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Let $X_i$, $i=1,2,3,...$ be an iid sequence of uniform random variables. I‘m interested in the distribution of $$Y_x=\inf\left\{k\geq0\,\middle|\,\sum_{i=1}^kX_i>x\right\}$$ for $x>0$. Does it have a name? What is known about it besides its mean?

Graham Kemp
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S.Surace
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  • If $X_i\sim U(0,1)$, then $P(Y_x>k)=\frac{x^k}{k!}$ for any $x\in (0,1)$. Relevant: https://math.stackexchange.com/q/111314/321264, https://math.stackexchange.com/q/1683558/321264. Check out the several linked posts in these threads. – StubbornAtom Apr 30 '21 at 06:47

1 Answers1

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Not a full answer, but if this helps:

$$P(Y_x > n) = P(\sum_{i=1}^n X_i \le x) = G(x;n)$$

where $$ G(x;n) = \frac{1}{n!} \sum_{k=0}^{\lfloor x \rfloor} (-1)^k \binom{n}{k} (x-k)^n$$

is the CDF of the Irwin–Hall distribution.

leonbloy
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