Limit distribution of infinite sum of Bernoulli random variables











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I know that the finite sum of Bernoulli i.i.d. random variables is a binomial distribution, but what is the distribution of $$lim_{n to infty}sum_{k=1}^{n} frac{x_k}{2^k}$$ where $x_k$ is a Bernoulli random variable with parameter $frac12$?










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  • Are the random variables $x_k$ supposed to be independent?
    – r.e.s.
    May 6 '15 at 0:00






  • 1




    It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
    – r.e.s.
    May 6 '15 at 0:05






  • 1




    A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
    – r.e.s.
    May 6 '15 at 0:14















up vote
3
down vote

favorite
7












I know that the finite sum of Bernoulli i.i.d. random variables is a binomial distribution, but what is the distribution of $$lim_{n to infty}sum_{k=1}^{n} frac{x_k}{2^k}$$ where $x_k$ is a Bernoulli random variable with parameter $frac12$?










share|cite|improve this question
























  • Are the random variables $x_k$ supposed to be independent?
    – r.e.s.
    May 6 '15 at 0:00






  • 1




    It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
    – r.e.s.
    May 6 '15 at 0:05






  • 1




    A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
    – r.e.s.
    May 6 '15 at 0:14













up vote
3
down vote

favorite
7









up vote
3
down vote

favorite
7






7





I know that the finite sum of Bernoulli i.i.d. random variables is a binomial distribution, but what is the distribution of $$lim_{n to infty}sum_{k=1}^{n} frac{x_k}{2^k}$$ where $x_k$ is a Bernoulli random variable with parameter $frac12$?










share|cite|improve this question















I know that the finite sum of Bernoulli i.i.d. random variables is a binomial distribution, but what is the distribution of $$lim_{n to infty}sum_{k=1}^{n} frac{x_k}{2^k}$$ where $x_k$ is a Bernoulli random variable with parameter $frac12$?







probability probability-theory probability-distributions






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edited Feb 25 '16 at 9:41









tonytonov

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asked May 5 '15 at 22:43









user165576

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1225












  • Are the random variables $x_k$ supposed to be independent?
    – r.e.s.
    May 6 '15 at 0:00






  • 1




    It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
    – r.e.s.
    May 6 '15 at 0:05






  • 1




    A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
    – r.e.s.
    May 6 '15 at 0:14


















  • Are the random variables $x_k$ supposed to be independent?
    – r.e.s.
    May 6 '15 at 0:00






  • 1




    It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
    – r.e.s.
    May 6 '15 at 0:05






  • 1




    A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
    – r.e.s.
    May 6 '15 at 0:14
















Are the random variables $x_k$ supposed to be independent?
– r.e.s.
May 6 '15 at 0:00




Are the random variables $x_k$ supposed to be independent?
– r.e.s.
May 6 '15 at 0:00




1




1




It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
– r.e.s.
May 6 '15 at 0:05




It should be noted that the limit is suggestively written in the form $0.x_1x_2x_3...$ as the base-$2$ representation of a random real number in the unit interval.
– r.e.s.
May 6 '15 at 0:05




1




1




A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
– r.e.s.
May 6 '15 at 0:14




A related question is "If $x$ is uniformly distributed on the unit interval, then what is the distribution of the binary digits of $x$?"
– r.e.s.
May 6 '15 at 0:14










2 Answers
2






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7
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An approach using generating functions is possible.



Define $Y_k = X_k/2^k$, $k = 1, 2, ldots$. Then $$M_{Y_k}(t) = operatorname{E}[e^{tY_k}] = e^0 Pr[Y_k = 0] + e^{t/2^k} Pr[Y_k = 2^{-k}] = frac{e^{t/2^k} + 1}{2}.$$ Then defining $$S_n = sum_{k=1}^n Y_k,$$ we find that the MGF for $S_n$ is $$begin{align*} M_{S_n}(t) &= operatorname{E}left[prod_{k=1}^n e^{tY_k}right] = prod_{k=1}^n M_{Y_k}(t) \ &= 2^{-n} prod_{k=1}^n (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^n} - 1)(e^{t/2^n} + 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^{n-1}} - 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{e^t - 1}{2^n(e^{t/2^n} - 1)} .end{align*}$$ Taking the limit as $n to infty$, we easily get $$M_{S_infty}(t) = frac{e^t-1}{t},$$ which is the MGF of a $operatorname{Uniform}(0,1)$ distribution.






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  • Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
    – tonytonov
    Feb 25 '16 at 9:26


















up vote
2
down vote













Let $$S_n = sum_{k=1}^n 2^{-k}X_k.$$ As $$0leqslant S_nleqslant sum_{k=1}^n 2^{-k} = 1$$ almost surely for all $n$, this inequality holds in the limit, so by dominated convergence,
$$
begin{align*}
mathbb Eleft[lim_{ntoinfty}S_nright] &= lim_{ntoinfty}mathbb E[S_n]\
&= lim_{ntoinfty}mathbb Eleft[ sum_{k=1}^n 2^{-k}X_kright]\
&= lim_{ntoinfty}sum_{k=1}^n 2^{-k}mathbb E[X_k]\
&= lim_{ntoinfty}sum_{k=1}^n 2^{-k+1}\
&= frac12sum_{k=1}^infty 2^{-k}\
&= frac12.
end{align*}
$$
However, the limiting distribution is actually continuous. For each $n$, $S_n$ is uniformly distributed over
$$E_n=left{sum_{kin S}2^{-k} : Ssubset{1,2,ldots,n}right}. $$
Given an $n$, and some $omegain E_n$, we have for $mgeqslant n$
$$mathbb P(S_m = omega)=2^{-m}.$$
Hence
$$lim_{mtoinfty} P(S_m = omega)=0.$$
@gmath suggests in this answer that the limiting distribution is actually uniform on the interval $(0,1)$.






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    2 Answers
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    2 Answers
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    up vote
    7
    down vote













    An approach using generating functions is possible.



    Define $Y_k = X_k/2^k$, $k = 1, 2, ldots$. Then $$M_{Y_k}(t) = operatorname{E}[e^{tY_k}] = e^0 Pr[Y_k = 0] + e^{t/2^k} Pr[Y_k = 2^{-k}] = frac{e^{t/2^k} + 1}{2}.$$ Then defining $$S_n = sum_{k=1}^n Y_k,$$ we find that the MGF for $S_n$ is $$begin{align*} M_{S_n}(t) &= operatorname{E}left[prod_{k=1}^n e^{tY_k}right] = prod_{k=1}^n M_{Y_k}(t) \ &= 2^{-n} prod_{k=1}^n (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^n} - 1)(e^{t/2^n} + 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^{n-1}} - 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{e^t - 1}{2^n(e^{t/2^n} - 1)} .end{align*}$$ Taking the limit as $n to infty$, we easily get $$M_{S_infty}(t) = frac{e^t-1}{t},$$ which is the MGF of a $operatorname{Uniform}(0,1)$ distribution.






    share|cite|improve this answer





















    • Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
      – tonytonov
      Feb 25 '16 at 9:26















    up vote
    7
    down vote













    An approach using generating functions is possible.



    Define $Y_k = X_k/2^k$, $k = 1, 2, ldots$. Then $$M_{Y_k}(t) = operatorname{E}[e^{tY_k}] = e^0 Pr[Y_k = 0] + e^{t/2^k} Pr[Y_k = 2^{-k}] = frac{e^{t/2^k} + 1}{2}.$$ Then defining $$S_n = sum_{k=1}^n Y_k,$$ we find that the MGF for $S_n$ is $$begin{align*} M_{S_n}(t) &= operatorname{E}left[prod_{k=1}^n e^{tY_k}right] = prod_{k=1}^n M_{Y_k}(t) \ &= 2^{-n} prod_{k=1}^n (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^n} - 1)(e^{t/2^n} + 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^{n-1}} - 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{e^t - 1}{2^n(e^{t/2^n} - 1)} .end{align*}$$ Taking the limit as $n to infty$, we easily get $$M_{S_infty}(t) = frac{e^t-1}{t},$$ which is the MGF of a $operatorname{Uniform}(0,1)$ distribution.






    share|cite|improve this answer





















    • Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
      – tonytonov
      Feb 25 '16 at 9:26













    up vote
    7
    down vote










    up vote
    7
    down vote









    An approach using generating functions is possible.



    Define $Y_k = X_k/2^k$, $k = 1, 2, ldots$. Then $$M_{Y_k}(t) = operatorname{E}[e^{tY_k}] = e^0 Pr[Y_k = 0] + e^{t/2^k} Pr[Y_k = 2^{-k}] = frac{e^{t/2^k} + 1}{2}.$$ Then defining $$S_n = sum_{k=1}^n Y_k,$$ we find that the MGF for $S_n$ is $$begin{align*} M_{S_n}(t) &= operatorname{E}left[prod_{k=1}^n e^{tY_k}right] = prod_{k=1}^n M_{Y_k}(t) \ &= 2^{-n} prod_{k=1}^n (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^n} - 1)(e^{t/2^n} + 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^{n-1}} - 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{e^t - 1}{2^n(e^{t/2^n} - 1)} .end{align*}$$ Taking the limit as $n to infty$, we easily get $$M_{S_infty}(t) = frac{e^t-1}{t},$$ which is the MGF of a $operatorname{Uniform}(0,1)$ distribution.






    share|cite|improve this answer












    An approach using generating functions is possible.



    Define $Y_k = X_k/2^k$, $k = 1, 2, ldots$. Then $$M_{Y_k}(t) = operatorname{E}[e^{tY_k}] = e^0 Pr[Y_k = 0] + e^{t/2^k} Pr[Y_k = 2^{-k}] = frac{e^{t/2^k} + 1}{2}.$$ Then defining $$S_n = sum_{k=1}^n Y_k,$$ we find that the MGF for $S_n$ is $$begin{align*} M_{S_n}(t) &= operatorname{E}left[prod_{k=1}^n e^{tY_k}right] = prod_{k=1}^n M_{Y_k}(t) \ &= 2^{-n} prod_{k=1}^n (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^n} - 1)(e^{t/2^n} + 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{2^{-n}}{e^{t/2^n} - 1} (e^{t/2^{n-1}} - 1) prod_{k=1}^{n-1} (e^{t/2^k} + 1) \ &= frac{e^t - 1}{2^n(e^{t/2^n} - 1)} .end{align*}$$ Taking the limit as $n to infty$, we easily get $$M_{S_infty}(t) = frac{e^t-1}{t},$$ which is the MGF of a $operatorname{Uniform}(0,1)$ distribution.







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    answered May 6 '15 at 0:52









    heropup

    62.3k65998




    62.3k65998












    • Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
      – tonytonov
      Feb 25 '16 at 9:26


















    • Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
      – tonytonov
      Feb 25 '16 at 9:26
















    Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
    – tonytonov
    Feb 25 '16 at 9:26




    Great answer, and the proof can also be generalized for arbitrary base $b$. Do you know any source I can link to in my paper?
    – tonytonov
    Feb 25 '16 at 9:26










    up vote
    2
    down vote













    Let $$S_n = sum_{k=1}^n 2^{-k}X_k.$$ As $$0leqslant S_nleqslant sum_{k=1}^n 2^{-k} = 1$$ almost surely for all $n$, this inequality holds in the limit, so by dominated convergence,
    $$
    begin{align*}
    mathbb Eleft[lim_{ntoinfty}S_nright] &= lim_{ntoinfty}mathbb E[S_n]\
    &= lim_{ntoinfty}mathbb Eleft[ sum_{k=1}^n 2^{-k}X_kright]\
    &= lim_{ntoinfty}sum_{k=1}^n 2^{-k}mathbb E[X_k]\
    &= lim_{ntoinfty}sum_{k=1}^n 2^{-k+1}\
    &= frac12sum_{k=1}^infty 2^{-k}\
    &= frac12.
    end{align*}
    $$
    However, the limiting distribution is actually continuous. For each $n$, $S_n$ is uniformly distributed over
    $$E_n=left{sum_{kin S}2^{-k} : Ssubset{1,2,ldots,n}right}. $$
    Given an $n$, and some $omegain E_n$, we have for $mgeqslant n$
    $$mathbb P(S_m = omega)=2^{-m}.$$
    Hence
    $$lim_{mtoinfty} P(S_m = omega)=0.$$
    @gmath suggests in this answer that the limiting distribution is actually uniform on the interval $(0,1)$.






    share|cite|improve this answer



























      up vote
      2
      down vote













      Let $$S_n = sum_{k=1}^n 2^{-k}X_k.$$ As $$0leqslant S_nleqslant sum_{k=1}^n 2^{-k} = 1$$ almost surely for all $n$, this inequality holds in the limit, so by dominated convergence,
      $$
      begin{align*}
      mathbb Eleft[lim_{ntoinfty}S_nright] &= lim_{ntoinfty}mathbb E[S_n]\
      &= lim_{ntoinfty}mathbb Eleft[ sum_{k=1}^n 2^{-k}X_kright]\
      &= lim_{ntoinfty}sum_{k=1}^n 2^{-k}mathbb E[X_k]\
      &= lim_{ntoinfty}sum_{k=1}^n 2^{-k+1}\
      &= frac12sum_{k=1}^infty 2^{-k}\
      &= frac12.
      end{align*}
      $$
      However, the limiting distribution is actually continuous. For each $n$, $S_n$ is uniformly distributed over
      $$E_n=left{sum_{kin S}2^{-k} : Ssubset{1,2,ldots,n}right}. $$
      Given an $n$, and some $omegain E_n$, we have for $mgeqslant n$
      $$mathbb P(S_m = omega)=2^{-m}.$$
      Hence
      $$lim_{mtoinfty} P(S_m = omega)=0.$$
      @gmath suggests in this answer that the limiting distribution is actually uniform on the interval $(0,1)$.






      share|cite|improve this answer

























        up vote
        2
        down vote










        up vote
        2
        down vote









        Let $$S_n = sum_{k=1}^n 2^{-k}X_k.$$ As $$0leqslant S_nleqslant sum_{k=1}^n 2^{-k} = 1$$ almost surely for all $n$, this inequality holds in the limit, so by dominated convergence,
        $$
        begin{align*}
        mathbb Eleft[lim_{ntoinfty}S_nright] &= lim_{ntoinfty}mathbb E[S_n]\
        &= lim_{ntoinfty}mathbb Eleft[ sum_{k=1}^n 2^{-k}X_kright]\
        &= lim_{ntoinfty}sum_{k=1}^n 2^{-k}mathbb E[X_k]\
        &= lim_{ntoinfty}sum_{k=1}^n 2^{-k+1}\
        &= frac12sum_{k=1}^infty 2^{-k}\
        &= frac12.
        end{align*}
        $$
        However, the limiting distribution is actually continuous. For each $n$, $S_n$ is uniformly distributed over
        $$E_n=left{sum_{kin S}2^{-k} : Ssubset{1,2,ldots,n}right}. $$
        Given an $n$, and some $omegain E_n$, we have for $mgeqslant n$
        $$mathbb P(S_m = omega)=2^{-m}.$$
        Hence
        $$lim_{mtoinfty} P(S_m = omega)=0.$$
        @gmath suggests in this answer that the limiting distribution is actually uniform on the interval $(0,1)$.






        share|cite|improve this answer














        Let $$S_n = sum_{k=1}^n 2^{-k}X_k.$$ As $$0leqslant S_nleqslant sum_{k=1}^n 2^{-k} = 1$$ almost surely for all $n$, this inequality holds in the limit, so by dominated convergence,
        $$
        begin{align*}
        mathbb Eleft[lim_{ntoinfty}S_nright] &= lim_{ntoinfty}mathbb E[S_n]\
        &= lim_{ntoinfty}mathbb Eleft[ sum_{k=1}^n 2^{-k}X_kright]\
        &= lim_{ntoinfty}sum_{k=1}^n 2^{-k}mathbb E[X_k]\
        &= lim_{ntoinfty}sum_{k=1}^n 2^{-k+1}\
        &= frac12sum_{k=1}^infty 2^{-k}\
        &= frac12.
        end{align*}
        $$
        However, the limiting distribution is actually continuous. For each $n$, $S_n$ is uniformly distributed over
        $$E_n=left{sum_{kin S}2^{-k} : Ssubset{1,2,ldots,n}right}. $$
        Given an $n$, and some $omegain E_n$, we have for $mgeqslant n$
        $$mathbb P(S_m = omega)=2^{-m}.$$
        Hence
        $$lim_{mtoinfty} P(S_m = omega)=0.$$
        @gmath suggests in this answer that the limiting distribution is actually uniform on the interval $(0,1)$.







        share|cite|improve this answer














        share|cite|improve this answer



        share|cite|improve this answer








        edited Apr 13 '17 at 12:19









        Community

        1




        1










        answered May 5 '15 at 23:24









        Math1000

        18.8k31645




        18.8k31645






























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