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arXiv · 0809.4047

Improved Sequential Stopping Rule for Monte Carlo Simulation

Luis Mendo·Jose M. Hernando
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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/μ_2, pμ_1], with μ_1, μ_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.

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Luis Mendo, Jose M. Hernando. 2008-09-23. Improved Sequential Stopping Rule for Monte Carlo Simulation. https://arxiv.org/abs/0809.4047

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