Improved Sequential Stopping Rule for Monte Carlo Simulation
Computation
2008-09-25 v1
Abstract
This paper presents an improved result on the negative-binomial Monte Carlo technique analyzed in a previous paper for the estimation of an unknown probability p. Specifically, the confidence level associated to a relative interval [p/\mu_2, p\mu_1], with \mu_1, \mu_2 > 1, is proved to exceed its asymptotic value for a broader range of intervals than that given in the referred paper, and for any value of p. This extends the applicability of the estimator, relaxing the conditions that guarantee a given confidence level.
Cite
@article{arxiv.0809.4047,
title = {Improved Sequential Stopping Rule for Monte Carlo Simulation},
author = {Luis Mendo and Jose M. Hernando},
journal= {arXiv preprint arXiv:0809.4047},
year = {2008}
}
Comments
2 figures. Paper accepted in IEEE Transactions on Communications