-1}), \end{cases} \] and with probability \(1-p\) \[ [L_ n,R_ n]= \begin{cases} [L_{n-1},X_ n]&\;if\;X_ n<frac{1}{2}(L_{n-1}+R_{n-1}), \\ [X_ n,R_{n-1}]&\;if\;X_ n\geq frac{1}{2}(L_{n-1}+R_{n- 1}).\end{cases} \] It is easy to see that \(X_ n\) converges to a random variable \(Y_ p\) (say) almost surely as \(n\to \infty\). In this paper, the author considered the distribution of \(Y_ 1\) or \(Y_ 0\) and showed that the distribution of \(Y_ 1\) is the beta (2,2) distribution.

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