伯努利随机过程

伯努利随机过程定义

A Bernoulli process is an iid sequence of Bernoulli random variables. 这里 iid 的含义是：

In probability theory and statistics, a sequence or other collection of random variables is independent and identically distributed (iid) if each random variable has the same probability distribution as the others and all are mutually independent.

类似于以下几种场景的模型可以使用伯努利过程：

• Sequence of lottery wins/losses
• Arrivals (each second) to a bank
• Arrivals (at each time slot) to a server

伯努利过程具有 Fresh-Start (Memoryless) 属性，this property usually refers to the cases when the distribution of a “waiting time” until a certain event, does not depend on how much time has elapsed already.

伯努利过程中涉及到的相关随机变量的分布

Number of Arrivals and First Arrival Time

1. Let T be the first arrival time, then $T \sim geometric(p)$
2. Let $S_n$ be the number of arrivals from time 1 to time n. Then, Sn∼bino