{"title":"Unbiased Monte Carlo estimator with guaranteed confidence","authors":"L. Mendo, J. M. Hernando","doi":"10.1109/SPAWC.2008.4641683","DOIUrl":null,"url":null,"abstract":"This paper considers the uniformly minimum variance unbiased estimator of a probability p based on inverse binomial sampling. It is shown that the confidence associated to intervals of the form [p/mu<sub>2</sub>, pmu<sub>1</sub>], mu<sub>1</sub>, mu<sub>2</sub> > 1 has an asymptotic value as p rarr 0. Furthermore, the confidence for p isin (0, 1) arbitrary is guaranteed to exceed this asymptotic value if mu<sub>1</sub>, mu<sub>2</sub> satisfy certain conditions. The derived conditions cover a wide range of practical situations.","PeriodicalId":197154,"journal":{"name":"2008 IEEE 9th Workshop on Signal Processing Advances in Wireless Communications","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2008 IEEE 9th Workshop on Signal Processing Advances in Wireless Communications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/SPAWC.2008.4641683","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
This paper considers the uniformly minimum variance unbiased estimator of a probability p based on inverse binomial sampling. It is shown that the confidence associated to intervals of the form [p/mu2, pmu1], mu1, mu2 > 1 has an asymptotic value as p rarr 0. Furthermore, the confidence for p isin (0, 1) arbitrary is guaranteed to exceed this asymptotic value if mu1, mu2 satisfy certain conditions. The derived conditions cover a wide range of practical situations.
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