978. Random Walk Skewness

In this problem we consider a random walk on the integers Z, in which our position at time t is denoted as Xt.

At time 0 we start at position 0. That is, X0=0.
At time 1 we jump to position 1. That is, X1=1.
Thereafter, at time t=2,3, we make a jump of size |Xt2| in either the positive or negative direction, with probability 1/2 each way. If Xt2=0 we stay put at time t.

At t=5 we find our position X5 has the following distribution:

X5={1with probability 3/81with probability 3/83with probability 1/85with probability 1/8

The standard deviation σ of a random variable X with mean μ is defined as

σ=E[X2]μ2

Furthermore the skewness of X is defined as

Skew(X)=E[(Xμσ)3]

For X5, which has mean 1 and standard deviation 2, we find Skew(X5)=0.75. You are also given Skew(X10)2.50997097.

Find Skew(X50). Give your answer rounded to eight digits after the decimal point.

978. 随机游走的偏度

本题中,我们考虑整数集 Z 上的 随机游走,并把第 t 时刻所在位置记为 Xt

0 时刻,我们在 0 处开始游走,也就是说 X0=0
1 时刻,我们游走至 1 处,也就是说 X1=1 此后,在时刻 t=2,3,,我们各以 1/2 的概率,向数轴的负方向或者正方向游走 |Xt2| 步。若 Xt2=0,则我们在该时刻保持不动。

t=5 时,X5 的概率分布如下:

X5={1with probability 3/81with probability 3/83with probability 1/85with probability 1/8

我们定义 均值μ随机变量 X标准差 σ 为:

σ=E[X2]μ2

并进一步定义 X偏度 为:

Skew(X)=E[(Xμσ)3]

对于 X5,其均值为 1、标准差为 2,容易算得 Skew(X5)=0.75。亦已知 Skew(X10)2.50997097

Skew(X50),把答案四舍五入至小数点后第八位。


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